• Journal of the Korean Data and Information Science Society
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• v.28 no.2
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• pp.421-433
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• 2017

The CTE (conditional tail expectation) is a useful risk management measure for a diversified investment portfolio that can be generally estimated by using a transformed univariate distribution. Hong et al. (2016) proposed a multivariate CTE based on multivariate quantile vectors, and explored its characteristics for multivariate normal distributions. Since most real financial data is not distributed symmetrically, it is problematic to apply the CTE to normal distributions. In order to obtain a multivariate CTE for various kinds of joint distributions, distribution fitting methods using copula functions are proposed in this work. Among the many copula functions, the Clayton, Frank, and Gumbel functions are considered, and the multivariate CTEs are obtained by using their generator functions and parameters. These CTEs are compared with CTEs obtained using other distribution functions. The characteristics of the multivariate CTEs are discussed, as are the properties of the distribution functions and their corresponding accuracy. Finally, conclusions are derived and presented with illustrative examples.

• The Korean Journal of Applied Statistics
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• v.29 no.7
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• pp.1201-1212
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• 2016

Value at Risk (VaR) for market risk management is a favorite method used by financial companies; however, there are some problems that cannot be explained for the amount of loss when a specific investment fails. Conditional Tail Expectation (CTE) is an alternative risk measure defined as the conditional expectation exceeded VaR. Multivariate loss rates are transformed into a univariate distribution in real financial markets in order to obtain CTE for some portfolio as well as to estimate CTE. We propose multivariate CTEs using multivariate quantile vectors. A relationship among multivariate CTEs is also derived by extending univariate CTEs. Multivariate CTEs are obtained from bivariate and trivariate normal distributions; in addition, relationships among multivariate CTEs are also explored. We then discuss the extensibility to high dimension as well as illustrate some examples. Multivariate CTEs (using variance-covariance matrix and multivariate quantile vector) are found to have smaller values than CTEs transformed to univariate. Therefore, it can be concluded that the proposed multivariate CTEs provides smaller estimates that represent less risk than others and that a drastic investment using this CTE is also possible when a diversified investment strategy includes many companies in a portfolio.

• Safety and Health at Work
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• v.9 no.1
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• pp.84-94
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• 2018

Background: This paper describes a simple-to-use and reliable screening tool called Critical Task Exposure Screening (CTES), developed by a chemical company. The tool assesses if the exposure to a chemical for a task is likely to be within acceptable levels. Methods: CTES is a Microsoft Excel tool, where the inhalation risk score is calculated by relating the exposure estimate to the corresponding occupational exposure limit (OEL) or occupational exposure band (OEB). The inhalation exposure is estimated for tasks by preassigned ART1.5 activity classes and modifying factors. Results: CTES requires few inputs. The toxicological data, including OELs, OEBs, and vapor pressure are read from a database. Once the substance is selected, the user specifies its concentration and then chooses the task description and its duration. CTES has three outputs that may trigger follow-up: (1) inhalation risk score; (2) identification of the skin hazard with the skin warnings for local and systemic adverse effects; and (3) status for carcinogenic, mutagenic, or reprotoxic effects. Conclusion: The tool provides an effective way to rapidly screen low-concern tasks, and quickly identifies certain tasks involving substances that will need further review with, nevertheless, the appropriate conservatism. This tool shows that the higher-tier ART1.5 inhalation exposure assessment model can be included effectively in a screening tool. After 2 years of worldwide extensive use within the company, CTES is well perceived by the users, including the shop floor management, and it fulfills its target of screening tool.

• Proceedings of the Korean Society For Composite Materials Conference
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• 2002.05a
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• pp.73-76
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• 2002

This study developed SiC/Al composites for electronic packaging to which reinforcements were added with the volume fractions of 49%, 56% and 63% by the squeeze casting method. 0.8 wt.% of the inorganic binder as well as the $Al_2O_3$ fiber and SiC particles with the volume fraction of 1:10 were added to the SiC/Al composites For the produced SiC/Al composites, the CTEs (coefficients of thermal expansion) were measured from 30 to $300^{\circ}C$ and compared with the FEM numerical simulation to analyze the temperature dependent properties. The experiment showed the CTEs of SiC/Al composites that were intermediate values of those of Rule of Mixture and Turner's Model. The CTEs were close to Turner's Model in the room temperature and approached the Rule of Mixture as the temperature increases. These properties analyzed from the difference of the average stress acting between the matrix and the reinforcements proposed in this study

• Journal of the Korea Institute of Military Science and Technology
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• v.13 no.1
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• pp.50-56
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• 2010

Military technology transition is the process of transition from the science and technology environment to systems to supply effective weapon systems and support systems to the fighters. In case of technology transition decision, immatured technologies result in increasing acquisition cost and delaying schedule toward the objective system. In this paper, we proposed a method to identify and select critical technology elements by integration relations between technologies or components, for supporting technology transition and risk management of military R&D projects.

• Proceedings of the Korean Society For Composite Materials Conference
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• 2001.10a
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• pp.74-78
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• 2001

In this study, out-of-plane properties and CTEs were predicted for 8-harness satin weave textile composites. The properties were calculated by unit cell analysis for configurations with varied waviness ratio and phase shifts. Macro elements were employed to reduce the computer resource requirement. It was found that the out-of-plane properties and CTEs were varied as the phase shift changed. However the dependency was much weaker than the in-plane properties.

• Composites Research
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• v.12 no.6
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• pp.1-7
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• 1999

The change of the coefficients of thermal expansion(CTE) of Carbon/Epoxy was investigated for the temperature variation and a prediction model for the change of CTE was proposed. Elastic properties and CTEs in the principal material directions were measured in the range of room temperature to cure temperature and characterized as functions of temperature. By applying the characterized properties to the classical lamination theory, a computational method to predict the change of CTEs of a general laminate for temperature variation was proposed. the coefficients of thermal expansion of laminates with various stacking sequences were measured and compared with those predicted. Good agreements between the predicted results and the experimental data show that the c hanges of CTEs of a general laminate for temperature variation can be predicted well by using the proposed method.

• Journal of the Korean Society for Aeronautical & Space Sciences
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• v.40 no.3
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• pp.264-272
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• 2012

TRL has a direct impact on development schedule and cost in the system or technology development projects. If TRL capability of development organization for specified CTEs can be accurately assessed and the impact of TRL on development schedule and cost are analyzed as detailed as possible, the risk of development schedule delay and cost increase can be minimized during the development process. This paper describes analysis results of TRL impact on development schedule and cost in the aerospace project. The development schedule and cost change are quantitatively estimated for the TRL improvement in the Unmanned Aerial Vehicle(UAV) system development program.

• Journal of Korea Foundry Society
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• v.17 no.4
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• pp.365-370
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• 1997

The effects of changes in microstructure of Si phase on the thermal expansion coefficients(CTEs) and tensile properties of the hypereutectic Al-Si foundry alloy(A390) were investigated experimentally. Specimens were prepared by various fabrication processes, such as a permanent mold casting, a squeeze casting and a spray casting process, and subsequently hot-extruded. CTEs of the spray-cast specimen were found to be about 10% lower than those of the permanent mold-cast specimen, and the CTEs of the hypereutectic Al-Si alloy(A390) were changed proportionally with the size of Si phase. Ultimate tensile strength of the spray-cast and hot-extruded specimen was dramatically improved about 100% with improved elongation, compared to that of permanent mold-cast specimen. These improvements are mainly attributed to the reduction in size and aspect ratio of the brittle Si phase, and the elimination of the microvoids/porosities formed during casting.

• Journal of Korea Foundry Society
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• v.26 no.3
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• pp.123-128
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• 2006

Mechanical and thermal properties of spray-cast hypereutectic Al-20wt.%Si-xwt.%Fe alloys (x=0, 1, 3, 5) were investigated. After the spray-casting, hot extrusion was performed at $400^{\circ}C$. Intermetallic compound (${\beta}-Al_5FeSi$) and primary Si are observed in the spray-cast aluminum alloys. The size of primary Si and intermetallic compound of the spray-aluminum alloys became finer and more uniformly distributed than that of the permanent mold cast ones. Ultimate tensile strength of the spray-cast aluminum alloys increased by increasing Fe contents, but that of the permanent mold cast aluminum alloys decreased by increasing Fe contents possibly due to increased amount of coarse intermatallic compound. The coefficient of thermal expansion (CTEs) of the aluminum alloys became lower with finer primary Si and intermetallic compound, and this is attributed to the increased amount of interfacial area between the aluminum matrix and the phases of finer Si and intermetallic compound.