Iraq War veteran 'converts to Islam' in ISIL captivity

A former American soldier and Iraq War veteran held captive by terror group ISIL has reportedly converted to Islam while in captivity.

Peter Kassig, who travelled to Syria as an aid worker to help victims of that nation's civil war, was captured by ISIL about a year ago.

He appeared at the end of the terror group's latest horrific video, in which British aid worker Alan Henning was murdered on camera.

The executioner, known as "Jihadi John", threatened Mr Kassig's life if airstrikes from the US and its allies continued in Iraq.

British Prime Minister David Cameron has vowed to use "all assets available" to hunt down Henning's killers.

The murdered hostage's wife Barbara Henning released a statement saying she was "struggling to cope" with her husband's execution.

Following Henning's death, several hundred people protested in London demanding an end to British intervention against ISIL.

Meanwhile, several new polls indicate the majority of Australians support airstrikes in Iraq, to prevent the creation of a homegrown terrorism threat.