bluuebunny/crossref_metadata_2025 huggingface dataset:
Kinetic Study of Dehydrogenation between H–Siloxane and Ti–OH on TiO2
Authors: Nakabayashi Akira , Kondo Junko N , Hara Michikazu , Domen Kazunari
Published: February 2005

The kinetics of the solid–liquid reaction between titanium dioxide (TiO2) and H–siloxane was investigated. The solid–liquid reaction involved two dehydrogenation condensations; one between free Ti–OH groups and Si–H groups, and another between hydrated Ti–OH groups and Si–H groups. The reactivity of the Ti–OH group is considered to be restricted by hydrogen bonding with a molecule containing an OH group, such as water or alcohol.
Templated Synthesis of Mesoscopic Tube Silicates Using Aqueous Mixtures of Naphthalenediol and Ammonium Surfactants
Authors: Isayama Munetoshi , Nomiyama Kazuko , Yamaguchi Tadatsugu , Kimizuka Nobuo
Published: February 2005

An aqueous mixture of cetyltrimethylammonium bromide (CTAB) and 2,3-dihydroxynaphthalene (2,3-DHN) gives a viscous solution of rodlike nanoaggregates as confirmed by transmission electron microscopy. These supramolecular assemblies are first used as templates for the sol–gel synthesis, providing an aqueous route for tube silicates.
Lewis Base-catalyzed Diastereoselective Mannich-type Reaction between Ketene Silyl Acetals and Chiral Sulfinimines
Authors: Takahashi Eiki , Fujisawa Hidehiko , Yanai Toshiharu , Mukaiyama Teruaki
Published: February 2005

Lewis base-catalyzed diastreoselective Mannich-type reaction between ketene silyl acetals and chiral sulfinimines proceeded smoothly to afford the corresponding β-amino carbonyl compounds in good to high yields with high selectivities.
Application of Organocerium Reagents for the Efficient Conversion of Z-α,β-Unsaturated Weinreb Amides to Z-α,β-Unsaturated Ketones
Authors: Kojima Satoshi , Hidaka Tsugihiko , Yamakawa Atsushi
Published: February 2005

The reactions of Z-rich unsaturated Weinreb amides with organolithium and organocerium reagents were examined. Taking in consideration both the extent of geometry retention and cleanness of the reaction, organocerium reagents were more effective for the conversion to Z-α,β-unsaturated ketones.
Laser-induced Structural Conversions of Silver Nanoparticles in Pure Water —Influence of Laser Intensity—
Authors: Tsuji Takeshi , Higuchi Takanori , Tsuji Masaharu
Published: February 2005

Laser irradiation onto silver colloidal nanoparticles dispersed in pure water was carried out at various laser intensities to modify structure of nanoparticles. At laser intensity higher than 150 mJ/cm2, formation of wires and sheets, probably due to fusion of nanoparticles, were observed. On the other hand, at lower laser intensity (50–100 mJ/cm2), it was found for the first time that particles with crystalline structures, nanoprisms and nanorods, were formed.
Interaction Between Lu Cations and 2:1 Aluminosilicates under Hydrothermal Treatment
Authors: Alba María D. , Chain Pablo
Published: February 2005

Smectites are considered to be an important component in backfill barriers due to their marked swelling and high cation exchange capacity. Both properties are affected considerably when these clays transform under natural conditions. However, we have recently described a chemical interaction between high-activity radionuclide simulators and smectites which could prove to be effective at immobilizing radionuclides definitively. Investigating the efficiency of this mechanism, independent of bentonite ageing, is a challenge. For this purpose, the reactivity shown by a non-expandable layered aluminosilicate, muscovite, has been compared to that shown by an expandable one, beidellite. Both samples were treated hydrothermally with a solution of lutetium nitrate, and the transformations were studied by X-ray diffraction, nuclear magnetic resonance and scanning electron microscopy/energy dispersive X-ray analysis. Lutetium cations react with the silicon framework of both 2:1 layered aluminosilicates under hydrothermal conditions, and new phases, lutetium disilicate, kaolinite, boehmite and natrosilite are generated. The results demonstrate that the efficiency of the chemical mechanism is not determined by the swelling and the cation exchange capacity of 2:1 layered aluminosilicates. Thus, the rare earth disilicate formation might account for the success of the clay barrier, once bentonite has lost its swelling and cation exchange capacity.
Sorption of a Nonionic Polyoxyethylene Lauryl Ether Surfactant by 2:1 Layer Silicates
Authors: Sonon L. S. , Thompson M. L.
Published: February 2005

To better predict the fate and mobility of surfactants in the environment, sorption and desorption of a nonionic polyoxyethylene lauryl ether surfactant (Brij 35) by two smectites (Wyoming montmorillonite and Panther Creek smectite) and two interstratified mica-vermiculites (IMVs) were investigated by batch techniques, X-ray diffraction, and infrared spectroscopy. Maximum surfactant sorption by smectites ranged from 196 to 256 g kg−1, whereas the maximum sorption by the IMVs was indeterminate over the range of concentrations employed. Sorption by smectites was best described by the Langmuir model, but sorption by the IMVs showed an S-shaped isotherm, suggesting that cooperative sorption occurred. The surfactant was more readily desorbed from the IMVs than from the smectites in an initial wash with water. After two water washes, 65–75% of the initially sorbed surfactant was retained by the smectite, and 44–51% of the surfactant sorbed to the IMVs remained with the solid phase. In this study, basal spacing of the smectites increased to ≈17.5 Å near the sorption maximum, suggesting intercalation of surfactant molecules in the interlamellar regions of the clay. X-ray data also suggested that the surfactant molecules were oriented horizontally in the interlayer spaces. Greater surfactant sorption by the Casmectites gradually diminished the intensity of the 1630 cm−1 infrared band dues to hydration water, indicating that some water had been displaced by the surfactant. The surfactant was also sorbed by the IMV clays, but only on external surfaces and probably via interactions of micelles with the solid phase.
Eustatic and Tectonic/Volcanic Control in Sedimentary Bentonite Formation — A Case Study of Miocene Bentonite Deposits from the Pannonian Basin
Authors: Püspöki Zoltán , Kozák Miklós , Kovács-Pálffy Péter , Földvári Maria , McIntosh Richard W. , Vincze László
Published: February 2005

Seven sedimentary bentonite deposits were investigated in the Miocene series of the Pannonian Basin. The following stratigraphic and genetic characteristics were significant: (1) all deposits were formed within a transgressive series of a given Miocene sequence; and (2) it is possible that the source material of the bentonites is rhyolitic, confirmed by radiometric data proving simultaneous rhyolite tuff volcanism.

A detailed investigation on three lithologically different bentonite horizons within the same transgressive series was made at Sajoábaábony to determine the source material and to determine the causes of the differences. X-ray diffraction, differential thermal analysis and geochemical data of the different lithological types show that they all have rhyolitic source material, although in the case of the lowermost horizon the existence of reworked material from an underlying andesite tuff series is also presumed. The main difference is the degree of weathering. Considering the ratio between the amorphous phase and the montmorillonite, the amorphous volcanic glass can be regarded as the main source of the montmorillonite formation. The differences in the degree of alteration can be related to the changing characteristics of the tuff accumulation and the sedimentation. Transgression decreases the sedimentation rate allowing the optimal alteration of the amorphous phase. The increasing intensity of the tuff accumulation can also limit the bentonite formation because rapid deposition and burial present too little time for the optimal alteration of the amorphous phase.

Summarizing the results from the stratigraphic interpretation of the bentonite deposits and from the comparative analyses of the different bentonite horizons within the same transgressive systems tract, we can state that the relationship of the tectonic-related tuff accumulation and the eustasy-related sedimentation rate can affect both the possibility of bentonite formation in macro-scale and the degree of bentonitization in micro-scale.
Association of Transcutaneous Bilirubin Testing in Hospital with Decreased Readmission Rate for Hyperbilirubinemia
Authors: Petersen John R , Okorodudu Anthony O , Mohammad Amin A , Fernando Amarasiri , Shattuck Karen E
Published: February 2005

Background: Newborns are being discharged from hospitals within 1–2 days of birth, before hyperbilirubinemia usually becomes clinically evident. We investigated the use of transcutaneous bilirubin (TcB) before discharge to determine whether it affects the use of laboratory bilirubin testing or decreases the number of neonates readmitted for hyperbilirubinemia within 7 days of initial discharge.

Methods: We retrospectively searched a clinical laboratory and hospital database to determine the number of births, newborn readmission rates for hyperbilirubinemia, length of stay, and the number of bilirubin measurements in the clinical laboratory ordered for all babies in the newborn unit at the University of Texas Medical Branch from August 2002 to March 2003 (before TcB testing) and from May 2003 to December 2003 (after TcB).

Results: Between August 2002 and December 2003, 8974 newborns (both vaginal and cesarean births) were admitted to the newborn nursery. Babies who did not fit the diagnosis-related group criteria of “normal newborn” were removed, leaving 6933 babies who were included in the study. April was considered a transition month and was not included in the study, leaving 6603 newborns to be included. Of these, 446 (6.8%) required phototherapy for treatment of hyperbilirubinemia before initial discharge. For the 8 months before and 8 months after initiation of TcB testing, the number of laboratory bilirubin measurements ordered per newborn did not change, nor did the mean (SD) length of stay for normal newborns [2.15 (1.1) days vs 2.12 (1.1) days; P = 0.53], nor days of treatment with phototherapy before discharge [2.9 (1.3) days vs 2.9 (1.3) days; P = 0.67]. By contrast, the number of readmissions per 1000 newborns per month for clinically significant hyperbilirubinemia decreased significantly (Wilcoxon rank-sums two-sample test, P = 0.044), from 4.5 (2.4) to 1.8 (1.7) after TcB testing was initiated.

Conclusion: Access to TcB testing is associated with a reduction in the hospital readmission rate for hyperbilirubinemia within 7 days of the initial discharge.
3,4-Dihydroxyphenylalanine Reverses the Motor Deficits in Pitx3-DeficientAphakiaMice: Behavioral Characterization of a Novel Genetic Model of Parkinson's Disease
Authors: Hwang Dong-Youn , Fleming Sheila M. , Ardayfio Paul , Moran-Gates Taylor , Kim Hansoo , Tarazi Frank I. , Chesselet Marie-Francoise , Kim Kwang-Soo
Published: February 2005

Parkinson's disease (PD) is a neurodegenerative disease characterized by a loss of dopaminergic neurons in the substantia nigra. There is a need for genetic animal models of PD for screening andin vivotesting of novel restorative therapeutic agents. Although current genetic models of PD produce behavioral impairment and nigrostriatal dysfunction, they do not reproduce the loss of midbrain dopaminergic neurons and 3,4-dihydroxyphenylalanine (l-DOPA) reversible behavioral deficits. Here, we demonstrate that Pitx3-deficientaphakia(ak) mice, which have been shown previously to exhibit a major loss of substantia nigra dopaminergic neurons, display motor deficits that are reversed byl-DOPA and evidence of “dopaminergic supersensitivity” in the striatum. Thus,akmice represent a novel genetic model exhibiting useful characteristics to test the efficacy of symptomatic therapies for PD and to study the functional changes in the striatum after dopamine depletion andl-DOPA treatment.
Economic Value of Angling at a Reservoir with Low Visitation
Authors: Chizinski Christopher J. , Pope Kevin L. , Willis David B. , Wilde Gene R. , Rossman Edwin J.
Published: February 2005

A travel cost model was used to estimate the per-day consumer surplus for anglers at a reservoir (Lake Kemp, Texas) with low visitation. The average per-day consumer surplus for anglers was $61–122, depending on the wage rate fraction assigned to the opportunity cost of time. Although this consumer surplus value is small, anglers on the numerous smaller public and private water bodies may, in aggregate, generate a majority of the economic value for freshwater angling. Further, the marginal value per dollar spent managing small water bodies is probably large. Arguably, greater attention should be directed toward managing our nation's numerous smaller water bodies.
Influence of Stream Temperature on the Spatial Distribution of Westslope Cutthroat Trout Growth Potential within the Madison River Basin, Montana
Authors: Sloat Matthew R. , Shepard Bradley B. , White Robert G. , Carson Steve
Published: February 2005

Stream temperature is an important factor influencing habitat suitability for cutthroat trout Oncorhynchus clarkii, but temperature data from headwater habitats are difficult to obtain. We tested the ability of easily obtained landscape and meteorological data to predict the mean daily temperature measured at 79 sites in tributaries to the Madison River, Montana. We also evaluated stream habitat suitability by using temperature predictions to estimate growth potential for age-0 westslope cutthroat trout O. c. lewisi. A model using mean daily air temperature, elevation, and channel gradient explained approximately 75% of the observed variation in mean daily stream temperatures. Classifications of habitat suitability based on predicted fish growth indicated that the majority (78%) of stream habitat in Madison River tributaries provides suitable or highly suitable habitat for westslope cutthroat trout. However, these higher-quality habitats occur primarily in lower-elevation reaches where westslope cutthroat trout have been displaced by nonnative salmonids. Linking potential fish growth to stream temperature predictions will help managers prioritize conservation efforts for this declining subspecies by predicting habitat suitability at potential reintroduction or population expansion sites.
A Sampler for Capturing Larval and Juvenile Atlantic Menhaden
Authors: Hedrick James D. , Hedrick L. Ras , Margraf F. Joseph
Published: February 2005

Interest in capturing larval and juvenile Atlantic menhaden Brevoortia tyrannus for use in laboratory studies required the design and construction of a sampling device that would allow us to make collections of live fish from open-water areas. Our device for capturing 1–2.5-in larval–juvenile fish was constructed of a stainless steel frame that supported a 9.84-ft-long (3-m-long)5 cone plankton net with a 3.28-ft-diameter (1-m-diameter) opening and a 0.04-in (1-mm) mesh size. Although the plankton net was similar to that used during typical larval fish collections, the cod end was constructed of Plexiglas and was nearly watertight; this prevented impingement and injury to larval fish and provided a calm-water environment. The cod end was designed for quick release from the plankton net, and the entire cod end could be submerged into a 75-gal onboard holding tank. This design and technique obviated the netting or emerging of fish from the water until they were returned to the laboratory.
Use of Pressure-Sensitive Film to Quantify Sources of Injury to Fish
Authors: Čada Glenn , Smith John , Busey Jessica
Published: February 2005

We examined the use of pressure-sensitive film (PSF) to estimate pressures experienced by fish exposed to potentially damaging mechanical and fluid structures during downstream passage at hydroelectric dams. The films responded well to a wide range of applied pressures (0.5–50 MPa), providing reliable estimates of pressures even when contained within waterproof plastic packaging, stacked under other films, and exposed at low water temperatures or low and high relative humidities. Waterproof packages of PSF were field-tested by wrapping them around polycarbonate plastic cylinders and passing them down the spillways of hydroelectric dams. Most of the spillway-passed PSF samples had marks indicating impacts. Many of the marks revealed high values of pressure (e.g., >40 MPa) that are likely to injure fish.
A New Sampler Design for Measuring Sedimentation in Streams
Authors: Hedrick Lara B. , Welsh Stuart A. , Hedrick James D.
Published: February 2005

Sedimentation alters aquatic habitats and negatively affects fish and invertebrate communities but is difficult to quantify. To monitor bed load sedimentation, we designed a sampler with a 10.16-cm polyvinyl chloride coupling and removable sediment trap. We conducted a trial study of our samplers in riffle and pool habitats upstream and downstream of highway construction on a first-order Appalachian stream. Sediment samples were collected over three 6-week intervals, dried, and separated into five size-classes by means of nested sieves (U.S. standard sieve numbers 4, 8, 14, and 20). Downstream sediment accumulated in size-classes 1 and 2, and the total amount accumulated was significantly greater during all three sampling periods. Size-classes 3 and 4 had significantly greater amounts of sediment for the first two sampling periods at the downstream site. Differences between upstream and downstream sites narrowed during the 5-month sampling period. This probably reflects changes in site conditions, including the addition of more effective sediment control measures after the first 6-week period of the study. The sediment sampler design allowed for long-term placement of traps without continual disturbance of the streambed and was successful at providing repeat measures of sediment at paired sites.
Sampling and Statistical Considerations for Hydroacoustic Surveys Used in Estimating Abundance of Forage Fishes in Reservoirs
Authors: Taylor J. Christopher , Thompson Jessica S. , Rand Peter S. , Fuentes Montserrat
Published: February 2005

An understanding of the spatial distribution of forage fish resources is required to make informed fishery management decisions. We used mobile hydroacoustics to assess the distribution and abundance of forage fish in Badin Lake, a reservoir in central North Carolina. By sampling a series of cross-channel and longitudinal transects and analyzing the data using geostatistics, we characterized both large- and small-scale spatial patterns in forage fish density. Forage fish were observed in higher densities in upstream regions of the reservoir and were seen only in surface waters during July 2000 owing to the existence of a strong thermo–oxycline and in two layers (surface and near bottom) during mixed conditions in December 2001. We observed differences in the scale of patchiness (200–700 m) in forage fish distribution depending on the region of the reservoir where sampling took place, and we infer that these patterns are governed by prevailing limnological conditions. Modeling the spatial variation in the acoustic data using geostatistics resulted in similar average densities (July 2000: 0.56 ± 0.28 (mean ± SD) fish/m2; December 2001: 0.57 ± 0.49 fish/m2) and improvements in the precision of abundance estimates based on approximated variance (July 2000: 7.05 × 106 ± 8.30 × 105 fish; December 2001: 7.07 × 106 ± 2.10 × 106 fish) when compared with arithmetic averaging and extrapolation (July 2000: 0.60 ± 0.61 fish/m2, 7.5 × 106 ± 4.61 × 106 fish; December 2001: 0.60 ± 0.69 fish/m2, 8.00 × 106 ± 6.34 × 106 fish). We found that sampling along longitudinal transects is a more efficient way to characterize the spatial patterns of forage fish distribution and to estimate systemwide abundance and biomass than using data collected with both a longitudinal and cross-channel sampling design in this system.
Evaluation of a Prototype Surface Flow Bypass for Juvenile Salmon and Steelhead at the Powerhouse of Lower Granite Dam, Snake River, Washington, 1996–2000
Authors: Johnson Gary E. , Anglea Steven M. , Adams Noah S. , Wik Timothy O.
Published: February 2005

A surface flow bypass takes advantage of the natural surface orientation of most juvenile salmon Oncorhynchus spp. and steelhead O. mykiss by providing a route in the upper water column that downstream migrant fishes can use to pass a hydroelectric dam safely. A prototype structure, called the surface bypass and collector (SBC), was retrofitted on the powerhouse of Lower Granite Dam and was evaluated annually with biotelemetry and hydroacoustic techniques during the 5-year life span of the structure (1996–2000) to determine the entrance configuration that maximized passage efficiency and minimized forebay residence time. The best tested entrance configuration had maximum inflow (99 m3/s) concentrated in a single surface entrance (5 m wide, 8.5 m deep). We identified five important considerations for future surface flow bypass development in the lower Snake River and elsewhere: (1) an extensive flow net should be formed in the forebay by use of relatively high surface flow bypass discharge (>7% of total project discharge); (2) a gradual increase in water velocity with increasing proximity to the surface flow bypass (ideally, acceleration <1 m/s per meter) should be created; (3) water velocities at an entrance should be high enough (>3 m/s) to entrain the subject juvenile fishes; (4) the shape and orientation of the surface entrance(s) should be adapted to fit site-specific features; and (5) construction of a forebay wall to increase fish availability to the surface flow bypass should be considered. The efficiency of the SBC was not high enough (maximum of 62% relative to passage at turbine units 4–5) for the SBC to operate as a stand-alone bypass. Anywhere that surface-oriented anadromous fish must negotiate hydroelectric dams, surface flow bypass systems can provide cost-effective use of typically limited water supplies to increase the nonturbine passage, and presumably survival, of downstream migrants.
Multilevel Assessment of Fish Species Traits to Evaluate Habitat Degradation in Streams of the Upper Midwest
Authors: Goldstein Robert M. , Meador Michael R.
Published: February 2005

We used species traits to examine the variation in fish assemblages for 21 streams in the Northern Lakes and Forests Ecoregion along a gradient of habitat disturbance. Fish species were classified based on five species trait-classes (trophic ecology, substrate preference, geomorphic preference, locomotion morphology, and reproductive strategy) and 29 categories within those classes. We used a habitat quality index to define a reference stream and then calculated Euclidean distances between the reference and each of the other sites for the five traits. Three levels of species trait analyses were conducted: (1) a composite measure (the sum of Euclidean distances across all five species traits), (2) Euclidean distances for the five individual species trait-classes, and (3) frequencies of occurrence of individual trait categories. The composite Euclidean distance was significantly correlated to the habitat index (r = −0.81; P = 0.001), as were the Euclidean distances for four of the five individual species traits (substrate preference: r = −0.70, P = 0.001; geomorphic preference: r = −0.69, P = 0.001; trophic ecology: r = −0.73, P = 0.001; and reproductive strategy: r = −0.64, P = 0.002). Although Euclidean distances for locomotion morphology were not significantly correlated to habitat index scores (r = −0.21; P = 0.368), analysis of variance and principal components analysis indicated that Euclidean distances for locomotion morphology contributed to significant variation in the fish assemblages among sites. Examination of trait categories indicated that low habitat index scores (degraded streams) were associated with changes in frequency of occurrence within the categories of all five of the species traits. Though the objectives and spatial scale of a study will dictate the level of species trait information required, our results suggest that species traits can provide critical information at multiple levels of data analysis.
Comparison of Seasonal Bluegill Catch Rates and Size Distributions Obtained with Trap Nets and Electrofishing in a Large, Heated Impoundment
Authors: Schultz Randall D. , Haines Daniel E.
Published: February 2005

To determine potential bias in bluegill Lepomis macrochirus population indices, we compared the catch rates and size structure of bluegills captured by use of trap-netting and electrofishing from 1983 to 2001 in Coffey County Lake, a 2,100-ha cooling impoundment in Kansas. Trap-net catch per unit effort (CPUE) and size structure (proportional stock density (PSD)) were greater in 13-mm-mesh than in 25-mm-mesh trap nets, but length frequencies were similar. Bluegill electrofishing CPUE and PSD were greater during fall than spring, but longer bluegills were obtained by spring electrofishing. Trap nets produced a higher bluegill CPUE than did spring electrofishing, and the trap-net length frequency was skewed toward longer fish. Our data suggest that (1) the 13-mm trap-net mesh size yields more accurate information about harvestable-size bluegill abundance and size structure than 25-mm trap nets and (2) trap-netting (both mesh sizes combined) produces more accurate information about harvestable-size bluegill abundance and size structure than does spring electrofishing. Year effects played a large role in the differences detected among catch rates and population indices. Although fall electrofishing provided a larger bluegill sample than did spring electrofishing, size structure differences were not great enough to warrant a change in the standard electrofishing sampling period (i.e., spring) for bluegills in large Kansas impoundments because black bass Micropterus spp. can be sampled concurrently. This study provides gear and seasonal bias information on bluegill catch rates and size structure. Such information is lacking for large impoundments, which points to the need for further studies like ours.
Experimental Analysis of a Reduced Daily Bluegill Limit in Minnesota
Authors: Jacobson Peter C.
Published: February 2005

The effect of a reduced daily limit (from 30 to 10 fish/d) on the size structure of bluegills Lepomis macrochirus in eight Minnesota lakes was measured with a controlled and replicated experiment. Bluegills from four treatment lakes (daily limit of 10 fish) and four control lakes (daily limit of 30 fish) were sampled in 2 years prior to regulation implementation and in the fourth and fifth years after regulation implementation. Repeated-measures analysis of variance was used to test for changes in two measures of size structure: mean length and 90th percentile length. The mean length of bluegills sampled in trap nets was significantly greater in treatment lakes than in control lakes at the end of the experiment. Bluegill 90th percentile lengths were higher during the postregulation period than the preregulation period, but not significantly so (although the P-value approached significance). Postregulation increases in length at maturity and growth rate were observed in the treatment lakes that exhibited the strongest responses in size structure. Results of the experiment suggest that regulations designed to significantly reduce angling harvest have potential for improving bluegill size structure.
On The Bivariate Generalized Poisson Distribution
Authors: Vernic Raluca
Published: February 2005

This paper deals with the bivariate generalized Poisson distribution. The distribution is fitted to the aggregate amount of claims for a compound class of policies submitted to claims of two kinds whose yearly frequencies are a priori dependent. A comparative study with the bivariate Poisson distribution and with two bivariate mixed Poisson distributions has been carried out, based on data concerning natural events insurance in the USA and third party liability automobile insurance in France.
Credibility Using Semiparametric Models
Authors: Young Virginia R.
Published: February 2005

To use Bayesian analysis to model insurance losses, one usually chooses a parametric conditional loss distribution for each risk and a parametric prior distribution to describe how the conditional distributions vary across the risks. A criticism of this method is that the prior distribution can be difficult to choose and the resulting model may not represent the loss data very well. In this paper, we apply techniques from nonparametric density estimation to estimate the prior. We use the estimated model to calculate the predictive mean of future claims given past claims. We illustrate our method with simulated data from a mixture of a lognormal conditional over a lognormal prior and find that the estimated predictive mean is more accurate than the linear Bühlmann credibility estimator, even when we use a conditional that is not lognormal.
Exact Credibility for Weighted Observations
Authors: Kaas Rob , Dannenburg Dennis , Goovaerts Marc
Published: February 2005

This note generalizes Jewell's theorem on exact credibility from the classical Bühlmann model to the (weighted) Bühlmann-Straub model.
Hedging in Financial Markets
Authors: Baxter Martin
Published: February 2005

This (mostly) expository paper describes the importance of hedging to the pricing of modern financial products and how hedging may be achieved even when the traditional Black-Scholes assumptions are absent.
Some Applications of Lévy Processes to Stochastic Investment Models for Actuarial Use
Authors: Chan Terence
Published: February 2005

This paper presents a continuous time version of a stochastic investment model originally due to Wilkie. The model is constructed via stochastic differential equations. Explicit distributions are obtained in the case where the SDEs are driven by Brownian motion, which is the continuous time analogue of the time series with white noise residuals considered by Wilkie. In addition, the cases where the driving “noise” are stable processes and Gamma processes are considered.
On Esscher Transforms in Discrete Finance Models
Authors: Bühlmann Hans , Delbaen Freddy , Embrechts Paul , Shiryaev Albert N.
Published: February 2005

The object of our study is

where each Sn is a m-dimensional stochastic (real valued) vector, i.e.

denned on a probability space (Ω, , P) and adapted to a filtration (n)0≤n≤N with 0 being the σ-algebra consisting of all null sets and their complements. In this paper we interpret as the value of some financial asset k at time n.

Remark: If the asset generates dividends or coupon payments, think of as to include these payments (cum dividend process). Think of dividends as being reinvested immediately at the ex-dividend price.

Definition 1

(a) A sequence of random vectors

where

is called a trading strategy. Since our time horizon ends at time N we must always have ϑN ≡ 0.

The interpretation is obvious: stands for the number of shares of asset k you hold in the time interval [n,n + 1). You must choose ϑn at time n.

(b) The sequence of random variables

where Sn stands for the payment stream generated by ϑ (set ϑ−1 ≡ 0).
Designing Optimal Bonus-Malus Systems from Different Types of Claims
Authors: Pinquet Jean
Published: February 2005

This paper provides bonus-malus systems which rest on different types of claims. Consistent estimators are given for some moments of the mixing distribution of a multi equation Poisson model with random effects. Bonus-malus coefficients are then obtained with the expected value principle, and from linear credibility predictors. Empirical results are presented for two types of claims, namely claims at fault and not at fault with respect to a third party.
On Multivariate Panjer Recursions
Authors: Sundt Bjørn
Published: February 2005

In the present paper we generalise Panjer's (1981) recursion for compound distributions to a multivariate situation where each claim event generates a random vector. We discuss situations within insurance where such models could be applicable, and consider some special cases of the general algorithm. Finally we deduce from the algorithm a multivariate extension of De Pril's (1985) recursion for convolutions.
An Addendum and a Short Comment on the Paper
Authors: Gisler Alois , Frost Patrick
Published: February 2005

In January 1997, Winterthur Insurance, together with Credit Suisse First Boston (CSFB), issued the first listed CAT bond. The annual “WINCAT0 coupons of this three-year convertible bond are knocked out if any single storm event damages more than 6,000 vehicles insured by Winterthur Insurance in Switzerland.

This was a completely new way of securing insurance risks. The main intention was to test the Swiss capital market for such products and to make investors acquainted with them. Thereby Winterthur, together with CSFB, set new standards in product transparency, fairness of pricing and investor education by making the historical data available via internet and by publishing a special brochure (CSFB (1997)), where the pricing and the mathematical modelling are described in detail. This is also a prerequisite to enable a scientific discussion on pricing aspects of such new financial products. The developers of the bond are therefore grateful to Mr. Schmock for this valuable scientific contribution which can be seen as a thorough and profound statistical analysis on the knock-out probability for the purpose of quantifying the model uncertainty.

In Section 2 we briefly summarize the whole pricing of the bond at the issue date and show that there were several risk premium elements in this pricing where the conservative estimation of the knock-out probability was just one of them. In Section 3 we consider the modelling of low frequency risks from a practitioner's standpoint and formulate some requirements from practice. In Section 4 we make some further comments on the modelling of the Wincat data. Section 5 is a short summary.
Discussion of Christofides' Conjecture Regarding Wang's Premium Principle
Authors: Young Virginia R.
Published: February 2005

Christofides (1998) studies the proportional hazards (PH) transform of Wang (1995) and shows that for some parametric families, the PH premium principle reduces to the standard deviation (SD) premium principle. Christofides conjectures that for a parametric family of distributions with constant skewness, the PH premium principle reduces to the SD principle. I will show that this conjecture is false in general but that it is true for location-scale families and for certain other families.

Wang's premium principle has been established as a sound measure of risk in Wang (1995, 1996), Wang, Young, and Panjer (1997), and Wang and Young (1998). Determining when the SD premium principle is a special case of Wang's premium principle is important because it will help identify circumstances under which the more easily applied SD premium principle is a reliable measure of risk.

First, recall that a distortion g is a non-decreasing function from [0, 1] onto itself. Wang's premium principle, with a fixed distortion g, associates the following certainty equivalent with a random variable X, (Wang, 1996) and (Denneberg, 1994):

in which Sx is the decumulative distribution function (ddf) of X, Sx(t) = Pr(X > t), t ∈ R. If g is a power distortion, g(p) = pc, then Hg is the proportional hazards (PH) premium principle (Wang, 1995).

Second, recall that a location-scale family of ddfs is , in which Sz is a fixed ddf. Alternatively, if Z has ddf Sz, then {X = μ + σZ: μ∈ R, σ > 0} forms a location-scale family of random variables, and the ddf of . Examples of location-scale families include the normal, Cauchy, logistic, and uniform families (Lehmann, 1991, pp. 20f). In the next proposition, I show that Wang's premium principle reduces to the SD premium principle on a location-scale family. Christofides (1998) observes this phenomenon in several special cases.
A New Class of Bayesian Estimators in Paretian Excess-of-Loss Reinsurance
Authors: Reiss R.-D. , Thomas M.
Published: February 2005

For estimating the shape parameter of Paretian excess claims, certain Bayesian estimators, which are closely related to the Hill estimator, have been suggested in the insurance literature. It turns out that these estimators may have a poor performance – just as the Hill estimator – if a certain location parameter is unequal to zero in the Paretian modeling. In an alternative formulation this means that a scale parameter is unequal to 1. Thus, it suggests itself to add the scale parameter in the modeling and to deal with Bayesian estimators of the shape and scale parameters in a full Paretian model. These estimators will be applied to fire and motor reinsurance data. The performance of these estimators will be illustrated by means of Monte Carlo simulations.
Equity and Exact Credibility
Authors: Promislow S. David , Young Virginia R.
Published: February 2005

We consider an alternative to the usual credibility premium that arises from squared-error loss, namely, a so-called equitable credibility premium (Promislow and Young, 1999). We derive formulas for the credibility weight in certain cases and give sufficient conditions for exact credibility.
A Note on Christofides' Conjecture Regarding Wang's Premium Principle
Authors: Jing-Long Wang
Published: February 2005

Young (1999) discussed the conjecture proposed by Christofides (1998) regarding the premium principle of Wang (1995, 1996). She shows that this conjecture is true for location-scale families and for certain other families, but false in general. In addition Young (1999) states that it remains an open problem to determine under what circumstances Wang's premium principle reduces to the standard deviation (SD) premium principle.

In this paper we will provide further discussion of this problem. We will show that, for a fixed distortion, the natural set on which Wang's premium principle can reduce to the SD premium principle is and only is the union of location-scale families which satisfies some condition. Furthermore, it will be shown that the natural set is and only is a location-scale family if Wang's premium principle can be reduced to the SD premium principle for any distortion.
A Mathematical Model of Alzheimer's Disease and the Apoe Gene
Authors: Macdonald Angus , Pritchard Delme
Published: February 2005

Alzheimer's disease (AD) accounts for a significant proportion of long-term care costs. The recent discovery that the ε4 allele of the ApoE gene indicates a predisposition to earlier onset of AD raises questions about the potential for adverse selection in long-term care insurance, about long-term care costs in general, and about the potential effects on costs of gene therapy, or better targetted treatments for AD. This paper describes a simple Markov model for AD, and the estimation of the transition intensities from the medical and epidemiological literature.
Economic Aspects of Securitization of Risk
Authors: Cox Samuel H. , Fairchild Joseph R. , Pedersen Hal W.
Published: February 2005

This paper explains securitization of insurance risk by describing its essential components and its economic rationale. We use examples and describe recent securitization transactions. We explore the key ideas without abstract mathematics. Insurance-based securitizations improve opportunities for all investors. Relative to traditional reinsurance, securitizations provide larger amounts of coverage and more innovative contract terms.
Super-Efficient Prediction Based on High-Quality Marker Information
Authors: Nielsen Jens Perch
Published: February 2005

Nielsen (1999) showed the surprising fact that a nonparametric one-dimensional hazard as a function of time can be estimated-consistently if a high quality marker is observed. In this paper we show that the hazard relevant for predicting remaining duration time, given the current status of a high quality marker, can be estimated-consistently if a Markov type property holds for the high quality marker.
Optimal Loss Financing Under Bonus-Malus Contracts
Authors: Holtan Jon
Published: February 2005

The paper analyses the question: Should an insurance customer carry an occurred loss himself, or should he make a claim to the insurance company? This question is important within bonus-malus contracts with individual experience adjustments of the premium. The analysis model includes a bonus hunger strategy where the customers prefer the most profitable financial alternative, that is, the alternative which represents the lowest rate of interest. Hence the loss of bonus after a claim is calculated as a rate of interest paid from the customer to the insurer. Within this model the paper outlines the existence of a true compensation function and a relative cost function for each customer. A set of properties for bonus-malus contracts are presented and discussed. A concrete example of a bonus-malus system and an insurance compensation function illustrates the theoretical framework in a practical manner.
Financial Data Analysis with Two Symmetric Distributions
Authors: Hürlimann Werner
Published: February 2005

The normal inverted gamma mixture or generalized Student t and the symmetric double Weibull, as well as their logarithmic counterparts, are proposed for modeling some loss distributions in non-life insurance and daily index return distributions in financial markets. For three specific data sets, the overall goodness-offit from these models, as measured simultaneously by the negative log-likelihood, chi-square and minimum distance statistics, is found to be superior to that of various “good” competitive models including the log-normal, the Burr, and the symmetric α-stable distribution. Furthermore, the study justifies on a statistical basis different important models of financial returns like the model of Black-Scholes (1973), the log-Laplace model of Hürlimann (1995), the normal mixture by Praetz (1972), the symmetric α-stable model by Mandelbrot (1963) and Fama (1965), and the recent double Weibull as limiting geometric-multiplication stable scheme in Mittnik and Rachev (1993). As an application, the prediction of one-year index returns from daily index returns is discussed.
Design of Optimal Bonus-Malus Systems With a Frequency and a Severity Component On an Individual Basis in Automobile Insurance
Authors: Frangos Nicholas E. , Vrontos Spyridon D.
Published: February 2005

The majority of optimal Bonus-Malus Systems (BMS) presented up to now in the actuarial literature assign to each policyholder a premium based on the number of his accidents. In this way a policyholder who had an accident with a small size of loss is penalized unfairly in the same way with a policyholder who had an accident with a big size of loss. Motivated by this, we develop in this paper, the design of optimal BMS with both a frequency and a severity component. The optimal BMS designed are based both on the number of accidents of each policyholder and on the size of loss (severity) for each accident incurred. Optimality is obtained by minimizing the insurer's risk. Furthermore we incorporate in the above design of optimal BMS the important a priori information we have for each policyholder. Thus we propose a generalised BMS that takes into consideration simultaneously the individual's characteristics, the number of his accidents and the exact level of severity for each accident.
Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks
Authors: Hürlimann Werner
Published: February 2005

Based on the notions of value-at-risk and expected shortfall, we consider two functionals, abbreviated VaR and RaC, which represent the economic risk capital of a risky business over some time period required to cover losses with a high probability. These functionals are consistent with the risk preferences of profit-seeking (and risk averse) decision makers and preserve the stochastic dominance order (and the stop-loss order). Quantitatively, RaC is equal to VaR plus an additional stop-loss dependent term, which takes into account the average amount at loss. Furthermore, RaC is additive for comonotonic risks, which is an important extremal situation encountered in the modeling of dependencies in multivariate risk portfolios. Numerical illustrations for portfolios of gamma distributed risks follow. As a result of independent interest, new analytical expressions for the exact probability density of sums of independent gamma random variables are included, which are similar but different to previous expressions by Provost (1989) and Sim (1992).
Fourier/Laplace Transforms and Ruin Probabilities
Authors: Lima Fátima D.P. , Garcia Jorge M.A. , Egídio Dos Reis Alfredo D.
Published: February 2005

In this paper we use Fourier/Laplace transforms to evaluate numerically relevant probabilities in ruin theory as an application to insurance. The transform of a function is split in two: the real and the imaginary parts. We use an inversion formula based on the real part only, to get the original function.

By using an appropriate algorithm to compute integrals and making use of the properties of these transforms we are able to compute numerically important quantities either in classical or non-classical ruin theory. As far as the classical model is concerned the problems considered have been widely studied. In what concerns the non-classical model, in particular models based on more general renewal risk processes, there is still a long way to go. In either case the approach presented is an easy method giving good approximations for reasonable values of the initial surplus.

To show this we compute numerically ruin probabilities in the classical model and in a renewal risk process in which claim inter-arrival times have an Erlang(2) distribution and compare to exact figures where available. We also consider the computation of the probability and severity of ruin in the classical model.
The Development of an Optimal Bonus-Malus System in a Competitive Market
Authors: Baione Fabio , Levantesi Susanna , Menzietti Massimiliano
Published: February 2005

BMS in force show a progressive reduction of the observed average premium, which causes a financial imbalance in the system (see Lemaire (1995)). As a onsequence, frequent premium adjustments become necessary and result in discrepancy between the reduction defined in the policy contract and the ffective discount applied to the driver. Most policyholders are not aware of his “lack of transparency”. This paper deals with the problem of designing an optimal tariff structure so that the designed BMS is adequate and satisfies both transparency and financial balance conditions.
International Equity Portfolios and Currency Hedging: The Viewpoint of German and Hungarian Investors
Authors: Bugár Gyöngyi , Maurer Raimond
Published: February 2005

In this paper we study the benefits derived from international diversification of equity portfolios from the German and the Hungarian points of view. In contrast to the German capital market, which is one of the largest in the world, the Hungarian Stock Exchange is an emerging market. The Hungarian stock market is highly volatile, high returns are often accompanied by extremely large risk. Therefore, there is a good potential for Hungarian investors to realise substantial benefits in terms of risk reduction by creating multi-currency portfolios. The paper gives evidence on the above mentioned benefits for both countries by examining the performance of several ex ante portfolio strategies. In order to control the currency risk, different types of hedging approaches are implemented.
A Universal Framework for Pricing Financial and Insurance Risks
Authors: Wang Shaun S.
Published: February 2005

This paper presents a universal framework for pricing financial and insurance risks. Examples are given for pricing contingent payoffs, where the underlying asset or liability can be either traded or not traded. The paper also outlines an application of the framework to prescribe capital allocations within insurance companies, and to determine fair values of insurance liabilities.