Doubly stochastic point processes in reinsurance and the pricing of catastrophe insurance derivatives.

This dissertation presents pricing models for stop-loss reinsurance contracts for catastrophic events and for catastrophe insurance derivatives. We use doubly stochastic Poisson process or the Cox process for the claim arrival process for catastrophic events. The shot noise process is able to measure the frequency, magnitude and time period needed to determine the effect of the catastrophe. This process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process theory. We apply the Cox process incorporating the shot noise process as its intensity to price stop-loss catastrophe reinsurance contracts and catastrophe insurance derivatives. In order to calculate fair prices for reinsurance contracts and catastrophe insurance derivatives we need to assume that there is an absence of arbitrage opportunities in the market. This can be achieved by using an equivalent martingale probability measure in our pricing models. The Esscher transform is used to change probability measure. The dissertation also shows how to estimate the parameters of claim intensity using the likelihood function. In order to estimate the distribution of claim intensity, state estimation is employed as well. Since the claim intensity is not observable we filter it out on the basis of the number of claims, i.e. we employ the Kalman-Bucy filter. We also derive pricing formulae for stop-loss reinsurance contracts for catastrophic events using the distribution of claim intensity that is obtained by the Kalman-Bucy filter. Both estimations are essential in pricing stop-loss reinsurance contracts and catastrophe insurance derivatives

Pricing of Catastrophe Reinsurance and Derivatives Using the Cox Process with Shot Noise Inten- sity

Abstract. We use the Cox process (or a doubly stochastic Poisson process) to model the claim arrival process for catastrophic events. The shot noise process is used for the claim intensity function within the Cox process. The Cox process with shot noise intensity is examined by piecewise deterministic Markov process theory. We apply the model to price stop-loss catastrophe reinsurance contract and catastrophe insurance derivatives. The asymptotic distribution of the claim intensity is used to derive pricing formulae for stop-loss reinsurance contract for catastrophic events and catastrophe insurance derivatives. We assume that there is an absence of arbitrage opportunities in the market to obtain the gross premium for stop-loss reinsurance contract and arbitrage-free prices for insurance derivatives. This can be achieved by using an equivalent martingale probability measure in the pricing models. The Esscher transform is used for this purpose

Research Update: Strategies for efficient photoelectrochemical water splitting using metal oxide photoanodes

Photoelectrochemical (PEC) water splitting to hydrogen is an attractive method for capturing and storing the solar energy in the form of chemical energy. Metal oxides are promising photoanode materials due to their low-cost synthetic routes and higher stability than other semiconductors. In this paper, we provide an overview of recent efforts to improve PEC efficiencies via applying a variety of fabrication strategies to metal oxide photoanodes including (i) size and morphology-control, (ii) metal oxide heterostructuring, (iii) dopant incorporation, (iv) attachments of quantum dots as sensitizer, (v) attachments of plasmonic metal nanoparticles, and (vi) co-catalyst coupling. Each strategy highlights the underlying principles and mechanisms for the performance enhancements.open2

Thermoelectric properties of nanoporous three-dimensional graphene networks

We propose three dimensional-graphene nanonetworks (3D-GN) with pores in the range of 10 similar to 20 nm as a potential candidate for thermoelectric materials. The 3D-GN has a low thermal conductivity of 0.90 W/mK @773 K and a maximum electrical conductivity of 6660 S/m @773 K. Our results suggest a straightforward way to individually control two interdependent parameters, sigma and kappa, in the nanoporous graphene structures to ultimately improve the figure of merit value.open

Unassisted selective solar hydrogen peroxide production by an oxidised buckypaper-integrated perovskite photocathode

Hydrogen peroxide (H2O2) is an eco-friendly oxidant and a promising energy source possessing comparable energy density to that of compressed H-2. The current H2O2 production strategies mostly depend on the anthraquinone oxidation process, which requires significant energy and numerous organic chemicals. Photocatalyst-based solar H2O2 production comprises single-step O-2 reduction to H2O2, which is a simple and eco-friendly method. However, the solar-to-H2O2 conversion efficiency is limited by the low performance of the inorganic semiconductor-based photoelectrodes and low selectivity and stability of the H2O2 production electrocatalyst. Herein, we demonstrate unassisted solar H2O2 production using an oxidised buckypaper as the H2O2 electrocatalyst combined with a high-performance inorganic-organic hybrid (perovskite) photocathode, without the need for additional bias or sacrificial agents. This integrated photoelectrode system shows 100% selectivity toward H2O2 and a solar-to-chemical conversion efficiency of similar to 1.463%

Fabrication of graphene-based electrode in less than a minute through hybrid microwave annealing

Highly efficient and stable MoS 2 nanocrystals on graphene sheets (MoS 2 /GR) are synthesized via a hybrid microwave annealing process. Through only 45 second-irradiation using a household microwave oven equipped with a graphite susceptor, crystallization of MoS 2 and thermal reduction of graphene oxide into graphene are achieved, indicating that our synthetic method is ultrafast and energy-economic. Graphene plays a crucial role as an excellent microwave absorber as well as an ideal support material that mediates the growth of MoS 2 nanocrystals. The formed MoS 2 /GR electrocatalyst exhibits high activity of hydrogen evolution reaction with small onset overpotential of 0.1 V and Tafel slope of 50mV per decade together with an excellent stability in acid media. Thus our hybrid microwave annealing could be an efficient generic method to fabricate various graphene-based hybrid electric materials for broad applications.open2

Facile fabrication of two-dimensional inorganic nanostructures and their conjugation to nanocrystals

Nanocomposites of two-dimensional (2D) inorganic nanosheets and inorganic nanocrystals are fabricated. Freestanding atomically flat gamma-AlOOH nanosheets (thickness <1 nm) are synthesized from a one-pot hydrothermal reaction. The freestanding and binder-free film composed of the gamma-AlOOH nanosheets is fabricated by sedimentation. Because they have positive zeta potentials in the pH range below ca. 9.3, the gamma-AlOOH nanosheets can function as positively charged 2D inorganic matrices in a broad pH range. By solution phase (pH 7.0) mixing of the gamma-AlOOH nanosheets (zeta potential: 30.7 +/- 0.8 mV) and inorganic nanocrystals with negative surface charge, including Au nanoparticles, Au nanorods, CdSe quantum dots, CdSe/CdS/ZnS quantum dots and CdSe nanorods, the nanocomposites are self-assembled via electrostatic interactions. Negatively charged inorganic nanostructures with a wide range of chemical compositions, shapes, sizes, surface ligands and adsorbates can be used as building blocks for gamma-AlOOH nanocomposites. Adsorption densities of inorganic nanocrystals on the nanocomposites can be controlled by varying concentrations of nanocrystal solutions. Nanocomposite films containing alternating layers of gamma-AlOOH and nanocrystals are obtained by a simple drop casting method.close3

Nature of Nitrogen Incorporation in BiVO4 Photoanodes through Chemical and Physical Methods

In recent years, BiVO4 has been optimized as a photoanode material to produce photocurrent densities close to its theoretical maximum under AM1.5 solar illumination. Its performance is, therefore, limited by its 2.4 eV bandgap. Herein, nitrogen is incorporated into BiVO4 to shift the valence band position to higher energies and thereby decreases the bandgap. Two different approaches are investigated: modification of the precursors for the spray pyrolysis recipe and post-deposition nitrogen ion implantation. Both methods result in a slight red shift of the BiVO4 bandgap and optical absorption onset. Although previous reports on N-modified BiVO4 assumed individual nitrogen atoms to substitute for oxygen, X-ray photoelectron spectroscopy on the samples reveals the presence of molecular nitrogen (i.e., N-2). Density functional theory calculations confirm the thermodynamic stability of the incorporation and reveal that N-2 coordinates to two vanadium atoms in a bridging configuration. Unfortunately, nitrogen incorporation also results in the formation of a localized state of approximate to 0.1 eV below the conduction band minimum of BiVO4, which suppresses the photoactivity at longer wavelengths. These findings provide important new insights on the nature of nitrogen incorporation into BiVO4 and illustrate the need to find alternative lower-bandgap absorber materials for photoelectrochemical energy conversion applications

Helical tomotherapy with concurrent capecitabine for the treatment of inoperable pancreatic cancer

<p>Abstract</p> <p>Background</p> <p>Helical tomotherapy, an advanced intensity-modulated radiation therapy with integrated CT imaging, permits highly conformal irradiation with sparing of normal tissue. Capecitabine, a pro-drug of 5-FU that induces thymidine phosphorylase can achieve higher levels of intracellular 5-FU when administered concurrently with radiation. We evaluated the feasibility as well as the clinical outcome of concurrent administration of capecitabine with tomotherapy in patients with advanced pancreatic cancer.</p> <p>Methods</p> <p>Nineteen patients with advanced pancreatic cancer including primarily unresectable disease and recurrence after curative surgery were included in the study. Two planning target volumes (PTV) were entered: PTV1 is gross tumor volume; and PTV2, the volume of the draining lymph nodes. The total doses to target 1 and target 2 were 55 and 50 Gy, respectively. Capecitabine at 1600 mg/m²/day was administered on each day of irradiation.</p> <p>Results</p> <p>Twenty six measurable lesions were evaluated. Overall in-field response rate was 42.3%; partial responses were achieved in 53.3% of the pancreatic masses, 28.6% of distant metastatic lesions and 25.0% of regional lymph nodes. The median duration of follow-up after tomotherapy was 6.5 months. None of the lesions showed in-field progression. Treatment was well tolerated with only minor toxicities such as grade 1 nausea (one patient), grade 1 hand-foot syndrome (one patient) and grade 1/2 fatigue (three patients).</p> <p>Conclusions</p> <p>Helical tomotherapy with concurrent capecitabine is a feasible option without significant toxicities in patients with advanced pancreatic cancer. We achieved excellent conformal distribution of radiation doses and minimal treatment-related toxicities with promising target volume responses.</p