• Journal of Korea Technology Innovation Society
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• v.9 no.2
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• pp.304-324
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• 2006

There were considerable researches by finance people trying to find out business ratios as predictors of corporate bankruptcy. However, such financial ratios usually lack theoretical justification to predict bankruptcy for technology-oriented small sized venture firms. This study proposes a bankruptcy predictive discriminant model using technology evaluation data instead of financial data, evaluates the model fit by the correct classification rate, cross-validation method and M-P-P method. The results indicate that linear discriminant model was found to be more appropriate model than the logistic discriminant model and 69% of original grouped data were correctly classified while 67% of future data were expected to be classified correctly.

• The Korean Journal of Applied Statistics
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• v.24 no.4
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• pp.575-586
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• 2011

In this paper, we study an asymptotic behavior of the finite-time ruin probability of the compound Poisson model in the case that the initial surplus is large. To compare an exact ruin probability with an approximate one, we place the focus on the exact calculation for the ruin probability when the claim size distribution is regularly varying tailed (i.e. exponential claims and inverse Gaussian claims). We estimate an adjustment coefficient in these examples and show the relationship between the adjustment coefficient and the safety premium. The illustration study shows that as the safety premium increases so does the adjustment coefficient. Larger safety premium means lower "long-term risk", which only stands to reason since higher safety premium means a faster rate of safety premium income to offset claims.

• Communications for Statistical Applications and Methods
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• v.18 no.4
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• pp.433-443
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• 2011

We consider a compound Poisson risk model in which the premiums may depend on the state of the surplus process. By using the overflow probability of the workload process in the corresponding M/G/1 queueing model, we obtain the probability that the ruin occurs before the surplus reaches a given large value in the risk model. We also examplify the ruin probability in case of exponential claims.

• The Korean Journal of Applied Statistics
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• v.25 no.1
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• pp.81-87
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• 2012

A continuous time risk model is considered, where the premium rate is constant and the claims form a compound Poisson process. We assume that an injection is made, which is an immediate increase of the surplus up to level u > 0 (initial level), when the level of the surplus goes below ${\tau}$(0 < ${\tau}$ < u). We derive the formula of the ruin probability of the surplus by establishing an integro-differential equation and show that an explicit formula for the ruin probability can be obtained when the amounts of claims independently follow an exponential distribution.

• Journal of the Korean Data and Information Science Society
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• v.24 no.1
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• pp.1-12
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• 2013

In this paper, we introduce a continuous-time risk model where the surplus follows a diffusion process with positive drift while being subject to two types of claims. We assume that the sizes of both types of claims are exponentially distributed and that type I claims occur more frequently, however, their sizes are smaller than type II claims. We obtain the ruin probability that the level of the surplus becomes negative, by establishing an integro-differential equation for the ruin probability. We also obtain the ruin probabilities caused by each type of claim and the probability that the level of the surplus becomes negative naturally due to the diffusion process. Finally, we illustrate a numerical example to compare the impacts of two types of claim on the ruin probability of the surplus with that of the diffusion process in the risk model.

• The Korean Journal of Applied Statistics
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• v.22 no.5
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• pp.937-942
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• 2009

In this paper, a continuous-time risk process in an insurance business is considered, where the premium rate is constant and the claim process forms a compound Poisson process. We say that a ruin occurs if the surplus of the risk process becomes negative. It is practically impossible to calculate analytically the ruin probability because the theoretical formula of the ruin probability contains the recursive convolutions and infinite sum. Hence, many authors have suggested approximation formulas of the ruin probability. We introduce a new approximation formula of the ruin probability which extends the well-known De Vylder's and exponential approximation formulas. We compare our approximation formula with the existing ones and show numerically that our approximation formula gives closer values to the true ruin probability in most cases.

• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.579-585
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• 2006

We consider a ruin model where the surplus process is formed by a Brownian motion. If the level of surplus exceeds V, then we assume that a insurer invests an amount of S to other place. In this paper, we apply martingale methods to the surplus process and obtain the expectation of period T, time from origin to the point where the level of surplus reaches either V or 0. As a consequence, we finally derive the total and average amount of surplus during T.

• Journal of Intelligence and Information Systems
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• v.10 no.1
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• pp.77-91
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• 2004

This research compares the use of accounting data versus market data in the prediction of bankruptcy. Comparison is made through neural networks so that prediction accuracy is model-independent. Results of this study indicate that both market and accounting data provide useful information on corporate bankruptcies. Interestingly, using market and accounting information together can achieve substantial gain in prediction accuracy.

• The Korean Journal of Financial Management
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• v.16 no.1
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• pp.33-59
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• 1999

본 연구는 부실기업의 갱생에 있어 중요한 요인인 청구권자들 사이의 정보불균형 및 이해갈등 문제에 초점을 맞추어 부실채권 정상화를 위하여 채권자주도로 시도되는 M&A의 성공여부에 영향을 미치는 요인을 실증적으로 분석하였다. 로지트(logit)모형에 의하여 M&A의 성공여부를 회귀분석한 결과, '청산가치비율'(+)은 1%의 유의수준에서, '구경영진 부실경영책임여부 가변수'(-)와 '파산이후 순이익 정리계획안 계획대비 달성률'(+)은 5%의 유의수준에서 관련성을 가지는 것으로 나타났다. 그리고 '광고연구개발비율'(+) 및 '파산이후 매출액증가율'(+)은 1%의 유의수준에서 관련성을 가지는 것으로 나타났다. 따라서 채권자가 주도하는 M&A의 성공요인으로 파산전후 청구권자들 사이의 정보불균형 문제가 적은 부실기업일수록 그리고 '광고연구개발비율'이 높은 부실기업으로서 상대적으로 무형적인 자산의 가치가 높고, 전문적인 제품을 생산하는 기업은 M&A의 성공 가능성이 높은 것으로 나타났다. 또한 부실기업에 대한 부채조정 등 재무구조의 변화에 따라 '파산이후 매출액증가율'이 높은 기업일수록 M&A의 성공가능성이 높다고 추론할 수 있을 것이다 그러나 '담보권 있는 금융기관 수 비율'(+), '금융비용부담률'(-)과 '대주주지분율'(-) 등은 비유의적인 것으로 나타나서 부실기업의 부채조달내역의 우선권 구조, 재무구조 불안정성 및 소유구조 등은 M&A의 성공여부와 관련성이 거의 없는 것으로 나타났다.

• Journal of Navigation and Port Research
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• v.44 no.6
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• pp.541-549
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• 2020

This study conducts differential analysis on the financial positions of Korean shipping companies before and after the bankruptcy of the H carrier, looking specifically at their financial ratios, profit and loss patterns, and other factors related to their financial operation. Firstly, it was discovered that major measures of financial health, such as average assets per carrier, were not affected by the bankruptcy of the H carrier. However, despite this, most carriers experienced large changes in profits and losses, with total sales and shipping revenues averaging 424.5 billion won and 381.7 billion won respectively before the bankruptcy, but falling by half to 252.1 billion won and 234.6 billion won after the bankruptcy. Additionally, charter revenues and expenses also dropped by more than half. EBIT/sales and pre-tax revenue margins were also heavily affected after the bankruptcy, with both figures averaging 8% and 3% respectively before the bankruptcy, but falling into the negative range at -2% and -8% post-bankruptcy, resulting in significant deterioration in operational profitability. The study concludes that there is an urgent need to establish a global sales network, improve cost structures, and consistently secure stable cargo in order to increase Korean carriers' profitability. Of all financial measures, liquidity and total asset efficiency were identified as the most severely-impacted by the H carrier bankruptcy, thereby requiring the most pressing policy addressing.