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I have included two links to the enotes sections on both of these excellent short stories, which should give you some good ideas of where to begin. However, I think one way you can compare these two stories is to realise that both stories reflect Naturalism, which was a nineteenth-century literary movement whose ideas were based on the scientific theories espoused by Darwin, especially those relating to natural selection and survival of the fittest. Naturalists wrote from a detached perspective and presented human beings as being subject to natural forces that they were unable to control.
We can see these ideas in both of these stories. In "To Build a Fire," the unnamed protagonist dies because he severely underestimates nature and its power. Likewise it is only chance or luck that saves some of the crew in "The Open Boat." Nature is presented in both as being stronger and mightier than man, and able to kill man with ease.
A thesis statement you might want to use, therefore, would be:
Both stories present man as being weak in the face of the strength of nature.
This would allow you to explore the way in which nature and man is presented and the views of Naturalism of both stories.
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