Stochastic analysis in life office management: applications to large annuity portfolios

The paper deals with the riskiness analysis for a large portfolio of life annuities. By means of the limiting distribution of the present value of the portfolio, in the first part of the paper a model for evaluating the investment and the projection risks is presented. In the second part, with regard to the investment risk's effects, the insolvency risk is measured considering the cumulative probability distribution function of the discounted average cost per policy. Copyright © 2003 John Wiley & Sons, Ltd.     

估计死亡率分布的一个最大熵模型

本文提出了一种估计死亡率分布的新模型一最大熵模型。该模型直接从样本信息出发，不需要对待估分布的概率密度函数或先验分布作任何假定，从而克服了极大似然估计和贝叶斯估计的不足。而且通过两个例子的计算结果，表明该方法与样本数据的拟合效果要好于其它两种方法。     

中国的百岁老人研究Ⅱ.百岁老人的死亡率、生存率和发展趋势

根据全国人口普查资料,用指数函数拟合法计算了中国百岁老人的死亡率和生存率,得出中国人口的最高自然寿限为120岁,并预测到2010年中国百岁老人绝对数将达4万多人,届时每百万人口中将有30位百岁老人,比2000年增加1倍以上。     

An Absence of Non-specific Immune Response towards para-Sulphonato-calix[n]arenes

The effects of para-Sulphonato-calix[4]arene, para-Sulphonato-calix[6]arene and para-Sulphonato-calix[8]arene on the activation of NADPH oxidase in neutrophils has been studied. All three molecules do not induce NADPH oxidase activation, and hence do not stimulate neutrophils. Measurement of cell viability demonstrates that these three water-soluble calix[n]arene derivatives are not cytotoxic.     

Logging damage and injured tree mortality in tropical forest management

Using insights from the forest ecology literature, we analyze the effect of injured trees on stand composition and carbon stored in above‐ground biomass and the implications for forest management decisions. Results from a Faustmann model with data for a tropical forest on Kalimantan show that up to 50% of the basal area of the stand before harvest can consist of injured trees. Considering injured trees leads to an increase in the amount of carbon in above‐ground biomass of up to 165%. These effects are larger under reduced impact logging than under conventional logging. The effects on land expectation value and cutting cycle are relatively small. The results suggest that considering injured trees in models for tropical forest management is important for the correct assessment of the potential of financial programs to store carbon and conserve forest ecosystem services in managed tropical forests, such as reducing emissions from deforestation and forest degradation and payment for ecosystem services. Recommendations for Resource Managers

• Considering the role of injured trees is important for managing tropical forests
• These trees can cover up to 50% of basal area and contain more than 50% of the carbon stored in above‐ground biomass
• Reduced impact logging leads to a larger basal area of injured trees and more carbon stored in injured trees than conventional logging
• Injured trees play an important role when assessing the potential for carbon storage in the context of payment for forest ecosystem services.

     

甲型H1N1流感的死亡率高吗——Bayes计量分析框架下的建模与估算

在全球甲型H1N1流感大流行背景下,本文在充分考虑各国甲流感死亡率可能存在个体混合效应、独立效应、相关效应及空间相关效应基础上,运用Bayes计量分析框架下的模型选择标准确定描述各国甲流感死亡率的最优模型,并基于该模型对不同国家甲流感死亡率进行估算。结果显示:个体独立、空间相关效应模型能很好拟合各国甲流感疫情统计数据,利用该模型估算的全球甲流感平均死亡率为0.577%。     

横向数据中累加死亡率的估计-附脑血管病实例

本文用现时寿命表中计算平均寿命的基本假定,讨论估计横向数据的累加死亡率问题.本公式也适用于累加发病率及任何非医学领域中某种指标的累加发生率等问题.文中使用了一个脑血管病实例.     

Cardiac magnetic resonance imaging: infarct size is an independent predictor of mortality in patients with coronary artery disease

Background

Cardiac magnetic resonance imaging (CMR) can accurately determine infarct size. Prior studies using indirect methods to assess infarct size have shown that patients with larger myocardial infarctions have a worse prognosis than those with smaller myocardial infarctions.

Objectives

This study assessed the prognostic significance of infarct size determined by CMR.

Methods

Cine and contrast CMR were performed in 100 patients with coronary artery disease (CAD) undergoing routine cardiac evaluation. Infarct size was determined by planimetry. We used Cox proportional hazards regression analyses (stepwise forward selection approach) to evaluate the risk of all-cause death associated with traditional cardiovascular risk factors, symptoms of heart failure, medication use, left ventricular ejection fraction, left ventricular mass, angiographic severity of CAD and extent of infarct size determined by CMR.

Results

Ninety-one patients had evidence of myocardial infarction by CMR. Mean follow-up was 4.8±1.6 years after CMR, during which time 30 patients died. The significant multivariable predictors of all-cause mortality were extent of myocardial infarction by CMR, extent of left ventricular systolic dysfunction, symptoms of heart failure, and diabetes mellitus (P<.05). The presence of infarct greater than or equal to 24% of left ventricular mass and left ventricular ejection fraction less than or equal to 30% were the most optimal cut-off points for the prediction of death with bivariate adjusted hazard ratios of 2.11 (95% confidence interval 1.02-4.38) and 4.06 (95% confidence interval 1.73-9.54), respectively.

Conclusions

The extent of myocardial infarction determined by CMR is an independent predictor of death in patients with CAD.     

Analysis of survivorship life insurance portfolios with stochastic rates of return

A general portfolio of survivorship life insurance contracts is studied in a stochastic rate of return environment with a dependent mortality model. Two methods are used to derive the first two moments of the prospective loss random variable. The first one is based on the individual loss random variables while the second one studies annual stochastic cash flows. The distribution function of the present value of future losses at a given valuation time is derived. For illustrative purposes, an AR(1) process is used to model the stochastic rates of return, and the future lifetimes of a couple are assumed to follow a copula model. The effects of the mortality dependence, the portfolio size and the policy type, as well as the impact of investment strategies on the riskiness of portfolios of survivorship life insurance policies are analyzed by means of moments and probability distributions.     

我国环境污染与居民恶性肿瘤发病及死亡的灰色关联度分析

收集2003-2012年三个区域:全国区域、城市区域、农村区域的恶性肿瘤发病及死亡率和污染物数据,采用灰色关联分析方法计算了不同区域与不同污染物的综合关联度,并对污染物致恶性肿瘤死亡的潜伏期作了定量分析.研究结果表明:1)氨氮排放量和二氧化硫对我国三个不同区域居民恶性肿瘤发病和死亡率的影响最大;2)污染物与恶性肿瘤发病率的关联度跟区域无关,但是污染物与恶性肿瘤死亡率的关联度城市明显大于农村,污染物与恶性肿瘤死亡率的关联度男性明显大于女性;3)氨氮和二氧化硫导致居民恶性肿瘤死亡的潜伏期分别为:2和1年.