Risk aggregation, dependence structure and diversification benefit

Insurance and reinsurance live and die from the diversification benefits or lack of it in their risk portfolio. The new solvency regulations allow companies to include them in their computation of risk-based capital (RBC). The question is how to really evaluate those benefits. To compute the total risk of a portfolio, it is important to establish the rules for aggregating the various risks that compose it. This can only be done through modelling of their dependence. It is a well known fact among traders in financial markets that "diversification works the worst when one needs it the most''. In other words, in times of crisis the dependence between risks increases. Experience has shown that very large loss events almost always affect multiple lines of business simultaneously. September 11, 2001, is an example of such an event: when the claims originated simultaneously from lines of business which are usually uncorrelated, such as property and life, at the same time that the assets of the company were depreciated due to the crisis on the stock markets. In this paper, we explore various methods of modelling dependence and their influence on diversification benefits. We show that the latter strongly depend on the chosen method and that rank correlation grossly overestimates diversification. This has consequences on the RBC for the whole portfolio, which is smaller than it should be when correctly accounting for tail correlation. However, the problem remains to calibrate the dependence for extreme events, which are rare by definition. We analyze and propose possible ways to get out of this dilemma and come up with reasonable estimates.Risk-Based Capital, Hierarchical Copula, Dependence, Calibration

Bootstrapping the economy -- a non-parametric method of generating consistent future scenarios

The fortune and the risk of a business venture depends on the future course of the economy. There is a strong demand for economic forecasts and scenarios that can be applied to planning and modeling. While there is an ongoing debate on modeling economic scenarios, the bootstrapping (or resampling) approach presented here has several advantages. As a non-parametric method, it directly relies on past market behaviors rather than debatable assumptions on models and parameters. Simultaneous dependencies between economic variables are automatically captured. Some aspects of the bootstrapping method require additional modeling: choice and ransformation of the economic variables, arbitrage-free consistency, heavy tails of distributions, serial dependence, trends and mean reversion. Results of a complete economic scenario generator are presented, tested and discussed.economic scenario generator (ESG); asset-liability management (ALM); bootstrapping; resampling; simulation; Monte-Carlo simulation; non-parametric model; yield curve model

Role of support in lean DeNO x catalysis

FTIR and pulse thermal analysis were applied to investigate catalysts containing Pt (1 wt%)/Ba (17 wt%) supported on γ−Al2O3, SiO2 and ZrO2. The aim was to learn how the support material affects the thermal stability of barium carbonate and its activity in the reaction to bulk Ba(NO3)2. The lower thermal stability of BaCO3 in alumina supported samples was found to influence the formation of barium nitrate during the NO x storage process. Quantification of Ba(NO3)2 formed during NO x storage indicated that for alumina supported catalysts only ca. 30% of barium present in the sample is involved in the storage process. The low thermal stability found for alumina supported barium nitrite excludes its role in the formation of barium nitrate during interaction of NO x with the catalyst at 300°C. The studies indicate that γ-Al2O3 plays a major role in influencing the thermal stability of BaCO3 and Ba(NO3)2. This finding seems to be relevant for the higher activity of γ-Al2O3-supported catalysts in NO x storage reduction reaction

The Enantiomers of Trinorbornane and Derivatives Thereof

Herein, we report the synthesis of the enantiomers of trinorbornane, a tetracyclic saturated hydrocarbon with the chemical formula C11H16. The preparation of these rigid carbon scaffolds was enabled by the successful chiral separation of its tricyclic precursor, thus allowing the enantiomers to be synthesized through a reductive radical cyclization reaction. Assignment of the absolute conformation of the enantiomers was achieved through VCD experiments. Further, we report an alternative cyclization procedure providing access to hydroxyl and phenyl sulfone functionalized trinorbornanes

Distinction of disorder, classical and quantum vibrational contributions to atomic mean-square amplitudes in dielectric pentachloronitrobenzene

The solid-state molecular disorder of pentachloronitrobenzene (PCNB) and its role in causing anomalous dielectric properties are investigated. Normal coordinate analysis (NCA) of atomic mean-square displacement parameters (ADPs) is employed to distinguish disorder contributions from classical and quantum-mechanical vibrational contributions. The analysis relies on multitemperature (5-295 K) single-crystal neutron-diffraction data. Vibrational frequencies extracted from the temperature dependence of the ADPs are in good agreement with THz spectroscopic data. Aspects of the static disorder revealed by this work, primarily tilting and displacement of the molecules, are compared with corresponding results from previous, much more in-depth and time-consuming Monte Carlo simulations; their salient findings are reproduced by this work, demonstrating that the faster NCA approach provides reliable constraints for the interpretation of diffuse scattering. The dielectric properties of PCNB can thus be rationalized by an interpretation of the temperature-dependent ADPs in terms of thermal motion and molecular disorder. The use of atomic displacement parameters in the NCA approach is nonetheless hostage to reliable neutron data. The success of this study demonstrates that state-of-the-art single-crystal Laue neutron diffraction affords sufficiently fast the accurate data for this type of study. In general terms, the validation of this work opens up the field for numerous studies of solid-state molecular disorder in organic materials.Comment: Now published in Physical Review

Theory of oscillations in the STM conductance resulting from subsurface defects (Review Article)

In this review we present recent theoretical results concerning investigations of single subsurface defects by means of a scanning tunneling microscope (STM). These investigations are based on the effect of quantum interference between the electron partial waves that are directly transmitted through the contact and the partial waves scattered by the defect. In particular, we have shown the possibility imaging the defect position below a metal surface by means of STM. Different types of subsurface defects have been discussed: point-like magnetic and non-magnetic defects, magnetic clusters in a nonmagnetic host metal, and non-magnetic defects in a s-wave superconductor. The effect of Fermi surface anisotropy has been analyzed. Also, results of investigations of the effect of a strong magnetic field to the STM conductance of a tunnel point contact in the presence of a single defect has been presented.Comment: 31 pages, 10 figuers Submitted to Low. Temp. Phy

“First we eat and then we sell”: participatory guarantee systems for alternative sustainability certification of Bolivian agri-food products

Expectations and interest are high in participatory guarantee systems (PGS) as a context-specific alternative to third-party sustainability certification. Self-defined criteria, transparency, trust, and accessibility have made PGS an attractive alternative to exogenous certification in local markets in over 70 countries. There is also increasing interest in the possibilities for participatory certification in international trade for family farm-based products such as cocoa or coffee. Bolivia’s PGS was established in 2012. By 2017, the country ranked second (after India) in number of PGS farmers. Since 2019, however, its numbers are declining. Visiting six PGS initiatives, we interviewed 38 persons from production, processing, distribution, support networks, and policymaking on the current situation of PGS in Bolivia; its challenges; its prospects in local, national, and international trade; and the role of Bolivia’s governmental PGS support. While PGS certification in Bolivia faces challenges – including high fees, weak consumer demand, and insufficient links to broader value chains – it displays strong potential to make locally managed sustainability certification more accessible. We recommend that decision-makers ensure accessibility and help promote PGS with consumers. Importing countries could support PGS, in particular by incentivizing access of PGS-certified products to their national markets by recognizing them as organic via peer-to-peer certification

Effectiveness of a procalcitonin algorithm to guide antibiotic therapy in respiratory tract infections outside of study conditions: a post-study survey

All published evidence on procalcitonin (PCT)-guided antibiotic therapy was obtained in trials where physicians knew that they were being monitored, possibly resulting in higher adherence to the PCT algorithm. This study investigates the effectiveness of PCT guidance in an observational quality control survey. We monitored antibiotic therapy and algorithm adherence in consecutive patients with respiratory tract infections admitted to the Kantonsspital Aarau, Switzerland, between May 2008 and February 2009. The results were compared to the site-specific results of the former ProHOSP study. Overall and more pronounced for patients with community-acquired pneumonia, the median duration of antibiotic treatment in this survey was shorter than the ProHOSP control patients (6 vs. 7days, P = 0.048 and 7 vs. 9days, P < 0.001). In 72.5% of patients, antibiotics were administered according to the prespecified PCT algorithm. No significant differences concerning adverse medical outcome could be detected. This study mirrors the use of PCT-guided antibiotic therapy in clinical practice, outside of trial conditions. If algorithm adherence is reinforced, antibiotic exposure can be markedly reduced with subsequent reduction of antibiotic-associated side effects and antibiotic resistance. The integration of the PCT algorithm into daily practice requires ongoing reinforcement and involves a learning process of the prescribing physician

Goitre and Iodine Deficiency in Europe

The prevalence of endemic iodine-deficiency goitre in Europe has been reduced in many areas by the introduction of iodination programmes. Recent reports, however, show that goitre remains a significant problem and that its prevalence has not decreased in a number of European countries. Hetzel1 has pointed out that the high global prevalence of iodine-deficiency disorders could be eradicated within 5-10 years by introduction of an iodised salt programme. The current World Health Organisation recommendations for iodine intake are between 150 and 300 μg/da