• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.481-504
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• 2006

VaR, a tail-related risk measure is now widely used as a tool for a measurement and a management of financial risks. For more accurate measurement of VaR, recently we are particularly concerned about the approach based on extreme value theory rather than the traditional method based on the assumption of normal distribution. However, many studies about the approaches using extreme value theory was done only for the univariate case. In this paper, we discuss portfolio risk measurements with modelling multivariate extreme value distributions by combining copulas and extreme value theory. We also discuss the estimation of ES together with VaR as portfolio risk measures. Finally, we investigate the relative superiority of EVT-copula approach than variance-covariance method through the back-testing of an empirical data.

• The Korean Journal of Applied Statistics
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• v.20 no.2
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• pp.291-311
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• 2007

With a series of unexpected huge losses in the financial markets around the world recently, especially in the insurance market with extreme loss cases such as catastrophes, there is an increasing demand for risk management for extreme loss exposures due to high unpredictability of those risks. For extreme risk management, to make a maximum use of the information concerning the tail part of a loss distribution, EVT(Extreme Value Theory) modelling nay be the best to analyze extreme values. The Extreme Value Theory is widely used in practice and, especially in financal markets, EVT modelling is getting popular to analyBe the effects of extreme risks. This study is to review the significance of the Extreme Value Theory in risk management and, focusing on analyzing insurer's risk capital, extreme risk is measured using the real fire loss data and insurer's specific amount of risk capital is figured out to buffer the extreme risk.

• Journal of Korean Society of Coastal and Ocean Engineers
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• v.32 no.3
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• pp.147-160
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• 2020

A stochastic probabilistic model for harbor structures such as rubble-mound breakwater has been formulated by using the generalized Wiener process considering the nonlinearity of damage drift and its nonlinear uncertainty, by which the damage path with real-time can be tracked, the residual useful lifetime at some age can also be analyzed properly. The formulated stochastic model can easily calculate the probability of failure with the passage of time through the probability density function of cumulative damage. In particular, the probability density functions of residual useful lifetime of the existing harbor structures can be derived, which can take into account the current age, its present damage state and the future damage process to be occurred. By using the maximum likelihood method and the least square method together, the involved parameters in the stochastic model can be estimated. In the calibration of the stochastic model presented in this paper, the present results are very well similar with the results of MCS about tracking of the damage paths as well as evaluating of the density functions of the cumulative damage and the residual useful lifetime. MTTF and MRL are also evaluated exactly. Meanwhile, the stochastic probabilistic model has been applied to the rubble-mound breakwater. The related parameters can be estimated by using the experimental data of the cumulative damages of armor units measured as a function of time. The theoretical results about the probability density function of cumulative damage and the probability of failure are very well agreed with MCS results such that the density functions of the cumulative damage tend to move to rightward and the amounts of its uncertainty are increased as the elapsed time goes on. Thus, the probabilities of failure with the elapsed time are also increased sharply. Finally, the behaviors of residual useful lifetime have been investigated with the elapsed age. It is concluded for rubble-mound breakwaters that the probability density functions of residual useful lifetime tends to have a longer tail in the right side rather than the left side because of the gradual increases of cumulative damage of armor units. Therefore, its MRLs are sharply decreased after some age. In this paper, the special attentions are paid to the relationship of MTTF and MRL and the elapsed age of the existing structure. In spite of that the sum of the elapsed age and MRL must be equal to MTTF deterministically, the large difference has been shown as the elapsed age is increased which is due to the uncertainty of cumulative damage to be occurred in the future.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.21 no.6
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• pp.212-217
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• 2020

The purpose of this study was to analyze the volatility and properties of a time series for tangerine prices in Jeju using the GARCH model of Bollerslev(1986). First, it was found that the time series for the rate of change in tangerine prices had a thicker tail rather than a normal distribution. At a significance level of 1%, the Jarque-Bera statistic led to a rejection of the null hypothesis that the distribution of the time series for the rate of change in tangerine prices is normally distributed. Second, the correlation between the time series was high based on the Ljung-Box Q statistic, which was statistically verified through the ARCH-LM test. Third, the results of the GARCH(1,1) model estimation showed statistically significant results at a significance level of 1%, except for the constant of the mean equation. The persistence parameter value of the variance equation was estimated to be close to 1, which means that there is a high possibility that a similar level of volatility will be present in the future. Finally, it is expected that the results of this study can be used as basic data to optimize the government's tangerine supply and demand control policy.

• 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.

• Management & Information Systems Review
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• v.39 no.2
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• pp.17-37
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• 2020

The purpose of this study is to investigate the global spillover effects through the existence of linear and nonlinear causal relationships between the US, European and BRIC financial markets after the period from the introduction of the Euro, the financial crisis and the subsequent EU debt crisis in 2007~2010. Although the global spillover effects of the financial crisis are well described, the nature of the volatility effects and the spread mechanisms between the US, Europe and BRIC stock markets have not been systematically examined. A stepwise filtering methodology was introduced to investigate the dynamic linear and nonlinear causality, which included a vector autoregressive regression model and a multivariate GARCH model. The sample in this paper includes the post-Euro period, and also includes the financial crisis and the Eurozone financial and sovereign crisis. The empirical results can have many implications for the efficiency of the BRIC stock market. These results not only affect the predictability of this market, but can also be useful in future research to quantify the process of financial integration in the market. The interdependence between the United States, Europe and the BRIC can reveal significant implications for financial market regulation, hedging and trading strategies. And the findings show that the BRIC has been integrated internationally since the sub-prime and financial crisis erupted in the United States, and the spillover effects have become more specific and remarkable. Furthermore, there is no consistent evidence supporting the decoupling phenomenon. Some nonlinear causality persists even after filtering during the investigation period. Although the tail distribution dependence and higher moments may be significant factors for the remaining interdependencies, this can be largely explained by the simple volatility spillover effects in nonlinear causality.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.18 no.7
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• pp.431-440
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• 2017

This study surveyed pre-service early childhood teachers' level of concern about software education on the assumption that software education will be introduced into early childhood education in the future. It was shown that the pre-service early childhood teachers' level of concern about software education is the highest at stage 0(95%) and that they have a high level of informative, personal and managerial concern. Thus, a non-user pattern was mostly indicated. However, compared to the typical non-user pattern, their personal and informative level of concern is slightly higher. A 'tailing up' phenomenon to stage 6(refocusing) was shown. Hence, a pattern aspect close to critical non-user appeared to some extent. A difference in the significant level of concern was shown at all stages, except for managerial concern, according to the need for awareness, the appearance of a future implementation plan, and technology efficacy level. Based on this outcome, it was proposed that teacher training in early childhood software education should be made available as part of the educational activity connected with the Nuri Curriculum, since this would be more suitable for young children's developmental level than the early childhood software education, including coding education, etc., currently found in private institutions.

• Journal of Korean Society of Forest Science
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• v.100 no.1
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• pp.34-41
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• 2011

Vegetation structure, composition and diversity were quantified for 10 samples ($10m{\times}10m$) representing woody vegetation and for 30 samples ($1m {\times}3m$) representing understory vegetation in Pinus parviflora and Tsuga sieboldii forest of Taeharyeong, Ulleung-gun (Gyeongsangbuk-do). P. parviflora was limitedly advanced to sapling layer from seedling stage, and based on Mantel tests, composition of canopy layer was not established in ground woody vegetation. Non-metric multidimensional scaling revealed influence of biotic and abiotic factors in species composition of woody and understory vegetation. In the result of multiple regression model, abundance of P. parviflora (density and breast height area) and percent cover of woody debris were significant predict variables for understory diversity. These results suggest that relatively large disturbance is required for regeneration of P. parviflora and T. sieboldii forest, and control of expansion of monocultural understory species that monopolize resources such as Carex blepharicarpa and Maianthemum dilatatum, is necessary for maintenance of diversity.

• Korean Journal of Environment and Ecology
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• v.31 no.2
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• pp.152-165
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• 2017

The greater long-tail hamster, Tscherskia triton, is widely distributed in Northern China, Korea and adjacent areas of Russia. Except for its distribution, biological characteristics related to life history, behavior, and ecological influences for this species are rarely studied in Korea. This study was conducted to obtain biological information on breeding, growth and development that are basic to species-specific studies. The study adopted laboratory management of a breeding programme for T. triton collected in Jeju Island from March, 2015 to December, 2016. According to the study results, the conception rate was 31.67% and the mice in the large cages had a higher rate of conception than those in the small cages (56.7 vs. 6.7%). The gestation period was $22{\pm}1.6days$ (ranges from 21 to27 days), and litter size ranged from 2 to 7, with a mean of $4.26{\pm}1.37$ in the species. The minimum age for weaning was between $19.2{\pm}1.4days$ (range of 18-21 days). There were no significant differences by sex between mean body weight and external body measurements at birth. However, a significant sexual difference was found from the period of weaning (21 days old) in head and body length, as well as tail length (HBL-weaning, $106.50{\pm}6.02$ vs. $113.34{\pm}4.72mm$, p<0.05; HBL-4 months, $163.93{\pm}5.42$ vs. $182.83{\pm}4.32mm$, p<0.05; TL-4 months, $107.23{\pm}3.25$ vs. $93.95{\pm}2.15mm$, p<0.05). Gompertz and Logistic growth curves were fitted to data for body weight and lengths of head and body, tail, ear, and hind foot. In two types of growth curves, males exhibited greater asymptotic values ($164.840{\pm}7.453$ vs. $182.830{\pm}4.319mm$, p<0.0001; $163.936{\pm}5.415$ vs. $182.840{\pm}4.333mm$, p<0.0001), faster maximum growth rates ($1.351{\pm}0.065$ vs. $1.435{\pm}0.085$, p<0.05; $2.870{\pm}0.253$ vs. $3.211{\pm}0.635$, p<0.05), and a later age of maximum growth than females in head and body length ($5.121{\pm}0.318$ vs. $5.520{\pm}0.333$, p<0.05; $6.884{\pm}0.336$ vs. $7.503{\pm}0.453$, p<0.05). However, females exhibited greater asymptotic values ($105.695{\pm}5.938$ vs. $94.150{\pm}2.507mm$, p<0.001; $111.609{\pm}14.881$ vs. $93.960{\pm}2.150mm$, p<0.05) and longer length of inflection ($60.306{\pm}1.992$ vs. $67.859{\pm}1.330mm$, p<0.0001; $55.714{\pm}7.458$ vs. $46.975{\pm}1.074mm$, p<0.05) than males in tail length. These growth rate constants, viz. the morphological characters and weights of the males and females, were similar to each other in two types of growth curves. These results will be used as necessary data to study species specificity of T. triton with biological foundations.

• Trans-
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• v.8
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• pp.95-127
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• 2020

This research is based on using Bartenieff Fundamentals to analyze the fundamentals of Tai Chi Chuan's movements in order to develop the methods of relaxation from Tai Chi Chuan's principle movement movements It also shows that the two techniques have commonalities in many ways. First of all, taking a philosophical approach on the body movements of Tai Chi Chuan and Bartenieff, for both methods the ultimate goal is the integration of mind and body. In other words, there is a thread of connection between the East's body and mind monism and the west's Body Awareness. Secondly, looking at it from a Breath Support standpoint as used in the Bartenieff method, the two methods both use the breathing to naturally move the body and relax the body. In Tai Chi Chuan the Breath is the basis of life and the strength of the Body. So the breathing of Tai Chi chuan is what makes body and mind communicate, harmonize and integrate. In other words, Breathing in Tai Chi is realized through mental fusion and affects the movements. This is the same as the Breath Support of Bartenieff. It is said that in every aspect the Breath Support of Bartenieff influences the movement and changes both the inner and outer form of the body. Thirdly, looking at the Core Support used in the Bartenieff method, both methods emphasize core. At the same time of moving and being conscious of one's core, the usage of muscles can be deeper rather than superficial and this enables strong and flexible movement. In Tai Chi Chuan abdominal muscles used when one coughs are consciously engaged through abdominal breathing and so strength is collected in the core. When one exercises like that the core becomes more stable and breathing becomes more smooth. Fourthly, analyzing the Rotary Factor used in the Bartenieff Fundamentals, they both use rotary movement to reach the goal of physical relaxation. The rotation factor of Bartenieff allows movement to be easier and more free because of the characteristic of joint exercise where the center axis moved in three dimensions, this is the same in Tai Chi chuan. According to Tai Chi chuan's circle and Spiral Movements, it can achieve the relaxation through switching into a seamless flow and access space as much as possible. Finally, when looking at Developmental Patterning through Bonnie Bainbridge Cohen's Body-Mind Centering Work theory, presented from Bartenieff developmental model are similar with the developmental process of Tai Chi chuan Breath, Core-Distal Connectivity/Navel Radiation, Head-Tail Connectivity/Spinal Movement, Upper-Lower Connectivity/Homologous, Body-Half Connectivity/Homo-Lateral Connectivity, Cross-Lateral Connectivity/Contra-Lateral Connectivity. They are all similar. In other words, in Tai Chi Chuan energy is gathered in the core through breathing, upper and lower body are connected through the spine, not only homo-laterally but also cross-laterally. Through this study the expression of the dance movements can be more natural. Additionally based on the Body Awareness balance usage of the central axis, joints and body can develop the relax technique.