The cross-section of Asia-Pacific mortality dynamics: Implications for longevity risk sharing

We study the dynamics of longevity risk across a subset of cou ntries in the Asia-Pacific (APAC) region. We use hand-collected and existing data on age-spec ific mortality rates from emerging and developed economies, to understand how secular changes in mortality vary within and across APAC countries. We use our results to identify cross-hedging opportunities among longevity risk exposures in the APAC region. We also introduce k -forward contracts, which offer natural risk sharing opportunities to hedgers in different countries. We consider the example of Korea and Japan as a case stud

Insights on the Anion Effect in N-heterocyclic Carbene Based Dinuclear Gold(I) Catalysts

Dinuclear bisNHC (bis(N-heterocyclic carbene)) gold(I) complexes 3 a and 4 a of general formula [Au2Br2(bisNHC)] were tested as catalysts in the cycloisomerization of N-(prop-2-yn-1-yl)benzamide and in the hydromethoxylation of 3-hexyne in the presence of silver(I) activators bearing different counteranions. The catalytic performance of mononuclear NHC complexes (1 a, 2 a) in the same reactions was also studied. The results highlighted the fundamental role of both NHC ligand and counterion in the catalytic cycles and activation process: dinuclear catalysts exhibit higher initial activity even under milder conditions but suffer in terms of stability with respect to mono NHCs. Furthermore, a new dinuclear bisNHC gold(I) complex 4 b of general formula [Au2(OTs)2(bisNHC)] (OTs=p-toluenesulfonate) was successfully synthesized and characterized by means of NMR and ESI-MS analyses

Optimal portfolio choice with path dependent labor income: the infinite horizon case

We consider an infinite horizon portfolio problem with borrowing constraints, in which an agentreceives labor income which adjusts to financial market shocks in a path dependent way. Thispath-dependency is the novelty of the model, and leads to an infinite dimensional stochasticoptimal control problem. We solve the problem completely, and find explicitly the optimalcontrols in feedback form. This is possible because we are able to find an explicit solutionto the associated infinite dimensional Hamilton-Jacobi-Bellman (HJB) equation, even if stateconstraints are present. To the best of our knowledge, this is the first infinite dimensionalgeneralization of Merton’s optimal portfolio problem for which explicit solutions can be found.The explicit solution allows us to study the properties of optimal strategies and discuss theirfinancial implications

Keeping Some Skin in the Game: How to Start a Capital Market in Longevity Risk Transfers

The recent activity in pension buyouts and bespoke longevity swaps suggests that a significant process of aggregation of longevity exposures is under way, led by major insurers, investment banks, and buyout firms with the support of leading reinsurers. As regulatory capital charges and limited reinsurance capacity constrain the scope for market growth, there is now an opportunity for institutions that are pooling longevity exposures to issue securities that appeal to capital market investors, thereby broadening the sharing of longevity risk and increasing market capacity. For this to happen, longevity exposures need to be suitably pooled and tranched to maximize diversification benefits offered to investors and to address asymmetric information issues. We argue that a natural way for longevity risk to be transferred is through suitably designed principal-at-risk bonds

A unified approach to pricing and risk management of equity and credit risk

We propose a unified framework for equity and credit risk modeling, where the default time is a doubly stochastic random time with intensity driven by an underlying affine factor process. This approach allows for flexible interactions between the defaultable stock price, its stochastic volatility and the default intensity, while maintaining full analytical tractability. We characterize all risk-neutral measures which preserve the affine structure of the model and show that risk management as well as pricing problems can be dealt with efficiently by shifting to suitable survival measures. As an example, we consider a jump- to-default extension of the Heston stochastic volatility model

Synthesis and biological studies on dinuclear gold(I) complexes with Di-(N-Heterocyclic Carbene) ligands functionalized with carbohydrates

The design of novel metal complexes with N-heterocyclic carbene (NHC) ligands that display biological activity is an active research field in organometallic chemistry. One of the possible approaches consists of the use of NHC ligands functionalized with a carbohydrate moiety. Two novel Au(I)-Au(I) dinuclear complexes were synthesized; they present a neutral structure with one bridging diNHC ligand, having one or both heterocyclic rings decorated with a carbohydrate functionality. With the symmetric diNHC ligand, the dicationic dinuclear complex bearing two bridging diNHC ligands was also synthesized. The study was completed by analyzing the antiproliferative properties of these complexes, which were compared to the activity displayed by similar mononuclear Au(I) complexes and by the analogous bimetallic Au(I)-Au(I) complex not functionalized with carbohydrates

The impact of longevity and investment risk on a portfolio of life insurance liabilities

In this paper we assess the joint impact of biometric and financial risk on the market valuation of life insurance liabilities. We consider a stylized, contingent claim based model of a life insurance company issuing participating contracts and subject to default risk, as pioneered by Briys and de Varenne (Geneva Pap Risk Insur Theory 19(1):53–72, 1994, J Risk Insur 64(4):673–694, 1997), and build on their model by explicitly introducing biometric risk and its components, namely diversifiable and systematic risk. The contracts considered include pure endowments, deferred whole life annuities and guaranteed annuity options. Our results stress the predominance of systematic over diversifiable risk in determining fair participation rates. We investigate the interaction of contract design, market regimes and mortality assumptions, and show that, particularly for lifelong benefits, the choice of the participation rate must be very conservative if longevity improvements are foreseeable

Two-pronged attack: dual inhibition of Plasmodium falciparum M1 and M17 metalloaminopeptidases by a novel series of hydroxamic acid-based inhibitors

Plasmodium parasites, the causative agents of malaria, have developed resistance to most of our current antimalarial therapies, including artemisinin combination therapies which are widely described as our last line of defense. Antimalarial agents with a novel mode of action are urgently required. Two Plasmodium falciparum aminopeptidases, PfA-M1 and PfA-M17, play crucial roles in the erythrocytic stage of infection and have been validated as potential antimalarial targets. Using compound-bound crystal structures of both enzymes, we have used a structure-guided approach to develop a novel series of inhibitors capable of potent inhibition of both PfA-M1 and PfA-M17 activity and parasite growth in culture. Herein we describe the design, synthesis, and evaluation of a series of hydroxamic acid-based inhibitors and demonstrate the compounds to be exciting new leads for the development of novel antimalarial therapeutics

The study of Priapulus caudatus reveals conserved molecular patterning underlying different gut morphogenesis in the Ecdysozoa

Background The digestive systems of animals can become highly specialized in response to their exploration and occupation of new ecological niches. Although studies on different animals have revealed commonalities in gut formation, the model systems Caenorhabditis elegans and Drosophila melanogaster, which belong to the invertebrate group Ecdysozoa, exhibit remarkable deviations in how their intestines develop. Their morphological and developmental idiosyncrasies have hindered reconstructions of ancestral gut characters for the Ecdysozoa, and limit comparisons with vertebrate models. In this respect, the phylogenetic position, and slow evolving morphological and molecular characters of marine priapulid worms advance them as a key group to decipher evolutionary events that occurred in the lineages leading to C. elegans and D. melanogaster. Results In the priapulid Priapulus caudatus, the gut consists of an ectodermal foregut and anus, and a mid region of at least partial endodermal origin. The inner gut develops into a 16-cell primordium devoid of visceral musculature, arranged in three mid tetrads and two posterior duplets. The mouth invaginates ventrally and shifts to a terminal anterior position as the ventral anterior ectoderm differentially proliferates. Contraction of the musculature occurs as the head region retracts into the trunk and resolves the definitive larval body plan. Despite obvious developmental differences with C. elegans and D. melanogaster, the expression in P. caudatus of the gut-related candidate genes NK2.1, foxQ2, FGF8/17/18, GATA456, HNF4, wnt1, and evx demonstrate three distinct evolutionarily conserved molecular profiles that correlate with morphologically identified sub-regions of the gut. Conclusions The comparative analysis of priapulid development suggests that a midgut formed by a single endodermal population of vegetal cells, a ventral mouth, and the blastoporal origin of the anus are ancestral features in the Ecdysozoa. Our molecular data on P. caudatus reveal a conserved ecdysozoan gut-patterning program and demonstrates that extreme morphological divergence has not been accompanied by major molecular innovations in transcriptional regulators during digestive system evolution in the Ecdysozoa. Our data help us understand the origins of the ecdysozoan body plan, including those of C. elegans and D. melanogaster, and this is critical for comparisons between these two prominent model systems and their vertebrate counterparts