Pricing life insurance under stochastic mortality via the instantaneous Sharpe ratio

We develop a pricing rule for life insurance under stochastic mortality in an incomplete market by assuming that the insurance company requires compensation for its risk in the form of a pre-specified instantaneous Sharpe ratio. Our valuation formula satisfies a number of desirable properties, many of which it shares with the standard deviation premium principle. The major result of the paper is that the price per contract solves a linear partial differential equation as the number of contracts approaches infinity. One can represent the limiting price as an expectation with respect to an equivalent martingale measure. Via this representation, one can interpret the instantaneous Sharpe ratio as a market price of mortality risk. Another important result is that if the hazard rate is stochastic, then the risk-adjusted premium is greater than the net premium, even as the number of contracts approaches infinity. Thus, the price reflects the fact that systematic mortality risk cannot be eliminated by selling more life insurance policies. We present a numerical example to illustrate our results, along with the corresponding algorithms.     

Fatty acid derived phosphorus‐containing polyesters via acyclic diene metathesis polymerization

The acyclic diene metathesis (ADMET) polymerization of a phosphorus‐containing α,ω‐diene prepared from a plant oil derived building block is reported. Different ruthenium based metathesis catalysts and conditions were tested to optimize the ADMET polymerization of this monomer. Undecylenyl undecenoate was used as fully renewable comonomer to obtain polyesters with different phosphorus contents and to increase the renewable content of the final polymers. Copolymerization caused marked variations in the molecular weights leading to polyesters from 6 to 38 KDa. The effect of the ADMET polymerization temperature in the thermal properties of the copolymers was studied and their thermal degradation and flame retardant properties were evaluated. © 2009 Wiley Periodicals, Inc. J Polym Sci Part A: Polym Chem 47: 5760–5771, 2009     

Modeling study of non-line-narrowed hole-burned spectra in weakly coupled dimers and multi-chromophoric molecular assemblies

Several different models have been proposed to explain the origin of the complex anti-hole features observed in hole-burned (HB) spectra of excitonically coupled systems such as photosynthetic complexes. This lack of consensus presents a serious constraint on the interpretation of HB spectra and the underlying electronic structures of these systems. To resolve this problem we present results of modeling studies of non-resonant HB spectra taking uncorrelated excitation energy transfer and excitonic interactions into account. Simplified analytical results are compared with Monte Carlo simulations in which excitonic interactions are explicitly taken into account in order to disentangle a number of distinct effects. It is shown that these effects can accurately account for both hole shapes and the broad anti-hole structure observed in excitonically coupled systems. We argue that these models will provide a necessary framework for probing the electronic structure of these systems via HB spectroscopy.     

Advantages of using a modified orthogonal sampling configuration originally designed for LC-ESI-MS to couple CE and MS for the determination of antioxidant phenolic compounds found in virgin olive oil

A ThermoFinnigan sheath liquid flow capillary electrophoresis-mass spectrometry system designed for coupling via a co-axial interface was coupled through an adapted via an alternative, commercially available interface for orthogonal sampling. The affordable, reversible structural alterations made in the commercial LC-MS interface resulted in improved analytical performance.The results of a conventional capillary electrophoresis (CE) method using a commercial co-axial source to determine antioxidant phenolic acids present in virgin olive oil, were compared with those obtained by using a modified orthogonal sampling position. In both cases, separations were done using a 10 mM ammonium acetate/ammonium hydroxide buffer solution at pH 10.0 and a constant applied voltage of 25 kV. The operating variables for the mass spectrometry interface were re-optimized for the modified orthogonal orientation. This allowed the sheath liquid, sheath gas flow rates and capillary voltage to be lowered with respect to the co-axial coupling configuration. In addition, the orthogonal sampling position provided a higher selectivity by effect of ion sampling excluding larger droplets—with an increased momentum along the axis—which were drained through the sink at the bottom of the ion source. Also, the new configuration facilitated sample ionization, improved electrospray stability and led to stronger signals as a result.The new system was validated in terms of precision (repeatability), linearity, and limits of detection and quantification. A comparison of the validation data with the results previously obtained by using a commercial co-axial configuration revealed the adapted orthogonal sampling position to provide better repeatability in both migration times and relative peak areas (<1% and 7% respectively with n = 15 replicates), a good linear range (with levels in the microgram-per-litre region) and lower limits of detection—especially for the compounds detected with the lowest sensitivity when co-axial ESI was used, as HFA, GEN, FER and VAN finding LOD among 24-3.0 μg L⁻¹ respectively.     

Self-assembled E(2)L(3) cryptands (E = P, As, Sb, Bi): transmetalation, homo- and heterometallic assemblies, and conformational isomerism

A series of Group 15-containing homometallic (E(2)L(3), E = P, As, Sb, Bi) and heterometallic (AsSbL(3), AsBiL(3), PSbL(3)) supramolecular cryptands were prepared by the self-assembly of pnictogen halides with dithiolate ligand or by direct transmetalation from a heavier congener. Structural characterization by single crystal X-ray diffraction shows that the E-S bond distances and S-E-S bond angles are significantly affected by the identity of the pnictogen. (1)H NMR spectroscopy reveals that the homometallic cryptands are dynamic in solution: surprisingly one ligand "flips", perturbing the C(3) symmetry of the complex and giving a new asymmetric conformer. Density functional theory calculations were carried out on both the symmetric and the asymmetric conformations of the cryptands, and the energies were compared to those observed by NMR spectroscopy. It was found that the relative stability of the asymmetric cryptand to its symmetric conformer increases with increasing size of the Group 15 element. Finally, it is reported that if two metals are present during the self-assembly process, heterometallic cryptands form. These supramolecular cryptands are reminiscent of their organic analogues, but result from a self-assembly process rather than a stepwise synthesis. Surprisingly, they possess conformational isomerism and exhibit dynamic transmetalation in their reactivity which provides access to otherwise unattainable assemblies.     

Spatial release from masking in normally hearing and hearing-impaired listeners as a function of the temporal overlap of competing talkers

Listeners with sensorineural hearing loss are poorer than listeners with normal hearing at understanding one talker in the presence of another. This deficit is more pronounced when competing talkers are spatially separated, implying a reduced "spatial benefit" in hearing-impaired listeners. This study tested the hypothesis that this deficit is due to increased masking specifically during the simultaneous portions of competing speech signals. Monosyllabic words were compressed to a uniform duration and concatenated to create target and masker sentences with three levels of temporal overlap: 0% (non-overlapping in time), 50% (partially overlapping), or 100% (completely overlapping). Listeners with hearing loss performed particularly poorly in the 100% overlap condition, consistent with the idea that simultaneous speech sounds are most problematic for these listeners. However, spatial release from masking was reduced in all overlap conditions, suggesting that increased masking during periods of temporal overlap is only one factor limiting spatial unmasking in hearing-impaired listeners.     

On the role of the colloidal stability of mesoporous silica nanoparticles as gene delivery vectors

Mesoporous silica nanoparticles have been synthesized and functionalized with four different types of molecules containing amino groups, i.e., with primary amines only, with quaternary amines, with quaternized cyclic amines, or with polyethylenimine (PEI), which is formed by primary, secondary, and tertiary amines. These nanoparticles were then incubated with reporter plasmids and the ability of the resulting complexes to transfect human cells was studied. Only nanoparticles functionalized with PEI were efficient for transfection. The agglomeration behavior and the electrokinetic potential of the nanoparticle–plasmid complexes have been studied, as well as their cell internalization behavior using a fluorescent-labeled plasmid that allows its monitorization by confocal microscopy. The results indicate that the efficiency of PEI-functionalized nanoparticles for transfection resides to some extent in the different characteristics imparted to the nanoparticles regarding agglomeration and surface charge behavior.     

Bilinear Sobolev–Poincaré Inequalities and Leibniz-Type Rules

The dual purpose of this article is to establish bilinear Poincaré-type estimates associated with an approximation of the identity and to explore the connections between bilinear pseudo-differential operators and bilinear potential-type operators. The common underlying theme in both topics is their applications to Leibniz-type rules in Sobolev and Campanato–Morrey spaces under Sobolev scaling.     

Discretization orders for protein side chains

Proteins are important molecules that are widely studied in biology. Since their three-dimensional conformations can give clues about their function, an optimal methodology for the identification of such conformations has been researched for many years. Experiments of Nuclear Magnetic Resonance (NMR) are able to estimate distances between some pairs of atoms forming the protein, and the problem of identifying the possible conformations satisfying the available distance constraints is known in the scientific literature as the Molecular Distance Geometry Problem (MDGP). When some particular assumptions are satisfied, MDGP instances can be discretized, and solved by employing an ad-hoc algorithm, named the interval Branch & Prune. When dealing with molecules such as proteins, whose chemical structure is known, a priori information can be exploited for generating atomic orderings that allow for the discretization. In previous publications, we presented a handcrafted order for the protein backbones. In this work, we propose 20 new orders for the 20 side chains that can be present in proteins. Computational experiments on artificial and real instances from NMR show the usefulness of the proposed orders.