Pricing ambiguity in catastrophe risk insurance

Ambiguity about the probability of loss is a salient feature of catastrophe risk insurance. Evidence shows that insurers charge higher premiums under ambiguity, but that they rely on simple heuristics to do so, rather than being able to turn to pricing tools that formally link ambiguity with the insurer’s underlying economic objective. In this paper, we apply an α-maxmin model of insurance pricing to two catastrophe model data sets relating to hurricane risk. The pricing model considers an insurer who maximises expected profit, but is sensitive to how ambiguity affects its risk of ruin. We estimate ambiguity loads and show how these depend on the insurer’s attitude to ambiguity, α. We also compare these results with those derived from applying model blending techniques that have recently gained popularity in the actuarial profession, and show that model blending can imply relatively low aversion to ambiguity, possibly ambiguity seeking

Memristive Tunnelbarrieren und ihre Integration in neuromorphe Systeme

Niehörster S. Memristive Tunnelbarrieren und ihre Integration in neuromorphe Systeme. Bielefeld: Universität Bielefeld; 2016

Shadowing the rotating annulus. Part I: Measuring candidate trajectory shadowing times

An intuitively necessary requirement of models used to provide forecasts of a system's future is the existence of shadowing trajectories that are consistent with past observations of the system: given a system-model pair, do model trajectories exist that stay reasonably close to a sequence of observations of the system? Techniques for finding such trajectories are well-understood in low-dimensional systems, but there is significant interest in their application to high-dimensional weather and climate models. We build on work by Smith et al. [2010, Phys. Lett. A, 374, 2618-2623] and develop a method for measuring the time that individual "candidate" trajectories of high-dimensional models shadow observations, using a model of the thermally-driven rotating annulus in the perfect model scenario. Models of the annulus are intermediate in complexity between low-dimensional systems and global atmospheric models. We demonstrate our method by measuring shadowing times against artificially-generated observations for candidate trajectories beginning a fixed distance from truth in one of the annulus' chaotic flow regimes. The distribution of candidate shadowing times we calculated using our method corresponds closely to (1) the range of times over which the trajectories visually diverge from the observations and (2) the divergence time using a simple metric based on the distance between model trajectory and observations. An empirical relationship between the expected candidate shadowing times and the initial distance from truth confirms that the method behaves reasonably as parameters are varied.Comment: This paper was submitted to Physica D in 2010, but, after review, was not accepted. We no longer have the time or resources to work on this topic, but would like this record of our work to be available for others to read, cite, and follow up. 19 pages, 9 figure

Shadowing the rotating annulus. Part II: Gradient descent in the perfect model scenario

Shadowing trajectories are model trajectories consistent with a sequence of observations of a system, given a distribution of observational noise. The existence of such trajectories is a desirable property of any forecast model. Gradient descent of indeterminism is a well-established technique for finding shadowing trajectories in low-dimensional analytical systems. Here we apply it to the thermally-driven rotating annulus, a laboratory experiment intermediate in model complexity and physical idealisation between analytical systems and global, comprehensive atmospheric models. We work in the perfect model scenario using the MORALS model to generate a sequence of noisy observations in a chaotic flow regime. We demonstrate that the gradient descent technique recovers a pseudo-orbit of model states significantly closer to a model trajectory than the initial sequence. Gradient-free descent is used, where the adjoint model is set to $\lambda$I in the absence of a full adjoint model. The indeterminism of the pseudo-orbit falls by two orders of magnitude during the descent, but we find that the distance between the pseudo-orbit and the initial, true, model trajectory reaches a minimum and then diverges from truth. We attribute this to the use of the $\lambda$-adjoint, which is well suited to noise reduction but not to finely-tuned convergence towards a model trajectory. We find that $\lambda=0.25$ gives optimal results, and that candidate model trajectories begun from this pseudo-orbit shadow the observations for up to 80 s, about the length of the longest timescale of the system, and similar to expected shadowing times based on the distance between the pseudo-orbit and the truth. There is great potential for using this method with real laboratory data.Comment: This paper was originally prepared for submission in 2011; but, after Part I was not accepted, it was not submitted. It has not been peer-reviewed. We no longer have the time or resources to work on this topic, but would like this record of our work to be available for others to read, cite, and follow up. 22 pages, 11 figure

Sign change in the tunnel magnetoresistance of Fe3O4/MgO/Co-Fe-B magnetic tunnel junctions depending on the annealing temperature and the interface treatment

Magnetite (Fe3O4) is an eligible candidate for magnetic tunnel junctions (MTJs) since it shows a high spin polarization at the Fermi level as well as a high Curie temperature of 585{\deg}C. In this study, Fe3O4/MgO/Co-Fe-B MTJs were manufactured. A sign change in the TMR is observed after annealing the MTJs at temperatures between 200{\deg}C and 280{\deg}C. Our findings suggest an Mg interdiffusion from the MgO barrier into the Fe3O4 as the reason for the change of the TMR. Additionally, different treatments of the magnetite interface (argon bombardment, annealing at 200{\deg}C in oxygen atmosphere) during the preparation of the MTJs have been studied regarding their effect on the performance of the MTJs. A maximum TMR of up to -12% could be observed using both argon bombardment and annealing in oxygen atmosphere, despite exposing the magnetite surface to atmospheric conditions before the deposition of the MgO barrier.Comment: 5 pages, 5 figures, 2 table

Tunnel junction based memristors as artificial synapses

Thomas A, Niehörster S, Fabretti S, et al. Tunnel junction based memristors as artificial synapses. Frontiers in Neuroscience. 2015;9: 241.We prepared magnesia, tantalum oxide and barium titanate based junction structures and investigated their memristive properties. The low amplitudes of the resistance change in these types of junctions are the major obstacle for their use. Here, we increased the amplitude of the resistance change from 10% up to 100%. Utilizing the memristive properties, we looked into the use of the junction structures as artificial synapses. We observed analogs of longterm potentiation, long-term depression and spike-time dependent plasticity in these simple two terminal devices. Finally, we suggest a possible pathway of these devices towards their integration in neuromorphic systems for storing analog synaptic weights and supporting the implementation of biologically plausible learning mechanisms

Sign change in the tunnel magnetoresistance of Fe3O4/MgO/Co-Fe-B magnetic tunnel junctions depending on the annealing temperature and the interface treatment

Marnitz L, Rott K, Niehörster S, et al. Sign change in the tunnel magnetoresistance of Fe3O4/MgO/Co-Fe-B magnetic tunnel junctions depending on the annealing temperature and the interface treatment. AIP Advances. 2015;5(4): 047103.Magnetite (Fe3O4) is an eligible candidate for magnetic tunnel junctions (MTJs) since it shows a high spin polarization at the Fermi level as well as a high Curie temperature of 585°C. In this study, Fe3O4/MgO/Co-Fe-B MTJs were manufactured. A sign change in the TMR is observed after annealing the MTJs at temperatures between 200°C and 280°C. Our findings suggest an Mg interdiffusion from the MgO barrier into the Fe3O4 as the reason for the change of the TMR. Additionally, different treatments of the magnetite interface (argon bombardment, annealing at 200°C in oxygen atmosphere) during the preparation of the MTJs have been studied regarding their effect on the performance of the MTJs. A maximum TMR of up to -12% could be observed using both argon bombardment and annealing in oxygen atmosphere, despite exposing the magnetite surface to atmospheric conditions before the deposition of the MgO barrier

Supermultiplexed optical imaging and barcoding with engineered polyynes

Optical multiplexing has a large impact in photonics, the life sciences and biomedicine. However, current technology is limited by a 'multiplexing ceiling' from existing optical materials. Here we engineered a class of polyyne-based materials for optical supermultiplexing. We achieved 20 distinct Raman frequencies, as 'Carbon rainbow', through rational engineering of conjugation length, bond-selective isotope doping and end-capping substitution of polyynes. With further probe functionalization, we demonstrated ten-color organelle imaging in individual living cells with high specificity, sensitivity and photostability. Moreover, we realized optical data storage and identification by combinatorial barcoding, yielding to our knowledge the largest number of distinct spectral barcodes to date. Therefore, these polyynes hold great promise in live-cell imaging and sorting as well as in high-throughput diagnostics and screening