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"Janssen, Jacques"
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Semi-Markov migration models for credit risk
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation. This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers.
Book
Big Data for Insurance Companies
This book will be a \"must\" for people who want good knowledge of big data concepts and their applications in the real world, particularly in the field of insurance. It will be useful to people working in finance and to masters students using big data tools. The authors present the bases of big data: data analysis methods, learning processes, application to insurance and position within the insurance market. Individual chapters a will be written by well-known authors in this field.
eBook
Applied diffusion processes from engineering to finance
The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems. The authors point out the strict inter-relations that exist among the diffusion models used in engineering, finance and insurance. In each of the three fields, the basic diffusion models are presented and their strong similarities are discussed. Analytical, numerical and Monte Carlo simulation methods are explained with a view to applying them to obtain the solutions to the different problems presented in the book. Advanced topics such as nonlinear problems, Lévy processes and semi-Markov models in interactions with the diffusion models are discussed, as well as possible future interactions among engineering, finance and insurance.
eBook
Intermarriage and the risk of divorce in the Netherlands: The effects of differences in religion and in nationality, 1974-94
A textbook hypothesis about divorce is that heterogamous marriages are more likely to end in divorce than homogamous marriages. We analyse vital statistics on the population of the Netherlands, which provide a unique and powerful opportunity to test this hypothesis. All marriages formed between 1974 and 1984 (nearly 1 million marriages) are traced in the divorce records and multivariate logistic regression models are used to analyse the effects on divorce of heterogamy in religion and national origin. Our analyses confirm the hypothesis for marriages that cross the Protestant-Catholic or the Jewish-Gentile boundary. Heterogamy effects are weaker for marriages involving Protestants or unaffiliated persons. Marriages between Dutch and other nationalities have a higher risk of divorce, the more so the greater the cultural differences between the two groups. Overall, the evidence supports the view that, in the Netherlands, new group boundaries are more difficult to cross than old group boundaries.
Journal Article
Semi-Markov Migration Models for Credit Risk
Credit risk is one of the most important contemporary problems for banks and insurance companies. Indeed, for banks, more than forty percent of the equities are necessary to cover this risk. Though this problem is studied by large rating agencies with substantial economic, social and financial tools, building stochastic models is nevertheless necessary to complete this descriptive orientation.This book presents a complete presentation of such a category of models using homogeneous and non-homogeneous semi-Markov processes developed by the authors in several recent papers. This approach provides a good method of evaluating the default risk and the classical VaR indicators used for Solvency II and Basel III governance rules.This book is the first to present a complete semi-Markov treatment of credit risk while also insisting on the practical use of the models presented here, including numerical aspects, so that this book is not only useful for scientific research but also to managers working in this field for banks, insurance companies, pension funds and other financial institutions.
eBook
Quality of life restored to normal in patients with atrial fibrillation after pulmonary vein ostial isolation
Pulmonary vein isolation (PVI) is effective in patients with paroxysmal atrial fibrillation. However, its impact on quality of life (QOL) is not completely understood.
Eighty-nine otherwise healthy patients (74 men; age, 53 ± 11 years) were selected for PVI. The Medical Outcomes Short Form 36 (SF-36) and the Symptom Checklist (SCL) QOL questionnaires were obtained before PVI and for as long as 6 months after PVI.
A total of 294 PVs (3.3 PVs/patient) were targeted in 125 procedures (1.4/patient). After a mean follow-up period of 191 ± 109 days, scores for SCL frequency (19.09 ± 8.07 vs 10.67 ± 6.61), SCL severity (15.97 ± 7.68 vs 9.72 ± 5.98), SF-36 physical composite (45.43 ± 9.70 vs 51.70 ± 6.52), and SF-36 mental composite (44.50 ± 11.33 vs 51.67 ± 8.73) improved significantly (
P <.0001 each). Seventy-five patients provided data at both the baseline and a late (3- or 6-month) follow-up. This cohort had significantly worse QOL scores in 7 of the 8 SF-36 subscales at baseline compared with age-matched healthy control subjects, but their QOL scores were similar to a comparison group of 152 previously reported patients with atrial fibrillation receiving drug treatment who had similar demographic and clinical variables. After PVI, patients improved significantly, resulting in equivalence with the healthy control population. Logistic regression analysis of demographic variables and baseline QOL scores revealed no significant predictors of PVI responders.
QOL measures in patients with paroxysmal atrial fibrillation are severly depressed before PVI. Within a 6-month follow-up period after ablation, SF-36 subscale scores were restored to equivalence with an age-matched, healthy control population. Neither demographic or clinical variables nor baseline QOL scores were predictive of response to PVI.
Journal Article
Cystatin M/E Expression is Restricted to Differentiated Epidermal Keratinocytes and Sweat Glands: a New Skin-Specific Proteinase Inhibitor that is a Target for Cross-Linking by Transglutaminase
Using serial analysis of gene expression on cultured human keratinocytes we found high expression levels of genes putatively involved in host protection and defense, such as proteinase inhibitors and antimicrobial proteins. One of these expressed genes was the recently discovered cysteine proteinase inhibitor cystatin M/E that has not been characterized so far at the protein level with respect to tissue distribution and additional biologic properties. Here we report that cystatin M/E has a tissue-specific expression pattern in which high expression levels are restricted to the stratum granulosum of normal human skin, the stratum granulosum/spinosum of psoriatic skin, and the secretory coils of eccrine sweat glands. Low expression levels were found in the nasal cavity. The presence of cystatin M/E in skin and the lack of expression in a variety of other tissues was verified both at the protein level by immunohistochemistry or western blotting, and at the mRNA level by reverse transcriptase polymerase chain reaction or northern blotting. Using biotinylated hexapeptide probes we found that cystatin M/E is an efficient substrate for tissue type transglutaminase and for transglutaminases extracted from stratum corneum, and that it acts as an acyl acceptor but not as an acyl donor. Western blot analysis showed that recombinant cystatin M/E could be cross-linked to a variety of proteins extracted from stratum corneum. In vitro, we found that cystatin M/E expression in cultured keratinocytes is upregulated at the mRNA and protein level, upon induction of differentiation. We demonstrate that cystatin M/E, which has a putative signal peptide, is indeed a secreted protein and is found in vitro in culture supernatant and in vivo in human sweat by enzyme-linked immunosorbent assay or western blotting. Cystatin M/E showed moderate inhibition of cathepsin B but was not active against cathepsin C. We speculate that cystatin M/E is unlikely to be a physiologically relevant inhibitor of intracellular lysosomal cysteine proteinases but rather functions as an inhibitor of self and nonself cysteine proteinases that remain to be identified.
Journal Article
Basic stochastic processes
This book presents basic stochastic processes, stochastic calculus including Lévy processes on one hand, and Markov and Semi Markov models on the other.From the financial point of view, essential concepts such as the Black and Scholes model, VaR indicators, actuarial evaluation, market values, fair pricing play a central role and will be.
eBook
Monounireducible Nonhomogeneous Continuous Time Semi-Markov Processes Applied to Rating Migration Models
Monounireducible nonhomogeneous semi- Markov processes are defined and investigated. The mono- unireducible topological structure is a sufficient condition that guarantees the absorption of the semi-Markov process in a state of the process. This situation is of fundamental importance in the modelling of credit rating migrations because permits the derivation of the distribution function of the time of default. An application in credit rating modelling is given in order to illustrate the results.
Journal Article