bluuebunny/crossref_metadata_2025 huggingface dataset:
Predicting suitable timing for artificial reproductive technology treatment in aged infertile women
Authors: Akino Nana , Isono Wataru , Wada‐Hiraike Osamu
Published: March 2016

It has been widely accepted that the age of women plays a fundamental role in fecundity, and age‐related fertility decline has one of the most significant and detrimental effects on the success rate of infertility treatment. Therefore, treatment cycles of non‐in vitro fertilization (IVF) and intracytoplasmic sperm injection (ICSI) treatment for infertile women of advanced aged have been limited due to their lack of efficacy, and they are often optimized, compared to IVF/ICSI treatment. Recent trends in infertility treatment apparently indicate that IVF/ICSI treatment, including egg donation, is frequently offered to aged women for first‐line management, despite its heavy burden, but hasty IVF/ICSI treatment should be avoided, considering its socioeconomic problems. It is important to distinguish women who could conceive by non‐IVF/ICSI treatment, although the optimization of non‐IVF/ICSI treatment protocols remains poorly understood. This review focuses on extracting aged patients who have higher chance of conceiving with non‐IVF/ICSI treatment and providing necessary and sufficient infertility treatment. After initial evaluation for fertility, including tubal factor, male factor, the presence of endometriosis and/or adenomyosis, and ovarian reserve, the outcomes of fertility treatment can be predicted to some extent in aged infertile women.
Quand la chaîne opératoire funéraire se dévoile : sépultures de l'âge du bronze dans le désert du Taklamakan (Chine du Nord-Ouest)
Authors: Aoudia L. , Debaine-Francfort C. , Idriss A. , Hu X.
Published: March 2016

Le désert du Taklamakan, dans la province du Xinjiang (ancien Turkestan chinois), région aride de la Chine du Nord-Ouest, fait l'objet de fouilles et de prospections depuis le début des années 1990 par la mission archéologique franco-chinoise au Xinjiang. Cette mission a notamment mis au jour des momies spontanées en contexte sépulcral (momification naturelle sans intervention anthropique). La zone funéraire dite du Cimetière nord, datée deca. 1900-1500 cal. BC, se situe dans un delta fossile de la rivière Keriya qui traversait autrefois le désert de Taklamakan. L'état de conservation exceptionnel de ces sépultures offre l'opportunité d'une lecture directe de chaque séquence de la chaîne opératoire funéraire. Elle permet également de nous interroger sur certains paramètres dont dépend le traitement du cadavre, en particulier l'existence de séquences funéraires différentielles en fonction du sexe ou de l'âge du défunt. Nos résultats montrent que le traitement du cadavre selon son sexe biologique concerne des critères de différenciation qui auraient sans aucun doute échappé à l'observation en milieu tempéré – sans la conservation due à la momification naturelle. En outre, l'étude montre également que la population de l'âge du Bronze a appliqué une chaîne opératoire funéraire qui pourrait avoir utilisé le milieu naturel pour favoriser la momification des cadavres.
An appendix adenocarcinoma mimicking appendicitis
Authors: Wang Ho‐Li , Lin Chen‐Kun , Lin Chun‐Che
Published: March 2016

Cancer of the appendix is very rare and is typically found incidentally in approximately 1% of patients who received appendectomies. Most of appendiceal tumors are carcinoid, adenoma, and lymphoma. Adenocarcinoma of the appendix accounts for only 10% of all primary appendiceal cancers and the treatment remains controversial. In this article, we report a 67‐year‐old man who presented with symptoms of appendicitis that was diagnosed as adenocarcinoma of the appendix Stage II. The patient was treated with right hemicolectomy. To date he remains asymptomatic.
Handrub Consumption Mirrors Hand Hygiene Compliance
Authors: Haubitz Sebastian , Atkinson Andrew , Kaspar Tanja , Nydegger Doris , Eichenberger Anne , Sommerstein Rami , Marschall Jonas
Published: March 2016

We assessed handrub consumption as a surrogate marker for hand hygiene compliance from 2007 to 2014. Handrub consumption varied substantially between departments but correlated in a mixed effects regression model with the number of patient-days and the observed hand hygiene compliance. Handrub consumption may supplement traditional hand hygiene observations.

Infect Control Hosp Epidemiol 2016;37:707–710
The Impact of Methicillin-ResistantStaphylococcus aureus(MRSA) and Vancomycin-Resistant Enterococcus (VRE) Flags on Hospital Operations
Authors: Shenoy Erica S. , Lee Hang , Hou Taige , Ware Winston , Ryan Erin E. , Hooper David C. , Walensky Rochelle P.
Published: March 2016

OBJECTIVE

To determine the impact of methicillin-resistantStaphylococcus aureusand vancomycin-resistant Enterococcus (MRSA/VRE) designations, or flags, on selected hospital operational outcomes.

DESIGN

Retrospective cohort study of inpatients admitted to the Massachusetts General Hospital during 2010–2011.

METHODS

Operational outcomes were time to bed arrival, acuity-unrelated within-hospital transfers, and length of stay. Covariates considered included demographic and clinical characteristics: age, gender, severity of illness on admission, admit day of week, residence prior to admission, hospitalization within the prior 30 days, clinical service, and discharge destination.

RESULTS

Overall, 81,288 admissions were included. After adjusting for covariates, patients with a MRSA/VRE flag at the time of admission experienced a mean delay in time to bed arrival of 1.03 hours (9.63 hours [95% CI, 9.39–9.88] vs 8.60 hours [95% CI, 8.47–8.73]). These patients had 1.19 times the odds of experiencing an acuity-unrelated within-hospital transfer [95% CI, 1.13–1.26] and a mean length of stay 1.76 days longer (7.03 days [95% CI, 6.82–7.24] vs 5.27 days [95% CI, 5.15–5.38]) than patients with no MRSA/VRE flag.

CONCLUSIONS

MRSA/VRE designation was associated with delays in time to bed arrival, increased likelihood of acuity-unrelated within-hospital transfers and extended length of stay. Efforts to identify patients who have cleared MRSA/VRE colonization are critically important to mitigate inefficient use of resources and to improve inpatient flow.

Infect Control Hosp Epidemiol2016;37:782–790
Costs of Antimicrobial Stewardship Programs at US Children’s Hospitals
Authors: Zachariah Philip , Newland Jason G. , Gerber Jeffrey S. , Saiman Lisa , Goldman Jennifer L. , Hersh Adam L. ,   SHARPS Collaborative Project Group
Published: March 2016

The costs of antimicrobial stewardship programs (ASPs) in children’s hospitals have not been described previously. We assessed ASP costs using an online survey administered to ASP leaders at U.S. children’s hospitals. ASP costs varied from $17,000 to $388,500 annually (median, $187,400). Overall costs were not correlated with hospital size.

Infect Control Hosp Epidemiol2016;37:852–854
Stratified tidal flow over a tall ridge above and below the turning latitude
Authors: Musgrave R. C. , Pinkel R. , MacKinnon J. A. , Mazloff Matthew R. , Young W. R.
Published: March 2016

The interaction of the barotropic tide with a tall, two-dimensional ridge is examined analytically and numerically at latitudes where the tide is subinertial, and contrasted to when the tide is superinertial. When the tide is subinertial, the energy density associated with the response grows with latitude as both the oscillatory along-ridge flow and near-ridge isopycnal displacement become large. Where $f\neq 0$, nonlinear processes lead to the formation of along-ridge jets, which become faster at high latitudes. Dissipation and mixing is larger, and peaks later in the tidal cycle when the tide is subinertial compared with when the tide is superinertial. Mixing occurs mainly on the flanks of the topography in both cases, though a superinertial tide may additionally generate mixing above topography arising from convective breaking of radiating waves.
Dynamic binomials with an application to gender bias analysis
Authors: Ferreira Eva , Stute Winfried
Published: March 2016

We analyze the dynamics of a stochastic process driven by binomial random variables, where the probability of success depends on the past realization. We study the limit behavior when the group size is fixed but the number of iterations increases. It will become apparent that the so-called policy function and its fixed point play an outstanding role. Some applications to a statistical analysis of gender bias are also briefly discussed.
A finite exact algorithm to solve a dice game
Authors: Crocce Fabián , Mordecki Ernesto
Published: March 2016

We provide an algorithm to find the value and an optimal strategy of the Ten Thousand dice game solitaire variant in the framework of Markov control processes. Once an optimal critical threshold is found, the set of nonstopping states of the game becomes finite and the solution is found by a backwards algorithm that gives the values for each one of these states of the game. The algorithm is finite and exact. The strategy to find the critical threshold comes from the continuous pasting condition used in optimal stopping problems for continuous-time processes with jumps.
Point process approach to modeling and analysis of general cascading failure models
Authors: Lee Hyunju , Cha Ji Hwan
Published: March 2016

A cascading failure is a failure in a system of interconnected parts in which the failure of a part can trigger the failure of successive parts. Although an initial and introductory approach for probabilistic modeling and analysis of the cascading failures was suggested in the literature, any general framework and fundamental results have yet to be reported. In this paper, applying the point process approach, we suggest a general framework for modeling and analysis of the cascading failures. Furthermore, a new concept of 'information-based residual lifetime' will be defined and discussed.
Tail asymptotics for the supremum of an infinitely divisible field with convolution equivalent Lévy measure
Authors: Rønn-Nielsen Anders , Jensen Eva B. Vedel
Published: March 2016

We consider a continuous, infinitely divisible random field in Rd given as an integral of a kernel function with respect to a Lévy basis with convolution equivalent Lévy measure. For a large class of such random fields we compute the asymptotic probability that the supremum of the field exceeds the level x as x → ∞. Our main result is that the asymptotic probability is equivalent to the right tail of the underlying Lévy measure.
An Euler–Poisson scheme for Lévy driven stochastic differential equations
Authors: Ferreiro-Castilla A. , Kyprianou A. E. , Scheichl R.
Published: March 2016

We describe an Euler scheme to approximate solutions of Lévy driven stochastic differential equations (SDEs) where the grid points are given by the arrival times of a Poisson process and thus are random. This result extends the previous work of Ferreiro-Castilla et al. (2014). We provide a complete numerical analysis of the algorithm to approximate the terminal value of the SDE and prove that the mean-square error converges with rate O(n-1/2). The only requirement of the methodology is to have exact samples from the resolvent of the Lévy process driving the SDE. Classical examples, such as stable processes, subclasses of spectrally one-sided Lévy processes, and new families, such as meromorphic Lévy processes (Kuznetsov et al. (2012), are examples for which our algorithm provides an interesting alternative to existing methods, due to its straightforward implementation and its robustness with respect to the jump structure of the driving Lévy process.
Ordering scalar products with applications in financial engineering and actuarial science
Authors: You Yinping , Li Xiaohu
Published: March 2016

In this paper we build the increasing convex (concave) order for the scalar product of random vectors with an upper (lower) tail permutation decreasing joint density. As applications, we revisit allocations of portfolio risks in financial engineering and of coverage limits and deductibles in insurance. Some related results in the literature are substantially updated.
On the Nearest-Neighbor Algorithm for the Mean-Field Traveling Salesman Problem
Authors: Bandyopadhyay Antar , Sajadi Farkhondeh
Published: March 2016

In this work we consider the mean-field traveling salesman problem, where the intercity distances are taken to be independent and identically distributed with some distribution F. We consider the simplest approximation algorithm, namely, the nearest-neighbor algorithm, where the rule is to move to the nearest nonvisited city. We show that the limiting behavior of the total length of the nearest-neighbor tour depends on the scaling properties of the density of F at 0 and derive the limits for all possible cases of general F.
Optimal Stopping of the Maximum Process
Authors: Alvarez Luis H. R. , Matomäki Pekka
Published: March 2016

We consider a class of optimal stopping problems involving both the running maximum as well as the prevailing state of a linear diffusion. Instead of tackling the problem directly via the standard free boundary approach, we take an alternative route and present a parameterized family of standard stopping problems of the underlying diffusion. We apply this family to delineate circumstances under which the original problem admits a unique, well-defined solution. We then develop a discretized approach resulting in a numerical algorithm for solving the considered class of stopping problems. We illustrate the use of the algorithm in both a geometric Brownian motion and a mean reverting diffusion setting.
Stochastic Monotonicity and Duality of kth Order with Application to Put-Call Symmetry of Powered Options
Authors: Kolokoltsov Vassili N.
Published: March 2016

We introduce a notion of kth order stochastic monotonicity and duality that allows us to unify the notion used in insurance mathematics (sometimes refereed to as Siegmund's duality) for the study of ruin probability and the duality responsible for the so-called put-call symmetries in option pricing. Our general kth order duality can be interpreted financially as put-call symmetry for powered options. The main objective of this paper is to develop an effective analytic approach to the analysis of duality that will lead to the full characterization of kth order duality of Markov processes in terms of their generators, which is new even for the well-studied case of put-call symmetries.
Algorithms and Formulae for Conversion Between System Signatures and Reliability Functions
Authors: Marichal Jean-Luc
Published: March 2016

The concept of a signature is a useful tool in the analysis of semicoherent systems with continuous, and independent and identically distributed component lifetimes, especially for the comparison of different system designs and the computation of the system reliability. For such systems, we provide conversion formulae between the signature and the reliability function through the corresponding vector of dominations and we derive efficient algorithms for the computation of any of these concepts from any other. We also show how the signature can be easily computed from the reliability function via basic manipulations such as differentiation, coefficient extraction, and integration.
The Early Eighteenth-Century German Confessional Crisis: The Juridification of Religious Conflict in the Reconfessionalized Politics of the Holy Roman Empire
Authors: Milton Patrick
Published: March 2016

The success of the treaties of Westphalia in preserving the religious peace in the Holy Roman Empire after 1648 has been a popular scholarly theme. Many historians also realize, however, that confessional tensions and confrontations persisted well into the eighteenth century. Exploring an early eighteenth-century German confessional crisis centered in the Palatinate, this article focuses on the degree to which judicial, political, and diplomatic mechanisms successfully regulated and deescalated confessional strife. In short, it looks at the “juridification” of confessional conflict in the Empire. In so doing, it addresses a number of underresearched themes, such as the reactions of the Catholic princes and the Emperor, the internal dynamics within theCorpus Evangelicorum, as well as the international dimension of European great power politics. This not only provides a multiangle analysis of a crisis that saw the emergence of a new regime in the politics of religion, but also offers greater insight into the relationship between the powerful, militarized Protestant territorial-states of northern Germany and the Habsburg emperorship, specifically with regard to the judicial authority of the latter.
Complexity, Contingency, and Coherence in the History of Sexuality in Modern Germany: Some Theoretical and Interpretive Reflections
Authors: Dickinson Edward Ross
Published: March 2016

The politics of sexuality in modern Germany was complicated, contradictory, and multivalent. Reflecting on how to conceptualize that complexity is worthwhile, for doing so allows us to formulate multiple interpretive perspectives. After briefly sketching two of the most common scholarly interpretations, this article explores the usefulness of a third model, one in which the political dynamic of the broad and complex debate about sexuality is neither univalent (i.e., moving toward greater freedom or greater repression) nor binary (moving toward both), but “trivalent.” This perspective reveals the usefulness of seeing a political dynamic set up by conflicts and contrasts among three loose groupings that stand out among the many voices debating the nature and meaning of sexuality. At the same time, it uncovers and defines the productivity of multiple contradictions and conflicts, as well as the contingent coherences, they generated. Making use of particular readings of Foucauldian theory and the theory of complex systems, the article suggests the value of thinking about the politics of sexuality in terms of processes of change, as well as structures of power.
Fordist Connections: The Automotive Integration of the United States and Iran
Authors: Green Nile
Published: March 2016

This essay unravels the intertwined emergence of “Fordist” connections and conceptions of America in Iran during the 1920s. By focusing on the interplay of infrastructure and information, I use a Persian travelogue to chart the impact of motor transport that, in the wake of the First World War, connected a formerly isolated Iran to the Arab Mediterranean and thence to America. Compared to the extensive Levantine encounter with the Americas that from the 1870s generated an Arab diaspora and Arabic emigration literature from Buenos Aires to Detroit, the Iranian encounter with the United States was much later and more limited. This changed rapidly, however, with the opening of the “Nairn Way” and the importing of American automobiles, developments that tied Iran to the Levant at the very moment American strategists were coining the unitary spatial concept of a “Middle East.” In Iran, this conjunctural moment coincided with the rise of Riza Shah and the nationalist search for a third-power strategy to negate a century of Russian and British influence. Expanding the recent literature on Middle Eastern globalization, this essay uses ‘Abdullah Bahrami's 1926 travelogueAz Tihran ta Niyu Yurk(From Tehran to New York) to reconstruct what Iran's new nation-builders hoped to learn from the United States during the formative decade of U.S.-Iran relations. From behind the better-known story of petropolitics, Bahrami's travelogue captures the turning point when the United States first rose on the globalizing horizons of Iran's modernizing nationalists.
The Values of Versatility: Pharmacists, Plants, and Place in the French (Post)Colonial World
Authors: Monnais Laurence , Tousignant Noémi
Published: March 2016

Colonial pharmacists bio-prospected, acclimatized, chemically screened, and tinkered with plants and their parts, hoping to create products to supply colonial public health care, metropolitan industries, and imperial markets. This article's approach is to examine the trajectories of expertise of two French colonial pharmacists, Franck Guichard and Joseph Kerharo, to illuminate the history of modern medicinal plant research. Both men studied medicinal plants as part of their colonial duties, yet their interests in indigenous therapies exceeded and outlived colonial projects. We take this “overflow” as our point of departure to explore how science transformed medicinal plant values in French colonial and postcolonial contexts. Our focus is on the relationship between value and space—on the processes of conceptual and material (de-/re-)localization through which plant value is calculated, intensified, and distributed. We study and compare these processes in French Indochina and French West Africa where Guichard and Kerharo, respectively, engaged in them most intensively. We show that their engagements with matter, value, knowledge, and mobility defy easy categorizations of medicinal plant science as either extractive or neo-traditionalist. By eschewing simple equations of scientists' motivations with political projects and knowledge-production, we argue that approaching plant medicine through trajectories of expertise opens up grounds for finer analyses of how colonial power and projects, and their legacies, shaped scientific activity.
“With my head on the pillow”: Sovereignty, Ethics, and Evil among Undercover Police Investigators
Authors: Feldman Gregory
Published: March 2016

Based on intensive ethnographic fieldwork among an undercover police investigative team in a southern European Union member state, I argue that moments arise when this team acts “ethically” in spite of the legal and policy mandates surrounding their work. I understand ethical action to include action that people undertake because they refuse to bear any responsibility (active or passive) for events that they deem to be “evil,” lest such events become constitutive of their own personhood. This situation would preclude individuals from living in agreement with themselves. To this end, the article details some basic conditions in which this team works when operating outside of the law. This ethnographic analysis points to a form of political sovereignty that depends squarely upon particular speaking subjects rather than transcends and homogenizes those subjects as made evident in Agamben's “state of exception” argument. Those conditions include their particular place in the investigative process; egalitarianism among particular subjects; deep familiarity with each other; and an understanding of similarities between themselves and the targets of their investigations. Though fleeting in its appearance, the impetus to political action and a sovereign form premised upon particular speaking subjects can be well understood by developing certain implications in phenomenological anthropology and the anthropology of ethics. Most important among them is the need for mutual recognition among particular speaking subjects as political equals.
Sex, Death, and Aristocratic Empire: Iranian Jurisprudence in Late Antiquity
Authors: Payne Richard E.
Published: March 2016

In the Iranian Empire (226–636 CE), jurists drawn from the ranks of the Zoroastrian priestly elite developed a complex of institutions designed to guarantee the reproduction of aristocratic males as long as the empire endured. To overcome the high rate of mortality characteristic of preindustrial demographic regimes, they aimed to maximize the fertility rate without compromising their endogamous ideals through the institutions of reproductive coercion, temporary marriage, and “substitute-successorship.” Occupying a position between the varieties of monogamy and polygyny hitherto practiced in the Ancient Near East, the Iranian organization of sex enabled elites not only to reproduce their patrilineages reliably across multiple generations, but also to achieve an appropriate ratio of resources to number of offspring. As the backbone of this juridical architecture, the imperial court became the anchor of aristocratic power, and ruling and aristocratic dynasties became increasingly intertwined and interdependent, forming the patrilineal networks of the “Iranians”—the agents and beneficiaries of Iranian imperialism. The empire's aristocratic structure took shape through a sexual economy: the court created and circulated sexual and reproductive incentives that incorporated elite males into its network that was, thanks to its politically enhanced inclusive fitness, reliable and reproducible. In demonstrating the centrality of Zoroastrian cosmology to the construction and operation of the relevant juridical institutions, I seek to join the approaches of evolutionary biology and cultural anthropology to reproduction that have been pursued in opposition, to account for the historical role of sex in the consolidation of the Iranian Empire.
Roman History
Authors: Grig Lucy
Published: March 2016

This crop of books features, inter alia, a real blockbuster, the Roman Guy Fawkes, a host of bishops, and the welcome appearance of some Roman women. The under-representation of women as writers of Roman history has been something I noted in previous reviews; the under-representation of women in Roman history is scarcely news, meanwhile. However, this review includes no fewer than three biographies of Roman women, only one of whom was an empress (who could be considered the ‘usual suspects’).
Weak Convergence Limits for Closed Cyclic Networks of Queues with Multiple Bottleneck Nodes
Authors: Stenzel Ole , Daduna Hans
Published: March 2016

We consider a sequence of cycles of exponential single-server nodes, where the number of nodes is fixed and the number of customers grows unboundedly. We prove a central limit theorem for the cycle time distribution. We investigate the idle time structure of the bottleneck nodes and the joint sojourn time distribution that a test customer observes at the nonbottleneck nodes during a cycle. Furthermore, we study the filling behaviour of the bottleneck nodes, and show that the single bottleneck and multiple bottleneck cases lead to different asymptotic behaviours.
Twenty Questions with Noise: Bayes Optimal Policies for Entropy Loss
Authors: Jedynak Bruno , Frazier Peter I. , Sznitman Raphael
Published: March 2016

We consider the problem of twenty questions with noisy answers, in which we seek to find a target by repeatedly choosing a set, asking an oracle whether the target lies in this set, and obtaining an answer corrupted by noise. Starting with a prior distribution on the target's location, we seek to minimize the expected entropy of the posterior distribution. We formulate this problem as a dynamic program and show that any policy optimizing the one-step expected reduction in entropy is also optimal over the full horizon. Two such Bayes optimal policies are presented: one generalizes the probabilistic bisection policy due to Horstein and the other asks a deterministic set of questions. We study the structural properties of the latter, and illustrate its use in a computer vision application.
Approximating Multivariate Tempered Stable Processes
Authors: Baeumer Boris , Kovács Mihály
Published: March 2016

We give a simple method to approximate multidimensional exponentially tempered stable processes and show that the approximating process converges in the Skorokhod topology to the tempered process. The approximation is based on the generation of a random angle and a random variable with a lower-dimensional Lévy measure. We then show that if an arbitrarily small normal random variable is added, the marginal densities converge uniformly at an almost linear rate, providing a critical tool to assess the performance of existing particle tracking codes.
A Note on the Failure Rates in Finite Mixed Populations
Authors: Cha Ji Hwan , Giorgio Massimiliano
Published: March 2016

Almost all populations existing in the real world are finite populations. Specifically, in the areas relevant to lifetime modeling and analysis, finite populations are frequently encountered. However, descriptions of failure/survival patterns of elements in the finite population have not yet been properly established. In particular, it is questionable whether the ordinary failure rate can be defined for finite populations in the same way and whether the corresponding interpretations are still valid. In this paper we consider two kinds of finite mixed population and provide new definitions for their failure rates. Then we clarify the notion of failure rate in finite populations.
Two-Dimensional Signatures
Authors: Gertsbakh Ilya , Shpungin Yoseph , Spizzichino Fabio
Published: March 2016

The notion of the signature is a basic concept and a powerful tool in the analysis of networks and reliability systems of binary type. An appropriate definition of this concept has recently been introduced for systems that have ν possible states (with ν ≥ 3). In this paper we analyze in detail several properties and the most relevant aspects of such a general definition. For simplicity's sake, we focus our attention on the case ν = 3. Our analysis will however provide a number of hints for understanding the basic aspects of the general case.
On Optimal Stopping Problems for Matrix-Exponential Jump-Diffusion Processes
Authors: Sheu Yuan-Chung , Tsai Ming-Yao
Published: March 2016

In this paper we consider optimal stopping problems for a general class of reward functions under matrix-exponential jump-diffusion processes. Given an American call-type reward function in this class, following the averaging problem approach (see, for example, Alili and Kyprianou (2005), Kyprianou and Surya (2005), Novikov and Shiryaev (2007), and Surya (2007)), we give an explicit formula for solutions of the corresponding averaging problem. Based on this explicit formula, we obtain the optimal level and the value function for American call-type optimal stopping problems.
Occupation Times for Markov-Modulated Brownian Motion
Authors: Breuer Lothar
Published: March 2016

In this paper we determine the distributions of occupation times of a Markov-modulated Brownian motion (MMBM) in separate intervals before a first passage time or an exit from an interval. We derive the distributions in terms of their Laplace transforms, and we also distinguish between occupation times in different phases. For MMBMs with strictly positive variation parameters, we further propose scale functions.
Extinction Probabilities of Supercritical Decomposable Branching Processes
Authors: Hautphenne Sophie
Published: March 2016

We focus on supercritical decomposable (reducible) multitype branching processes. Types are partitioned into irreducible equivalence classes. In this context, extinction of some classes is possible without the whole process becoming extinct. We derive criteria for the almost-sure extinction of the whole process, as well as of a specific class, conditionally given the class of the initial particle. We give sufficient conditions under which the extinction of a class implies the extinction of another class or of the whole process. Finally, we show that the extinction probability of a specific class is the minimal nonnegative solution of the usual extinction equation but with added constraints.
First Passage Time of Skew Brownian Motion
Authors: Appuhamillage Thilanka , Sheldon Daniel
Published: March 2016

Nearly fifty years after the introduction of skew Brownian motion by Itô and McKean (1963), the first passage time distribution remains unknown. In this paper we first generalize results of Pitman and Yor (2011) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of skew Brownian motion, and then use these results to derive the first passage time distribution.
Probabilities of Competing Binomial Random Variables
Authors: Li Wenbo V. , Vysotsky Vladislav V.
Published: March 2016

Suppose that both you and your friend toss an unfair coinntimes, for which the probability of heads is equal to α. What is the probability that you obtain at leastdmore heads than your friend if you makeradditional tosses? We obtain asymptotic and monotonicity/convexity properties for this competing probability as a function ofn, and demonstrate surprising phase transition phenomenon as the parametersd,r, and α vary. Our main tools are integral representations based on Fourier analysis.
A Pólya Approximation to the Poisson-Binomial Law
Authors: Skipper Max
Published: March 2016

Using Stein's method, we derive explicit upper bounds on the total variation distance between a Poisson-binomial law (the distribution of a sum of independent but not necessarily identically distributed Bernoulli random variables) and a Pólya distribution with the same support, mean, and variance; a nonuniform bound on the pointwise distance between the probability mass functions is also given. A numerical comparison of alternative distributional approximations on a somewhat representative collection of case studies is also exhibited. The evidence proves that no single one is uniformly most accurate, though it suggests that the Pólya approximation might be preferred in several parameter domains encountered in practice.
Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations
Authors: Agarwal Ankush , Dey Santanu , Juneja Sandeep
Published: March 2016

We consider the problem of efficient simulation estimation of the density function at the tails, and the probability of large deviations for a sum of independent, identically distributed (i.i.d.), light-tailed, and nonlattice random vectors. The latter problem besides being of independent interest, also forms a building block for more complex rare event problems that arise, for instance, in queueing and financial credit risk modeling. It has been extensively studied in the literature where state-independent, exponential-twisting-based importance sampling has been shown to be asymptotically efficient and a more nuanced state-dependent exponential twisting has been shown to have a stronger bounded relative error property. We exploit the saddle-point-based representations that exist for these rare quantities, which rely on inverting the characteristic functions of the underlying random vectors. These representations reduce the rare event estimation problem to evaluating certain integrals, which may via importance sampling be represented as expectations. Furthermore, it is easy to identify and approximate the zero-variance importance sampling distribution to estimate these integrals. We identify such importance sampling measures and show that they possess the asymptotically vanishing relative error property that is stronger than the bounded relative error property. To illustrate the broader applicability of the proposed methodology, we extend it to develop an asymptotically vanishing relative error estimator for the practically important expected overshoot of sums of i.i.d. random variables.
The Ancestral Process of Long-Range Seed Bank Models
Authors: Blath Jochen , González Casanova Adrián , Kurt Noemi , Spanò Dario
Published: March 2016

We present a new model for seed banks, where direct ancestors of individuals may have lived in the near as well as the very far past. The classical Wright‒Fisher model, as well as a seed bank model with bounded age distribution considered in Kaj, Krone and Lascoux (2001) are special cases of our model. We discern three parameter regimes of the seed bank age distribution, which lead to substantially different behaviour in terms of genetic variability, in particular with respect to fixation of types and time to the most recent common ancestor. We prove that, for age distributions with finite mean, the ancestral process converges to a time-changed Kingman coalescent, while in the case of infinite mean, ancestral lineages might not merge at all with positive probability. Furthermore, we present a construction of the forward-in-time process in equilibrium. The mathematical methods are based on renewal theory, the urn process introduced in Kaj, Krone and Lascoux (2001) as well as on a paper by Hammond and Sheffield (2013).
Stochastic Comparisons of Residual Lifetimes and Inactivity Times of Coherent Systems
Authors: Gupta Nitin
Published: March 2016

Under the assumption of independent and identically distributed (i.i.d.) components, the problem of the stochastic comparison of a coherent system having used components and a used coherent system has been considered. Necessary and sufficient conditions on structure functions have been provided for the stochastic comparison of a coherent system having used/inactive i.i.d. components and a used/inactive coherent system. As a consequence, forr-out-of-nsystems, it has been shown that systems having used i.i.d. components stochastically dominate used systems in the likelihood ratio ordering.
Relations Between Hidden Regular Variation and the Tail Order of Copulas
Authors: Hua Lei , Joe Harry , Li Haijun
Published: March 2016

We study the relations between the tail order of copulas and hidden regular variation (HRV) on subcones generated by order statistics. Multivariate regular variation (MRV) and HRV deal with extremal dependence of random vectors with Pareto-like univariate margins. Alternatively, if one uses a copula to model the dependence structure of a random vector then the upper exponent and tail order functions can be used to capture the extremal dependence structure. After defining upper exponent functions on a series of subcones, we establish the relation between the tail order of a copula and the tail indexes for MRV and HRV. We show that upper exponent functions of a copula and intensity measures of MRV/HRV can be represented by each other, and the upper exponent function on subcones can be expressed by a Pickands-type integral representation. Finally, a mixture model is given with the mixing random vector leading to the finite-directional measure in a product-measure representation of HRV intensity measures.
The Maximum of a Symmetric Next Neighbor Walk on the Nonnegative Integers
Authors: Percus Ora E. , Percus Jerome K.
Published: March 2016

We consider a one-dimensional discrete symmetric random walk with a reflecting boundary at the origin. Generating functions are found for the two-dimensional probability distribution P{S

n
= x, max1≤j≤n

S

n
= a} of being at position x after n steps, while the maximal location that the walker has achieved during these n steps is a. We also obtain the familiar (marginal) one-dimensional distribution for S

n
= x, but more importantly that for max1≤j≤n

S

j
= a asymptotically at fixed a
2 / n. We are able to compute and compare the expectations and variances of the two one-dimensional distributions, finding that they have qualitatively similar forms, but differ quantitatively in the anticipated fashion.
On Simple Ruin Expressions in Dependent Sparre Andersen Risk Models
Authors: Albrecher Hansjörg , Boxma Onno J. , Ivanovs Jevgenijs
Published: March 2016

In this note we provide a simple alternative probabilistic derivation of an explicit formula of Kwan and Yang (2007) for the probability of ruin in a risk model with a certain dependence between general claim interoccurrence times and subsequent claim sizes of conditionally exponential type. The approach puts the type of formula in a general context, illustrating the potential for similar simple ruin probability expressions in more general risk models with dependence.
Dirichlet and Quasi-Bernoulli Laws for Perpetuities
Authors: Hitczenko Paweł , Letac Gérard
Published: March 2016

Let X, B, and Y be the Dirichlet, Bernoulli, and beta-independent random variables such that X ~
D
(a
0, …, a

d
), Pr(B = (0, …, 0, 1, 0, …, 0)) = a

i
/ a with a = ∑
i=0

d

a

i
, and Y ~ β(1, a). Then, as proved by Sethuraman (1994), X ~ X(1 - Y) + BY. This gives the stationary distribution of a simple Markov chain on a tetrahedron. In this paper we introduce a new distribution on the tetrahedron called a quasi-Bernoulli distribution B

k
(a
0, …, a

d
) with k an integer such that the above result holds when B follows B

k
(a
0, …, a

d
) and when Y ~ β(k, a). We extend it even more generally to the case where X and B are random probabilities such that X is Dirichlet and B is quasi-Bernoulli. Finally, the case where the integer k is replaced by a positive number c is considered when a
0 = · · · = a

d
= 1.
Stochastic Brownian Game of Absolute Dominance
Authors: Luo Shangzhen
Published: March 2016

In this paper we study a reinsurance game between two insurers whose surplus processes are modeled by arithmetic Brownian motions. We assume a minimax criterion in the game. One insurer tries to maximize the probability of absolute dominance while the other tries to minimize it through reinsurance control. Here absolute dominance is defined as the event that liminf of the difference of the surplus levels tends to -∞. Under suitable parameter conditions, the game is solved with the value function and the Nash equilibrium strategy given in explicit form.
A Crump-Mode-Jagers Branching Process Model of Prion Loss in Yeast
Authors: Olofsson Peter , Sindi Suzanne S.
Published: March 2016

The yeast Saccharomyces cerevisiae has emerged as an ideal model system to study the dynamics of prion proteins which are responsible for a number of fatal neurodegenerative diseases in humans. Within an infected cell, prion proteins aggregate in complexes which may increase in size or be fragmented and are transmitted upon cell division. Recent work in yeast suggests that only aggregates below a critical size are transmitted efficiently. We formulate a continuous-time branching process model of a yeast colony under conditions of prion curing. We generalize previous approaches by providing an explicit formula approximating prion loss as influenced by both aggregate growth and size-dependent transmission.
On the Asymptotic Behaviour of Extremes and Near Maxima of Random Observations from the General Error Distributions
Authors: Vasudeva R. , Kumari J. Vasantha , Ravi S.
Published: March 2016

As the name suggests, the family of general error distributions has been used to model nonnormal errors in a variety of situations. In this article we show that the asymptotic distribution of linearly normalized partial maxima of random observations from the general error distributions is Gumbel when the parameter of these distributions lies in the interval (0, 1). Our result fills a gap in the literature. We also establish the corresponding density convergence, obtain an asymptotic distribution of the partial maxima under power normalization, and state and prove a strong law. We also study the asymptotic behaviour of observations near the partial maxima and the sum of such observations.
Asymptotic Bounds for the Distribution of the Sum of Dependent Random Variables
Authors: Wang Ruodu
Published: March 2016

Suppose that X
1, …, X

n
are random variables with the same known marginal distribution F but unknown dependence structure. In this paper we study the smallest possible value of P(X
1 + · · · + X

n
< s) over all possible dependence structures, denoted by m

n,F
(s). We show that m

n,F
(ns) → 0 for s no more than the mean of F under weak assumptions. We also derive a limit of m

n,F
(ns) for any s ∈ R with an error of at most n
-1/6 for general continuous distributions. An application of our result to risk management confirms that the worst-case value at risk is asymptotically equivalent to the worst-case expected shortfall for risk aggregation with dependence uncertainty. In the last part of this paper we present a dual presentation of the theory of complete mixability and give dual proofs of theorems in the literature on this concept.
On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims
Authors: Robert C. Y.
Published: March 2016

In ruin theory, the conjecture given in De Vylder and Goovaerts (2000) is an open problem about the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability evaluated in the associated model with equalized claim amounts. In this paper we consider a weaker version of the conjecture and show that the integrals of the ruin probabilities with respect to the initial risk reserve are uniformly comparable.
Uniform Chernoff and Dvoretzky-Kiefer-Wolfowitz-Type Inequalities for Markov Chains and Related Processes
Authors: Kontorovich Aryeh , Weiss Roi
Published: March 2016

We observe that the technique of Markov contraction can be used to establish measure concentration for a broad class of noncontracting chains. In particular, geometric ergodicity provides a simple and versatile framework. This leads to a short, elementary proof of a general concentration inequality for Markov and hidden Markov chains, which supersedes some of the known results and easily extends to other processes such as Markov trees. As applications, we provide a Dvoretzky-Kiefer-Wolfowitz-type inequality and a uniform Chernoff bound. All of our bounds are dimension-free and hold for countably infinite state spaces.
On the Frequency of Drawdowns for Brownian Motion Processes
Authors: Landriault David , Li Bin , Zhang Hongzhong
Published: March 2016

Drawdowns measuring the decline in value from the historical running maxima over a given period of time are considered as extremal events from the standpoint of risk management. To date, research on the topic has mainly focused on the side of severity by studying the first drawdown over a certain prespecified size. In this paper we extend the discussion by investigating the frequency of drawdowns and some of their inherent characteristics. We consider two types of drawdown time sequences depending on whether a historical running maximum is reset or not. For each type we study the frequency rate of drawdowns, the Laplace transform of the nth drawdown time, the distribution of the running maximum, and the value process at the nth drawdown time, as well as some other quantities of interest. Interesting relationships between these two drawdown time sequences are also established. Finally, insurance policies protecting against the risk of frequent drawdowns are also proposed and priced.
Representations for the Decay Parameter of a Birth-Death Process Based on the Courant-Fischer Theorem
Authors: van Doorn Erik A.
Published: March 2016

We study the decay parameter (the rate of convergence of the transition probabilities) of a birth-death process on {0, 1, …}, which we allow to evanesce by escape, via state 0, to an absorbing state -1. Our main results are representations for the decay parameter under four different scenarios, derived from a unified perspective involving the orthogonal polynomials appearing in Karlin and McGregor's representation for the transition probabilities of a birth-death process, and the Courant-Fischer theorem on eigenvalues of a symmetric matrix. We also show how the representations readily yield some upper and lower bounds that have appeared in the literature.
The Time to Ruin in Some Additive Risk Models with Random Premium Rates
Authors: Jacobsen Martin
Published: March 2016

The risk processes considered in this paper are generated by an underlying Markov process with a regenerative structure and an independent sequence of independent and identically distributed claims. Between the arrivals of claims the process increases at a rate which is a nonnegative function of the present value of the Markov process. The intensity for a claim to occur is another nonnegative function of the value of the Markov process. The claim arrival times are the regeneration times for the Markov process. Two-sided claims are allowed, but the distribution of the positive claims is assumed to have a Laplace transform that is a rational function. The main results describe the joint Laplace transform of the time at ruin and the deficit at ruin. The method used consists in finding partial eigenfunctions for the generator of the joint process consisting of the Markov process and the accumulated claims process, a joint process which is also Markov. These partial eigenfunctions are then used to find a martingale that directly leads to an expression for the desired Laplace transform. In the final section, three examples are given involving different types of the underlying Markov process.