Indifference prices of structured catastrophe (CAT) bonds

We present a method for pricing structured CAT bonds based on utility indifference pricing. The CAT bond considered here is issued in two distinct notes called tranches, specifically senior and junior tranches each with its own payment schedule. Our contributions to the literature of CAT bond pricing are two-fold. First, we apply indifference pricing to structured CAT bonds. We find a price for the senior tranche as a relative indifference price, that is, relative to the price of the junior tranche. Alternatively, one could take the approach that the senior tranche is priced first and the price of the junior tranche is relative to that. Second, instead of simply supposing that the “not-issue-a-CAT-bond” strategy of the reinsurer is to do nothing, we suppose that the reinsurer reduces its risk by reinsuring proportionally less claims. We assume that the reinsurance claims follow a (Poisson) jump-diffusion process.     

Hydrolyse von Polysaccharid-Sulfatestern durch ein Sulfatasepr?parat aus Charonia lampas

Ohne Zusammenfassung     

Molecular dynamics and neutron scattering study of the dependence of polyelectrolyte dendrimer conformation on counterion behavior

Atomistic molecular dynamics (MD) simulations and contrast variation small angle neutron scattering (SANS) have been combined to investigate the Generation-5 polyelectrolyte polyamidoamine starburst dendrimer. This work reveals the dendrimer conformational dependence on counterion association at different levels of molecular charge. The accuracy of the simulations is verified through satisfactory comparison between modeled results, such as excess intra-dendrimer scattering length density distribution and hydration level, and their experimental counterparts. While the counterion distributions are not directly measureable with SANS, the spatial distribution of the counterions and their dendrimer association are extracted from the validated MD equilibrium trajectories. It is found that the conformation of the charged dendrimer is strongly dependent on the counterion association. Sensitivity of the distribution of counterions around charged amines to the counterion valency is qualitatively explained by adopting Langmuir adsorption theory. Moreover, via extending the concept of electrical double layer for compact charged colloids, we define an effective radius of a charged dendrimer including the spatial distribution of counterions in its vicinity. Within the same framework, the correlation between the strength of intra-dendrimer electrostatic repulsion and the counterion valency and dynamics is also addressed.     

A continuous-time search model with job switch and jumps

We study a new search problem in continuous time. In the traditional approach, the basic formulation is to maximize the expected (discounted) return obtained by taking a job, net of search cost incurred until the job is taken. Implicitly assumed in the traditional modeling is that the agent has no job at all during the search period or her decision on a new job is independent of the job situation she is currently engaged in. In contrast, we incorporate the fact that the agent has a job currently and starts searching a new job. Hence we can handle more realistic situation of the search problem. We provide optimal decision rules as to both quitting the current job and taking a new job as well as explicit solutions and proofs of optimality. Further, we extend to a situation where the agent’s current job satisfaction may be affected by sudden downward jumps (e.g., de-motivating events), where we also find an explicit solution; it is rather a rare case that one finds explicit solutions in control problems using a jump diffusion.     

Asymptotic Expansions of Multiple Zeta Functions and Power Mean Values of Hurwitz Zeta Functions

Let (s, ) be the Hurwitz zeta function with parameter . Powermean values of the form are studied, where q and h are positive integers. These mean valuescan be written as linear combinations of , where _r(s₁,...,s_r;) is a generalization of Euler–Zagiermultiple zeta sums. The Mellin–Barnes integral formulais used to prove an asymptotic expansion of , with respect to q. Hence a general way of deducingasymptotic expansion formulas for is obtained. In particular, the asymptotic expansion of with respect to q is written down.     

Direct observation of the formation of polar nanoregions in Pb(Mg1/3Nb2/3)O3 using neutron pair distribution function analysis

Using neutron pair distribution function analysis over the temperature range from 1000 to 15 K, we demonstrate the existence of local polarization and the formation of medium-range, polar nanoregions (PNRs) with local rhombohedral order in a prototypical relaxor ferroelectric Pb(Mg(1/3)Nb(2/3))O3. We estimate the volume fraction of the PNRs as a function of temperature and show that this fraction steadily increases from 0% to a maximum of approximately 30% as the temperature decreases from 650 to 15 K. Below T approximately 200 K the volume fraction of the PNRs becomes significant, and PNRs freeze into the spin-glass-like state.     

Redox-neutral C–H cyanation of tetrahydroisoquinolines under photoredox catalysis

Redox-neutral cyanation of C–H bond adjacent to a nitrogen atom was achieved by using the combination of a photoredox catalyst and p-toluenesulfonyl cyanide. The reaction of tetrahydroisoquinolines proceeded smoothly, affording the corresponding cyanated products selectively in good to high yield. Although the reaction rate became slower in the case of the substrates having electron-withdrawing groups, high yields were achieved by elongating the reaction time. Although the yields were only moderate, the reaction conditions were also applicable to N,N-dialkylanilines.