• 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.

• Journal of Korean Society of Environmental Engineers
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• v.31 no.2
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• pp.125-131
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• 2009

Reductive dechlorination of polychlorinated dibenzo-p-dioxins (PCDDs) and its toxicity change were predicted by the linear free energy relationship (LFER) model to assess the zero-valent iron (ZVI) and anaerobic dechlorinating bacteria (ADB) as electron donors in PCDDs dechlorination. Reductive dechlorination of PCDDs involves 256 reactions linking 76 congeners with highly variable toxicities, so is challenging to assess the overall effect of this process on the environmental impact of PCDD contamination. The Gibbs free energies of PCDDs in aqueous solution were updated to density functional theory (DFT) calculation level from thermodynamic results of literatures. All of dechlorination kinetics of PCDDs was evaluated from the linear correlation between the experimental dechlorination kinetics of PCDDs and the calculated thermodynamics of PCDDs. As a result, it was predicted that over 100 years would be taken for the complete dechlorination of octachlorinated dibenzo-p-dioxin (OCDD) to non-chlorinated compound (dibenzo-p-dioxin, DD), and the toxic equivalent quantity (TEQ) of PCDDs could increase to 10 times larger from initial TEQ with the dechlorination process. The results imply that the single reductive dechlorination using ZVI or ADB is not suitable for the treatment strategy of PCDDs contaminated soil, sediment and fly ash. This LFER approach is applicable for the prediction of dechlorination process for organohalogen compounds and for the assessment of electron donating system for treatment strategies.