A market-consistent framework for the fair evaluation of insurance contracts under Solvency II

The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, mainly with reference to financial options and guarantees embedded in life with-profit funds. The robustness of these valuations is crucial for insurance companies in order to produce sound estimates and good risk management strategies, in particular, for liability-driven products such as with-profit saving and pension funds. This paper introduces a Monte Carlo simulation approach for evaluation of insurance assets and liabilities, which is more suitable for risk management of liability-driven products than common approaches generally adopted by insurance companies, in particular, with respect to the assessment of valuation risk

Approximate Pricing of Swaptions in Affine and Quadratic Models

This paper proposes new bounds on the prices of European-style swaptions for affine and quadratic interest rate models. These bounds are computable whenever the joint characteristic function of the state variables is known. In particular, our lower bound involves the computation of a one-dimensional Fourier transform independently of the swap length. In addition, we control the error of our method by providing a new upper bound on swaption price that is applicable to all considered models. We test our bounds on different affine models and on a quadratic Gaussian model. We also apply our procedure to the multiple curve framework. The bounds are found to be accurate and computationally efficient

Fire and climate: Biomass burning recorded in ice and lake cores

Human activities including fossil fuel burning are currently altering the global climate system at rates faster than ever recorded in geologic time. Biomass burning causes carbon dioxide emissions equal to 50% of those from fossil-fuel combustion and so are highly likely to influence future climate change. However, aerosols continue to be one of the least understood aspects of the modern climate system and even less is known about their past influence. Ice and lake core proxy records provide quantifiable data on past fire regimes across most spatial and temporal scales. Some monosaccharide anhydrides such as levoglucosan, mannosan and galactosan are used as specific molecular markers for biomass burning as they can only be produced by combustion processes at temperatures greater than 300 °C and are present in both ice and lake cores. Other paleofire tracers such as microcharcoal, polycyclic aromatic hydrocarbons, and pollen records augment the fire history derived at single sites or across regions. As both pyrochemical and climate parameters are determined from the same depth and time within the ice or sediment matrix, the multi-proxy nature of ice and lake cores presents an ideal material to investigate the links between fires and climate change

Impact of sound attenuation on ultrasound-driven yield improvements during olive oil extraction

High frequency ultrasound can enhance olive oil extractability industrially. However, the ultrasound attenuation phenomena and their implications on extractability, are not well understood. This work aims at evaluating the ultrasound attenuation effects on the oil extraction efficiency, while providing deeper insights into the physics behind the ultrasound extraction in a heterogeneous medium. Olives were collected and processed both in Italy and Uruguay during their respective harvest seasons. Sound pressure distribution was characterized in a high frequency ultrasound reactor, carrying 3 kg of water or paste, by using an indirect contact hydrophone device at 0.4 MHz or 2 MHz. A through-transmission ultrasonic technique was applied to determine attenuation profiles and coefficients in paste at the central frequency of each transducer, with various paste to water ratios and reactor sizes. Other ultrasound improvements on extractability were evaluated including reduction of malaxation time (10, 30 min), sonication time (2.5, 5 min) and power level (174, 280 W) without water addition and in a reactor with a 14.5 cm transducer to wall distance. However, no sound pressure levels in paste were detectable beyond 9 cm from the transducer at both frequencies. Among the various effects evaluated, an emission frequency of 0.4 MHz better improved extractability compared to 2 MHz. The attenuation profiles corroborated these findings with attenuation coefficients of 3.9 and 5.3 dB/cm measured near the respective frequencies. Improvements in oil extractability due to increasing sonication time and power level were significant (p < 0.05) also when sonicating beyond 14.5 cm and without water addition. Oil extractability improvements were observed even when sound pressure was undetectable beyond 9 cm from the transducer, suggesting that the standing wave oil trapping effect is not the governing mechanism for separation in high attenuation media for large scale systems

Spontaneous calcification process in primary renal cells from a medullary sponge kidney patient harbouring a GDNF mutation.

Medullary nephrocalcinosis is a hallmark of medullary sponge kidney (MSK). We had the opportunity to study a spontaneous calcification process in vitro by utilizing the renal cells of a patient with MSK who was heterozygous for the c.-27 + 18G>A variant in the GDNF gene encoding glial cell-derived neurotrophic factor. The cells were obtained by collagenase digestion of papillary tissues from the MSK patient and from two patients who had no MSK or nephrocalcinosis. These cells were typed by immunocytochemistry, and the presence of mineral deposits was studied using von Kossa staining, scanning electron microscopy analysis and an ALP assay. Osteoblastic lineage markers were studied using immunocytochemistry and RT-PCR. Staminality markers were also analysed using flow cytometry, magnetic cell separation technology, immunocytochemistry and RT-PCR. Starting from p2, MSK and control cells formed nodules with a behaviour similar to that of calcifying pericytes; however, Ca2PO4 was only found in the MSK cultures. The MSK cells had morphologies and immunophenotypes resembling those of pericytes or stromal stem cells and were positive for vimentin, ZO1, aSMA and CD146. In addition, the MSK cells expressed osteocalcin and osteonectin, indicating an osteoblast-like phenotype. In contrast to the control cells, GDNF was down-regulated in the MSK cells. Stable GDNF knockdown was established in the HK2 cell line and was found to promote Ca2PO4 deposition when the cells were incubated with calcifying medium by regulating the osteonectin/osteopontin ratio in favour of osteonectin. Our data indicate that the human papilla may be a perivascular niche in which pericyte/stromal-like cells can undergo osteogenic differentiation under particular conditions and suggest that GDNF down-regulation may have influenced the observed phenomenon

Fast Liquid Chromatography Coupled with Tandem Mass Spectrometry for the Analysis of Vanillic and Syringic Acids in Ice Cores

The development of new analytical systems and the improvement of the existing ones to obtain high-resolution measurements of chemical markers in samples from ice cores, is one of the main challenges the paleoclimatic scientific community is facing. Different chemical species can be used as markers for tracking emission sources or specific environmental processes. Although some markers, such as methane sulfonic acid (a proxy of marine productivity), are commonly used, there is a lack of data on other organic tracers in ice cores, making their continuous analysis analytically challenging. Here, we present an innovative combination of fast liquid chromatography coupled with tandem mass spectrometry (FLC-MS/MS) to continuously determine organic markers in ice cores. After specific optimization, this approach was applied to the quantification of vanillic and syringic acids, two specific markers for biomass burning. Using the validated method, detection limits of 3.6 and 4.6 pg mL-1for vanillic and syringic acids, respectively, were achieved. Thanks to the coupling of FLC-MS/MS with the continuous flow analytical system, we obtained one measurement every 30 s, which corresponds to a sampling resolution of a sample every 1.5 cm with a melting rate of 3.0 cm min-1. To check the robustness of the method, we analyzed two parallel sticks of an alpine ice core over more than 5 h. Vanillic acid was found with concentrations in the range of picograms per milliliter, suggesting the combustion of coniferous trees, which are found throughout the Italian Alps

Carbonaceous aerosol in polar areas: First results and improvements of the sampling strategies

While more and more studies are being conducted on carbonaceous fractions—organic carbon (OC) and elemental carbon (EC)—in urban areas, there are still too few studies about these species and their effects in polar areas due to their very low concentrations; further, studies in the literature report only data from intensive campaigns, limited in time. We present here for the first time EC–OC concentration long-time data records from the sea-level sampling site of Ny-Ålesund, in the High Arctic (5 years), and from Dome C, in the East Antarctic Plateau (1 year). Regarding the Arctic, the median (and the interquartile range (IQR)) mass concentrations for the years 2011–2015 are 352 (IQR: 283–475) ng/m3 for OC and 4.8 (IQR: 4.6–17.4) ng/m3 for EC, which is responsible for only 3% of total carbon (TC). From both the concentration data sets and the variation of the average monthly concentrations, the influence of the Arctic haze on EC and OC concentrations is evident. Summer may be interested by high concentration episodes mainly due to long-range transport (e.g., from wide wildfires in the Northern Hemisphere, as happened in 2015). The average ratio of EC/OC for the summer period is 0.05, ranging from 0.02 to 0.10, and indicates a clean environment with prevailing biogenic (or biomass burning) sources, as well as aged, highly oxidized aerosol from long-range transport. Contribution from ship emission is not evident, but this result may be due to the sampling time resolution. In Antarctica, a 1 year-around data set from December 2016 to February 2018 is shown, which does not present a clear seasonal trend. The OC median (and IQR) value is 78 (64–106) ng/m3; for EC, it is 0.9 (0.6–2.4) ng/m3, weighing for 3% on TC values. The EC/OC ratio mean value is 0.20, with a range of 0.06–0.35. Due to the low EC and OC concentrations in polar areas, correction for the blank is far more important than in campaigns carried out in other regions, largely affecting uncertainties in measured concentrations. Through the years, we have thus developed a new sampling strategy that is presented here for the first time: samplers were modified in order to collect a larger amount of particulates on a small surface, enhancing the capability of the analytical method since the thermo-optical analyzer is sensitive to carbonaceous aerosol areal density. Further, we have recently coupled such modified samplers with a sampling strategy that makes a more reliable blank correction of every single sample possible

A new method for the evaluation of the direct effect of the ship traffic on PAHs

Emissions of exhaust gases and particles from ships can affect significantly the chemical composition of the atmosphere, local and regional air quality and climate. These emissions might have harmful effects on human health, since Mediterranean harbors are often located near or within the cities. Moreover ships and harbours emissions are currently increasing, due to the grow of tourism and trade, further amplifying this issue. International legislation and local agreements are mainly based on the use of low-sulphur fuel content, but also other chemicals, such as polycyclic aromatic hydrocarbons (PAHs), play an important role. Because of their low reactivity PAHs can persist in the environment for a long time; moreover they bioaccumulate, causing adverse effect on human health, such as reproductive and immune effects, developmental anomalies and cancer. This work is linked to the POSEIDON project (POllution monitoring of Ship Emission: an IntegrateD approach fOr harbor of the Adriatic basiN), that aims to quantify the atmospheric pollution generated by ship traffic and harbor activities in four port-cities of the Adriatic Sea (Brindisi, Venice, Rijeka, Patras). Here, a new method for the evaluation of the direct effect of ship traffic and harbour activities on polycyclic aromatic hydrocarbons is presented. In this method two high-volume samplers are operating: one of them collecting air from all directions; the other one is programmed to activate only when the wind is blowing from a specific sector (the harbour area). From the compared results, information about the effect of the harbour on the global PAHs concentration can be obtained. The method was applied in Venice in two summer sampling campaigns, in 2009 and 2012

Design, Synthesis, Characterization, and Evaluation of the Anti-HT-29 Colorectal Cell Line Activity of Novel 8-Oxyquinolinate-Platinum(II)-Loaded Nanostructured Lipid Carriers Targeted with Riboflavin

Colorectal cancer is occasionally called colon or rectal cancer, depending on where cancer begins to form, and is the second leading cause of cancer death among both men and women. The platinum-based [PtCl(8-O-quinolinate)(dmso)] (8-QO-Pt) compound has demonstrated encouraging anticancer activity. Three different systems of 8-QO-Pt-encapsulated nanostructured lipid carriers (NLCs) with riboflavin (RFV) were investigated. NLCs of myristyl myristate were synthesized by ultrasonication in the presence of RFV. RFV-decorated nanoparticles displayed a spherical shape and a narrow size dispersion in the range of 144–175 nm mean particle diameter. The 8-QO-Pt-loaded formulations of NLC/RFV with more than 70% encapsulation efficiency showed sustained in vitro release for 24 h. Cytotoxicity, cell uptake, and apoptosis were evaluated in the HT-29 human colorectal adenocarcinoma cell line. The results revealed that 8-QO-Pt-loaded formulations of NLC/RFV showed higher cytotoxicity than the free 8-QO-Pt compound at 5.0 µM. All three systems exhibited different levels of cellular internalization. Moreover, the hemotoxicity assay showed the safety profile of the formulations (less than 3.7%). Taken together, RFV-targeted NLC systems for drug delivery have been investigated for the first time in our study and the results are promising for the future of chemotherapy in colon cancer treatmen