• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.19 no.1
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• pp.23-45
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• 2015

We consider counterparty risk in CDS rates. To do so, we use a multivariate jump diffusion process for obligors' default intensity, where jumps (i.e. magnitude of contribution of primary events to default intensities) occur simultaneously and their sizes are dependent. For these simultaneous jumps and their sizes, a homogeneous Poisson process. We apply copula-dependent default intensities of multivariate Cox process to derive the joint Laplace transform that provides us with joint survival/default probability and other relevant joint probabilities. For that purpose, the piecewise deterministic Markov process (PDMP) theory developed in [7] and the martingale methodology in [6] are used. We compute survival/default probability using three copulas, which are Farlie-Gumbel-Morgenstern (FGM), Gaussian and Student-t copulas, with exponential marginal distributions. We then apply the results to calculate CDS rates assuming deterministic rate of interest and recovery rate. We also conduct sensitivity analysis for the CDS rates by changing the relevant parameters and provide their figures.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.17 no.2
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• pp.103-113
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• 2013

We analyze the queueing model for leaky bucket (LB) scheme with dynamic arrivals and token rates. In other words, in our LB scheme the arrivals and token rates are changed according to the buffer occupancy. In telecommunication networks, the LB scheme has been used as a policing function to prevent congestion. By considering bursty and correlated properties of input traffic, the arrivals are assumed to follow a Markov-modulated Poisson process (MMPP). We derive the distribution of system state, and obtain the loss probability and the mean waiting time. The analysis is done by using the embedded Markov chain and supplementary variable method. We also present some numerical examples to show the effect of our proposed model.

• Journal of applied mathematics & informatics
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• v.4 no.2
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• pp.457-468
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• 1997

The present paper deals with an economic order quan-tity model for items deteriorating at some constant rate with demand changing at a known and at a random point of time in the fixed pro-duction cycle.

• Magazine of the Korean Society of Agricultural Engineers
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• v.30 no.3
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• pp.95-105
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• 1988

This study refers to the development of a hydrologic model simulating daily inflow and release rates for irrigation reservoirs. A daily - based model is needed for adequate operation of an irrigation reservoir sufficing the water demand for paddy fields which is closely related to meteorological conditions. And the objective or this study is to develop a Daily Irrigation Reservoir Operation Model(DIROM) combining the inflow and the release models which depicts the daily water level fluctuations of an irrigation reservoir, and to evaluate the applicability of the model. DIROM was applied to four reservoirs and daily water levels were simulated and compared to the observed data. The model behaviour was also compared with that of a ten - day based model, Reservoir Operation Study(ROS) which has been applied for determining the design capacity of reservoirs. Various combinations of measured and simulated inflow and release rates for tested reservoirs were used to define the daily water level fluctuations. Simulated release rates and measured inflow data resulted in larger errors, and simulated inflow and release rates produced the smallest errors in water level comparison. Two resevoir operation models, DIROM and ROS were applied to the same reservoir and the simulation results compared. The computational errors of DIROM ware smaller than those of ROS, and DIROM was more sensitive to meteorological conditions. DIROM demonstrated its potenial applicability in water management and operation.

• The Korean Journal of Applied Statistics
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• v.23 no.4
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• pp.635-650
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• 2010

We model surrender rates with a few explanatory variables such as the difference between reference marke rates and product crediting rates, the policy age since the contract was issued, unemployment rates, economy growth rates, and seasonal effects using logit function. We investigate the policy holder surrender behaviors of US single premium deferred annuities(SPDA) and Korean interest indexed annuities under extreme financial conditions.

• The Journal of Korean Society for School & Community Health Education
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• v.2 no.1
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• pp.31-40
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• 2001

A study of fluoride effects on teeth of school children was conducted in order to determine the usefulness of fluoride for preventing dental caries. Nine hundred and thirty six(936) elementary school children were selected from Chongju where children drank fluoridated water. Eight hundred and thirty six(836) from Seoul where children applied fluoride topically, and eight hundred and three(803) from Kumi where the children drank non fluoridated water(control). DMFs of school children were compared by the sources of fluoride. This study was conducted from May 1, through June 15, 2000. The results are summarized as follows; 1. The DMF rate of male school children topically applying fluoride was 51.4%, that of female children was 56.1%, and that of both males and females was 54.0%, The DMF rate of male children of control group was 72.4%, that of females was 77.5% and that of both males and females was 74.8%. 2. The DMF rate of male children drinking fluoridated tap water was 56.1%, that of females was 54.1%, and that of both males and females was 55.5%. The rates of control group were 72.4% for males, 77.5% for females and 74.8% for male and female children respectively. 3. The difference of DMF rates between the group of children who drank fluoridated water and applied fluoride topically, and control group was statistically significant. 4. The difference of DMF rates between the children who drank fluoridated water and the children who applied fluoride topically were not statistically significant. 5. The difference of DMFT rates between 5th graders who applied fluoride topically and the 5th graders of control group was not statistically significant. However, the difference of DMFT rates of the 6th graders who applied fluoride topically and the same graders of control group were statistically significant. The difference of DMF rates between 5th and 6th graders who drank fluoridated tap water and the same graders of control group was statistically significant. 6. The difference of DMFT rates between children drinking fluoridated tap water and children applying fluoride topically was statistically significant.

• Journal of applied mathematics & informatics
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• v.7 no.1
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• pp.83-100
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• 2000

Many queueing systems such as M/M/s/K retrial queue with impatient customers, MAP/PH/1 retrial queue, retrial queue with two types of customers and MAP/M/$\infty$ queue can be modeled by a level dependent quasi-birth-death(LDQBD) process with linear transition rates of the form ${\lambda}_k$={\alpga}{+}{\beta}k$ at each level $\kappa$. The purpose of this paper is to propose an algorithm to find transient distributions for LDQBD processes with linear transition rates based on the adaptive uniformization technique introduced by van Moorsel and Sanders [11]. We apply the algorithm to some retrial queues and present numerical results.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.19 no.4
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• pp.417-428
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• 2015

Although, in general, the random fluctuation of interest rates gives a limited impact on portfolio optimization, their stochastic nature may exert a significant influence on the process of selecting the proportions of various assets to be held in a given portfolio when the stochastic volatility of risky assets is considered. The stochastic volatility covers a variety of known models to fit in with diverse economic environments. In this paper, an optimal strategy for portfolio selection as well as the smoothness properties of the relevant value function are studied with the dynamic programming method under a market model of both stochastic volatility and stochastic interest rates.

• Journal of applied mathematics & informatics
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• v.9 no.1
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• pp.349-357
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• 2002

In this paper, we analyze queueing behaviors and investigate the possibilities of reducing and controlling shortages and oversupplies in the bidirectional queueing system which forms a negative queue by demand and a positive queue by supply. Interarrival times of units in the bidirectional queueing system investigated are exponetially distributed. Instant pairing off implies that queue can be either positive or negative, but not both at the same time. The results include a proof that sum of queue lengths is minimized if rates of demand and supply in each system are equal and optimum solutions for rates of supply which minimize the sum of queue lengths when rates of demand and sum of rates of supply are given. In addition, the relationship between the ordinary queueing system and the bidirectional queueing system is investigated.

• Korean Journal of Environmental Agriculture
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• v.31 no.4
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• pp.378-380
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• 2012

BACKGROUND: In Korea, green manure has been cultivated for reducing chemical fertilizer application, maintaining soil fertility, and feeding livestock in winter season. We evaluated the phosphate balance under green manure-rice cultivating system with different removal rates of green manure for maintaining soil fertility. METHODS AND RESULTS: The barley and hairy vetch mixture was selected as the green manure in this study. The barley and hairy vetch was sowed at a rate of 135 and 23 kg/ha, respectively, without fertilizer application. Total aboveground biomass was 12000 (barley: 5400 kg/ha, hairy vetch: 6600 kg/ha) kg/ha, and these green manure were incorporated with different input rates before rice planting. The input rates of green manure in this study were 0 (NPK+0%), 25 (NPK+25%), 50 (NPK+50%), 75 (NPK+75%) and 100 % (NPK+100) and the standard fertilization (NPK) without green manure cultivation. All treatments were applied with standard fertilizer (N-P-K: 90-19.6-48.3 kg/ha) before rice planting. The highest rice yield was observed in NPK+50% which was 20% higher compared with NPK. The phosphate balance with different incorporation rates of green manure was-104.0,-76.8,-52.9,-27.4, and 6.0 kg/ha for NPK+0%, NPK+25%, NPK+50%, NPK+75%, and NPK+100%, respectively. CONCLUSION(S): The use of green manure for livestock feeding in green manure-rice cropping systems could remove a huge amount of phosphate. This cropping system strongly requires phosphate application before green manure seeding for maintaining soil fertility.