• Communications of the Korean Mathematical Society
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• v.23 no.2
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• pp.285-294
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• 2008

A new Monte Carlo method is presented to compute the prices of barrier options on stocks. The key idea of the new method is to use an exit probability and uniformly distributed random numbers in order to efficiently estimate the first hitting time of barriers. It is numerically shown that the first hitting time error of the new Monte Carlo method decreases much faster than that of standard Monte Carlo methods.

• Smart Structures and Systems
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• v.2 no.4
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• pp.313-320
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• 2006

The reliability analysis of structures subjected to stochastic loading involves evaluation of time and probability of the system's residence in a reference domain. In this paper, we derive an asymptotic estimate of exit time for multi-degrees-of-freedom structural systems. The system's dynamics is governed by the Lagrangian equations with linear dissipation and fast additive noise. The logarithmic asymptotic of exit time is found explicitly as a sum of two terms dependent on kinetic and potential energy of the system, respectively. As an example, we estimate exit time and an associated structural performance for a rocking structure.

• Journal of the Korean Statistical Society
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• v.28 no.1
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• pp.125-133
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• 1999

We consider a FIFO single-server queueing model in which both the arrival and service processes are modulated by the amount of work in the system. The arrival process is a non-homogeneous Poisson process(NHPP) modulated by work, that is, with an intensity that depends on the work in the system. Each customer brings a job consisting of an exponentially distributed amount of work to be processed. The server processes the work at various service rates which also depend on the work in the system. Under the stability conditions obtained by Browne and Sigman(1992) we derive the exact stationary distribution of the work W(t) and the first exit probability that the work level b is exceeded before the work level a is reached, starting from x$\in$[a, b].

• Korean Journal of Social Welfare
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• v.62 no.4
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• pp.249-274
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• 2010

This study examines a casaul relationship between depression and welfare transitions of the National Basic Likelihood Protection Program. From a social selection perspective, prior high levels of depression are likely to select people into welfare or serve as a barrier to leaving welfare. From a social causation perspective, entering or exiting welfare can change the levels of depression. These hypotheses were tested using KOWEPS(Korean Welfare Panel study) 2005~2007. The results are as follows. First, entering welfare clearly increases the levels of depression. The increased economic stress resulting from falling into poverty seems to play a major role in the negative effect of welfare entry. Second, exiting welfare does not decrease the levels of depression. However, when welfare exits are classified into distinctive categories, welfare exit combined with concurrent poverty exit is likely to decrease the levels of depression. Third, high levels of depression clearly increase the probability of entering welfare regardless of the prior poverty status. Fourth, high levels of depression do not decrease the probability of exiting welfare, but rather increase the probability of an administrative disentitlement which leads to even worse economic conditions after exiting welfare. One implication of these findings is that negative policies such as time limit and strengthening sanctions can increase the number of welfare cyclers who are able-bodied but mentally weak.

• Journal of Labour Economics
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• v.43 no.2
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• pp.41-74
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• 2020

In this study, using the job history data of the Youth Panel(1-12th year: 2007 ~ 2018) of the Korea Employment Information Service, it is found that characteristics and duration distribution of first jobs of wage and salary worker, and estimated the factors of first job exit by utilizing survival analysis. As a result of the analysis, regular workers are less likely to leave their first jobs than temporary/daily workers. In addition, the group with a high degree of major congruence was found to have a lower chance of leaving the first job than the group with a major mismatch. And the higher the income level, the lower the probability of departure, which shows that the possibility of leaving low-income workers is very high.

• Survey Research
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• v.10 no.3
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• pp.59-83
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• 2009

The purpose of this study is to understand why female labor force participation rates decline in early times after their marriage. Data were derived from the 4th(2001) to 9th(2006) Korea Labor & Income Panel Study. 194 Korean married women in twenties and thirties who had a job before marriage were analyzed. Survival analysis was used to explore the first labor force exit of married women longitudinally. The major findings are as follows. First, nearly half of them went away from labor market in the first 3 years after marriage. Second, child birth was the most significant factor in predicting women's labor force exit. Married women's employment discontinuity tend to be lowered after child birth, with working hour decreasing, and with the number of available family-friendly policies increasing. Married women's income encouraged them to hold on their career, though husband's income and household income were not significant. Third, married women tended to leave their job before giving birth. Women who remained in the labor market at child birth or until a year after birth were inclined to continue their job thereafter. Fourth, maternity leave and childcare leave diminished the probability of employment discontinuity. Many working wives could not use a maternity leave or childcare leave. This study shows married women usually underwent labor market exit in their newly married time. They cannot help facing conflict between the role of mother's and a worker's. Family-friendly policies could encourage working wives to rear child and continue work at the same time. The findings of this study could serve as fundamental material for further studies and would be a key to find effective solution for problematic issues on reconciling work and family.

• Journal of Labour Economics
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• v.24 no.2
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• pp.1-34
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• 2001

This study analyzes the male-female difference in self-employment rates in Korea using panel data constructed from the Economically Active Population Survey in 1999. Given that most studies on self-employment have focused on male self-employment and have not examined why self-employment rate is usually higher among males than females, this study certainly extends the existing literature on this subject This study consists of two parts. The first part deals with estimating self-employment rates for males and female within a Markov framework. The second part presents decomposition results of the male-female differential in self-employment rates. Major findings of the study are (1) self-employment rate is higher for males than females because entry into self-employment is larger but exit from self-employment is smaller for males than female, (2) higher entry probability for males is due to differences in coefficients of transition probability functions while lower exit probability for males is due to differences in characteristics, (3) a large part of male-female gap in self-employment rates results from differences in being a head of family, marital status and age between males and females.

• Korean Journal of Social Welfare
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• v.65 no.3
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• pp.183-206
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• 2013

Using Korean Labor and Income Panel Study (wave 1~11) database, this study analyzed the poverty duration of the poor as a whole and by households' characteristics. For this purpose, I first estimated poverty exit rates and reentry rates applying discrete-time hazard model to the sample, and then calculated poverty duration combining these two probability rates. The results show that about a half of poor households are transitory (short-term) poor with 1~2 years of poverty duration. A quarter is chronic (long-term) poor lasting for 5 or more years of poverty duration. The remained quarter can be categorized as the recurrent or mid-term poor. The socioeconomic characteristics of households greatly affect poverty duration. Long-term poverty is prevalent among female-head households, elderly households, single households, or households headed by a person with a lower level of education. If households' heads do not work, or work as temporary or daily-employed workers, the poverty duration tends to be longer. The findings suggest that the poor consist of various social classes with different characteristics. Efficient anti-poverty policy should be based on thoroughly identifying the specific characteristics and needs of each class.