Cyber loss model risk translates to premium mispricing and risk sensitivity

In this paper we focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to assessment of insurability and potential mispricing are enhanced in several aspects involving consideration of model risk. Model risk can arise from model uncertainty and parameter uncertainty. We demonstrate how to quantify the effect of model risk in this analysis by incorporating various robust estimators for key model parameters that apply in both marginal and joint cyber risk loss process modelling. Through this analysis we are able to address the question that, to the best of our knowledge, no other study has investigated in the context of cyber risk: is model risk present in cyber risk data, and how does is it translate into premium mispricing? We believe our findings should complement existing studies seeking to explore the insurability of cyber losses.

Community evaluation of glycoproteomics informatics solutions reveals high-performance search strategies for serum glycopeptide analysis

Glycoproteomics is a powerful yet analytically challenging research tool. Software packages aiding the interpretation of complex glycopeptide tandem mass spectra have appeared, but their relative performance remains untested. Conducted through the HUPO Human Glycoproteomics Initiative, this community study, comprising both developers and users of glycoproteomics software, evaluates solutions for system-wide glycopeptide analysis. The same mass spectrometrybased glycoproteomics datasets from human serum were shared with participants and the relative team performance for N- and O-glycopeptide data analysis was comprehensively established by orthogonal performance tests. Although the results were variable, several high-performance glycoproteomics informatics strategies were identified. Deep analysis of the data revealed key performance-associated search parameters and led to recommendations for improved 'high-coverage' and 'high-accuracy' glycoproteomics search solutions. This study concludes that diverse software packages for comprehensive glycopeptide data analysis exist, points to several high-performance search strategies and specifies key variables that will guide future software developments and assist informatics decision-making in glycoproteomics.

Multiple change point detection and validation in autoregressive time series data

It is quite common that the structure of a time series changes abruptly. Identifying these change points and describing the model structure in the segments between these change points is of interest. In this paper, time series data is modelled assuming each segment is an autoregressive time series with possibly different autoregressive parameters. This is achieved using two main steps. The first step is to use a likelihood ratio scan based estimation technique to identify these potential change points to segment the time series. Once these potential change points are identified, modified parametric spectral discrimination tests are used to validate the proposed segments. A numerical study is conducted to demonstrate the performance of the proposed method across various scenarios and compared against other contemporary techniques.

Multiple Break-Points Detection in Array CGH Data via the Cross-Entropy Method

Array comparative genome hybridization (aCGH) is a widely used methodology to detect copy number variations of a genome in high resolution. Knowing the number of break-points and their corresponding locations in genomic sequences serves different biological needs. Primarily, it helps to identify disease-causing genes that have functional importance in characterizing genome wide diseases. For human autosomes the normal copy number is two, whereas at the sites of oncogenes it increases (gain of DNA) and at the tumour suppressor genes it decreases (loss of DNA). The majority of the current detection methods are deterministic in their set-up and use dynamic programming or different smoothing techniques to obtain the estimates of copy number variations. These approaches limit the search space of the problem due to different assumptions considered in the methods and do not represent the true nature of the uncertainty associated with the unknown break-points in genomic sequences. We propose the Cross-Entropy method, which is a model-based stochastic optimization technique as an exact search method, to estimate both the number and locations of the break-points in aCGH data. We model the continuous scale log-ratio data obtained by the aCGH technique as a multiple break-point problem. The proposed methodology is compared with well established publicly available methods using both artificially generated data and real data. Results show that the proposed procedure is an effective way of estimating number and especially the locations of break-points with high level of precision. Availability: The methods described in this article are implemented in the new R package breakpoint and it is available from the Comprehensive R Archive Network at http://CRAN.R-project.org/package=breakpoint.

An optimal sequential procedure for a buying-selling problem with independent observations

We consider a buying-selling problem when two stops of a sequence of independent random variables are required. An optimal stopping rule and the value of a game are obtained.