• Journal of the Korea Society for Simulation
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• v.28 no.3
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• pp.57-63
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• 2019

This study suggests the level of guaranteed reserves that should be accumulated in order to provide guaranteed interest contracts to pension members. To calculate the guaranteed reserve, this study employs the method using variable insurance contracts with guaranteed interest options. The average return of three major pensions (national pension, private teacher's pension, civil servants pension) funds, from 2010 to 2018, is set as the target rate of return and then we establish 0%, 1.0%, 1.5% and 2.0% each as our minimum guaranteed returns for their respective guaranteed reserves. Our results firstly show that gaps between each guaranteed reserves are increasing as times goes on. Second, the probability of shortfall reserve is on the decrease as the pension fund is mature. Conclusively, a long-term conservative balance between risk and return is one of the best investing strategies in pension funds providing the guaranteed interest.

• Journal of the Korean Data and Information Science Society
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• v.24 no.4
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• pp.737-753
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• 2013

Interest rate options embedded in life insurance products provide policyholders with minimum guaranteed rates credited to the corresponding surrender values. This paper discusses current low-interest environment and several types of interest rate options embedded in life insurance products. In addition, this paper shows profit structures of the life insurance products and calculates values of the interest rate options under stochastic interest model and the corresponding VaR (value at risk). Finally, some implications are discussed.

• 월간 기계설비
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• no.9 s.218
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• pp.51-55
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• 2008

제출된 입찰서는 대부분 공개적으로 개봉하며, 입찰자의 명칭과 입찰금액이 함께 공표된다. 감리자는 입찰서가 산술적으로 정확한지, 요구된 자재 및 입찰문서의 조건에 부합하는지를 검토하고, 입찰자와 면담 등을 통해 입찰서의 평가를 완료한 후 발주자에게 낙찰(계약)수여에 관해 추천을 한다. 발주자는 낙찰된 입찰자에게 낙찰통지서(Letter of Award) 또는 낙찰(계약)의향서(Letter of Intent)를 발급해 시공자가 작업준비를 할 수 있게 한다. 낙찰통지서를 받은 시공자는 공사이행보증서(Performance Bond) 및 선수금 보증서(Advance Payment Bond)를 제출하고, 입찰보증서(Tender Bond)를 반환 받으며, 계약체결을 완료한다.

• The Journal of the Korea Contents Association
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• v.20 no.11
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• pp.281-291
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• 2020

This study used Gauss-Poisson jump diffusion process on standard assets to estimate the statutory reserves of Variable Annuity (VA) guarantees specified in Korean bylaw of insurance supervision and calculated guarantee fees and risks based on the model to see the effect of considering the jumps. Financial assets, except KOSPI 200, have fat-tailed return distributions, which is an indirect evidence of discontinuous jumps. In the case of a domestic stock index and foreign stock indexes(Korean Won), guarantee fees and risks decrease when jumps are considered in models of underlying assets. This is explained by decreases in standard deviations after the jump diffusion is considered. On the other hand, in the case of domestic bond indexes and a foreign bond index(Korean Won), guarantee fees and risks tend to increase when jumps are considered. Results from a foreign stock index(US Dollar) and a foreign bond index(US Dollar) were opposite to those from the same kinds of Korean Won indexes. We conclude that VA guarantee fees and risks may be under or over estimated when jumps are not considered in models of underlying assets.

• Communications for Statistical Applications and Methods
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• v.16 no.1
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• pp.85-102
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• 2009

This paper derives conversion formulas from yearly-based absolute rates of decrements to monthly-based rates of decrement due to cause J under fractional age distributions. Next, it suggests conversion formulas from monthly-based absolute rates of decrements to monthly-based rates of decrement due to cause j under fractional age distributions. In addition, it applies the conversion formulas including a dynamic lapse rate model to variable annuities. Some numerical examples are discussed.