Event called when application is being closed

Use Runtime class to register a thread which will be called when the program is being closed.
 
Runtime.getRuntime().addShutdownHook(theHookThread);
 
Reference:
http://docs.oracle.com/javase/1.4.2/docs/api/java/lang/Runtime.html#addShutdownHook%28java.lang.Thread%29

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