| 1. |
- Ahlmanner, Filip, et al.
(author)
-
CD39+ regulatory T cells accumulate in colon adenocarcinomas and display markers of increased suppressive function
- 2018
-
In: Oncotarget. - : Impact Journals, LLC. - 1949-2553. ; 9:97, s. 36993-37007
-
Journal article (peer-reviewed)abstract
- Increasing knowledge of the function and regulation of tumor-infiltrating lymphocytes has led to new insights in cancer immunotherapy. Regulatory T cells (Treg) accumulate in colon tumors, and we recently showed that CD39+ Treg from cancer patients inhibit transendothelial migration of conventional T cells. CD39 mediates the hydrolysis of ATP to immunosuppressive adenosine and adds to the immunosuppressive effects of Treg. Here, we further investigated the regulatory features of intratumoral CD39+ Treg in colon cancer. Using flow cytometry analyses of cells from 46 colon cancer patients, we confirm the accumulation of CD39+ Treg in the tumor tissue compared to unaffected colon tissue, and also show that tumor-infiltrating Treg express more CD39 and Foxp3 on a per cell basis. Furthermore, CD39+ Treg in tumors express markers indicating increased turnover and suppressive ability. In particular, tumor-infiltrating CD39+ Treg have high expression of surface molecules related to immunosuppression, such as ICOS, PD-L1 and CTLA-4. Functional suppression assays also indicate potent suppressive capacity of CD39+ Treg on proliferation and IFN-γ secretion by conventional T cells. In conclusion, our results identify tumor-infiltrating CD39+ Treg as a numerous and potentially important immunosuppressive subset, and suggest that immunotherapy aimed at reducing the activity of CD39+ Treg may be particularly useful in the setting of colon cancer. © 2018 Ahlmanner et al.
|
|
| 2. |
- Alm, Jonas, 1984, et al.
(author)
-
Foreign-currency interest-rate swaps in asset–liability management for insurers
- 2013
-
In: European Actuarial Journal. - : Springer Science and Business Media LLC. - 2190-9733 .- 2190-9741. ; 3:1, s. 133-158
-
Journal article (peer-reviewed)abstract
- We consider an insurer with purely domestic business whose liabilities towards its policy holders have long durations. The relative shortage of domestic government bonds with long maturities makes the insurer’s net asset value sensitive to fluctuations in the zero rates used for liability valuation. Therefore, in order to increase the duration of the insurer’s assets, it is common practice for insurers to take a position as the fixed-rate receiver in an interest-rate swap. We assume that this is not possible in the domestic currency but in a foreign currency supporting a larger market of interest-rate swaps. Monthly data over 16 years are used as the basis for investigating the risks to the future net asset value of the insurer from using foreign-currency interest-rate swaps as a proxy for domestic ones in asset–liability management. We find that although a suitable position in swaps may reduce the standard deviation of the future net asset value it may significantly increase the exposure to tail risk that has a substantial effect on the estimation of the solvency capital requirements.
|
|
| 3. |
- Alm, Jonas, 1984, et al.
(author)
-
Valuation of Index-Linked Cash Flows in a Heath-Jarrow-Morton Framework
- 2015
-
In: RISKS. - : MDPI AG. - 2227-9091. ; 3:3, s. 338-364
-
Journal article (peer-reviewed)abstract
- In this paper, we study the valuation of stochastic cash flows that exhibit dependence on interest rates. We focus on insurance liability cash flows linked to an index, such as a consumer price index or wage index, where changes in the index value can be partially understood in terms of changes in the term structure of interest rates. Insurance liability cash flows that are not explicitly linked to an index may still be valued in our framework by interpreting index returns as so-called claims inflation, i.e., an increase in claims cost per sold insurance contract. We focus primarily on the case when a deep and liquid market for index-linked contracts is absent or when the market price data are unreliable. Firstly, we present an approach for assigning a monetary value to a stochastic cash flow that does not require full knowledge of the joint dynamics of the cash flow and the term structure of interest rates. Secondly, we investigate in detail model selection, estimation and validation in a Heath-Jarrow-Morton framework. Finally, we analyze the effects of model uncertainty on the valuation of the cash flows and how forecasts of cash flows and interest rates translate into model parameters and affect the valuation.
|
|
| 4. |
- Armerin, Fredrik, 1971-
(author)
-
Waiting in real options with applications to real estate development valuation
- 2016
-
Licentiate thesis (other academic/artistic)abstract
- In this thesis two dierent problems regarding real options are studied. The rst paper discusses the valuation of a timing option in an irreversible investment when the underlying model is incomplete. It is well known that in a complete model there is no nite optimal time at which to invest if the underlying asset, in our case the value of the developed project, does not pay out any strictly positive cash ows. In an incomplete model, the situation is dierent. Depending on the market price of risk in the model, there could be an optimal nite investment time even though the underlying asset does not pay out any strictly positive cash ows. Several examples of incomplete models are analyzed, and the value of the investment opportunity is calculated in each of them. The second paper concerns the valuation of random start American perpetual options. This type of perpetuate American option has the feature that it can not be exercised until a random time has occured. The reason for studying this type of option is that it provides a way of modelling the initiating of a project, e.g. the optimal time to build on a piece of land, which can not occur until a permit, or some other form of clearance, is given. The random time in the project application represents the time at which the permit is given. Two concrete examples of how to calculate the value of random start options is given.
|
|
| 5. |
- Boman, Jan, et al.
(author)
-
Support Theorems for the Radon Transform and Cram,r-Wold Theorems
- 2009
-
In: Journal of theoretical probability. - : Springer Science and Business Media LLC. - 0894-9840 .- 1572-9230. ; 22:3, s. 683-710
-
Journal article (peer-reviewed)abstract
- This article presents extensions of the Cram,r-Wold theorem to measures that may have infinite mass near the origin. Corresponding results for sequences of measures are presented together with examples showing that the assumptions imposed are sharp. The extensions build on a number of results and methods concerned with injectivity properties of the Radon transform. Using a few tools from distribution theory and Fourier analysis we show that the presented injectivity results for the Radon transform lead to Cram,r-Wold type results for measures. One purpose of this article is to contribute to making known to probabilists interesting results for the Radon transform that have been developed essentially during the 1980s and 1990s.
|
|
| 6. |
- Engler, Nils, et al.
(author)
-
Mack's estimator motivated by large exposure asymptotics in a compound poisson setting
- 2024
-
In: Astin Bulletin. - 0515-0361 .- 1783-1350.
-
Journal article (peer-reviewed)abstract
- The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabled Mack to derive an estimator of conditional mean squared error of prediction for the chain ladder predictor. Classical insurance loss models, that is of compound Poisson type, are not consistent with Mack’s distribution-free chain ladder. However, for a sequence of compound Poisson loss models indexed by exposure (e.g., number of contracts), we show that the chain ladder predictor and Mack’s estimator of conditional mean squared error of prediction can be derived by considering large exposure asymptotics. Hence, quantifying chain ladder prediction uncertainty can be done with Mack’s estimator without relying on the validity of the model assumptions of the distribution-free chain ladder.
|
|
| 7. |
- Engsner, Hampus, et al.
(author)
-
Continuous-time limits of multi-period cost-of-capital margins
- 2020
-
In: Statistics & Risk Modeling. - : Walter de Gruyter GmbH. - 2193-1402 .- 2196-7040. ; 37:3-4, s. 79-106
-
Journal article (peer-reviewed)abstract
- We consider multi-period cost-of-capital valuation of a liability cash flow subject to repeated capital requirements that are partly financed by capital injections from capital providers with limited liability. Limited liability means that, in any given period, the capital provider is not liable for further payment in the event that the capital provided at the beginning of the period turns out to be insufficient to cover both the current-period payments and the updated value of the remaining cash flow. The liability cash flow is modeled as a continuous-time stochastic process on [0,T]. The multi-period structure is given by a partition of [0,T] into subintervals, and on the corresponding finite set of times, a discrete-time cost-of-capital-margin process is defined. Our main objective is the analysis of existence and properties of continuous-time limits of discrete-time cost-of-capital-margin processes corresponding to a sequence of partitions whose meshes tend to zero. Moreover, we provide explicit expressions for the limit processes when cash flows are given by Itô diffusions and processes with independent increments.
|
|
| 8. |
- Engsner, Hampus, et al.
(author)
-
Continuous-time limits of multi-period cost-of-capital valuation
- 2018
-
Reports (other academic/artistic)abstract
- We consider multi-period cost-of-capital valuation of a liability cashflow subject to repeated capital requirements that are partly financed by capital injections from capital providers with limited liability. Limited liability means that, in any given period, the capital provider is not liable for further payment in the event that the capital provided at the beginning of the period turns out to be insufficient to cover both the current-period payments and the updated value of the remaining cash flow. The liability cash flow is modeled as a continuous-time stochastic process on [0, T]. The multi-period structure is given by apartition of [0, T] into subintervals, and on the corresponding finite set of times a discrete-time value process is defined. Our main objectiveis the analysis of existence and properties of continuous-time limits of discrete-time value processes corresponding to a sequence of partitions whose meshes tend to zero. Moreover, we provide explicit and interpretable valuation formulas for a wide class of cash flow models.
|
|
| 9. |
- Engsner, Hampus, 1990-
(author)
-
Dynamic valuation of insurance cash flows subject to capital requirements
- 2021
-
Doctoral thesis (other academic/artistic)abstract
- Insurance companies are required by regulation to be in possession of liquid assets that ensure that they can meet their obligations to policyholders with high probability. The amount is usually determined by an actuarial valuation, with for instance the Solvency II regulatory framework providing standard formulae. In this thesis we investigate a valuation procedure where the value of a liability cash flow is determined via a backwards recursive relationship, meaning that the value at time t depends on the value at time t+1. The value corresponds to an amount required to be able to raise capital from an external capital provider with limited liability, in order to meet capital requirements imposed by a regulating body. Paper I describes the valuation philosophy that will more or less be shared by all papers in the thesis. It establishes a recursive relationship given via a mapping, that satisfy the properties of a dynamic monetary utility function. Conditions are given where finite p:th moments are preserved in the recursion and a link to the well known subject of dynamic monetary risk measures and utility functions is established. The structure of the recursion is used to find closed-form values for certain stochastic processes, most importantly in the case where we have jointly Gaussian cash flows.Paper II explores the valuation procedure in the presence of a risk-neutral probability measure, which correctly prices the financial instruments that are priced by the financial market but is also assumed to express the risk aversion toward non-hedgeable insurance risk of the capital provider. We show that the valuation procedure is equivalent to an optimal stopping problem, giving us an alternative way to define the valuation procedure. We reproduce many of the structural results from Paper I under the assumed conditions. We also consider the choice of replicating portfolio under different criteria, especially the criterion of minimizing the need for external capital.Paper III considers the discrete-time valuation from paper I, but where the valuation times form an arbitrary partition of the time interval on which the runoff of the liability occurs. We investigate the properties of the value as the mesh of the partition goes to zero. We define a "continuous-time value" of a liability cash flow and find closed form expressions and some structural results for classes of stochastic processes including Lévy processes and Itô diffusions.Paper IV tackles the numerical difficulties of performing the recursive valuation procedure where a closed-form value cannot be found. Under Markovian assumptions, a so-called least-squares Monte Carlo (LSM) algorithm is investigated, a method that was developed to tackle optimal stopping problems. We show some overarching consistency results for the LSM algorithm in the general setting of dynamic monetary utility functions and also explore numeric performance for some example models.
|
|
| 10. |
- Engsner, Hampus, et al.
(author)
-
Insurance valuation : A computable multi-period cost-of-capital approach
- 2017
-
In: Insurance, Mathematics & Economics. - : Elsevier BV. - 0167-6687 .- 1873-5959. ; 72, s. 250-264
-
Journal article (peer-reviewed)abstract
- We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is fixed. Then the residual cash flow is managed by repeated one-period replication using only cash funds. The latter part takes capital requirements and costs into account, as well as limited liability and risk averseness of capital providers. The cost-of-capital margin is the value of the residual cash flow. We set up a general framework for the cost-of-capital margin and relate it to dynamic risk measurement. Moreover, we present explicit formulas and properties of the cost-of-capital margin under further assumptions on the model for the liability cash flow and on the conditional risk measures and utility functions. Finally, we highlight computational aspects of the cost-of-capital margin, and related quantities, in terms of an example from life insurance.
|
|
