• Journal of the Korean Data and Information Science Society
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• 제28권2호
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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.

• 응용통계연구
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• 제29권7호
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• pp.1201-1212
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• 2016

시장위험 관리를 위한 Value at Risk(VaR)는 금융기관들이 선호하는 기법이지만, 투자가 실패한 경우에 손실금액에 대하여는 설명할 수 없다는 문제점이 있다. VaR의 한계를 보완하는 대안적인 위험측정도구인 Conditional Tail Expectation(CTE)는 VaR를 초과하는 조건부 기대값으로 정의된다. 포트폴리오에 대한 CTE를 추정하는 실제금융시장에서는. 일반적으로는 다변량 손실률을 일변량 분포로 변환하여 VaR을 추정하고 CTE를 구하지만, 본 연구에서는 다차원 분위벡터를 이용하여 다변량 CTE들을 제안한다. 그리고 일변량 CTE들의 관계를 확장하여 다변량 CTE들의 관계식을 유도하였다. 다양한 분산-공분산행렬을 갖는 이변량과 삼변량의 정규분포로부터 다변량 CTE들을 구하고 CTE들의 관계식을 구현하면서 고차원 분포로의 확장 가능성을 설명하였다. 이변량과 삼변량의 실증 예제를 통해 제안한 이론을 탐색하고, 기존의 CTE와 비교하였다. 다변량 변수들의 분산-공분산행렬과 다변량 분위벡터를 사용한 다변량 CTE가 일변량으로 변환하여 구한 CTE보다 작은 값을 갖는 것을 발견하였다. 그러므로 본 연구에서 제안한 다변량 CTE는 보다 적은 위험성을 나타내는 추정량이며, 포트폴리오를 구성하는 여러 기업을 동시에 고려하는 분산 투자 전략을 세우는 경우에 이런 다변량 CTE를 사용하는 적극적인 투자가 가능하다는 장점이 있다.

• Safety and Health at Work
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• 제9권1호
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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.

• 한국복합재료학회:학술대회논문집
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• 한국복합재료학회 2002년도 춘계학술발표대회 논문집
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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

• 한국군사과학기술학회지
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• 제13권1호
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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.

• 한국복합재료학회:학술대회논문집
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• 한국복합재료학회 2001년도 추계학술발표대회 논문집
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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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• 제12권6호
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• pp.1-7
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• 1999

본 논문은 탄소/에폭시 적층판의 온도변화에 대한 열팽창계수 변화를 예측하고 실험적으로 검증한 것으로 재료의 주축 방향에 대한 기계적 탄성 특성과 열팽창계수를 상온에서 경화온도 범위까지 측정하였으며 온도 함수로 특성화 하였다. 온도 함수로 특성화된 물성을 고전 적층판 이론에 적용함으로써 온도 변화에 대해 일반 적층각 적층판 복합재료의 열팽창계수를 예측할 수 있는 해석적 모델을 제시하였다. 이를 증명하기 위해서 일반 적층각 적층판의 열팽창계수를 측정하였으며 이를 해석적 모델로 계산된 예측치와 비교하였다. 실험적 검증 결과 온도 변화에 대한 일반 적층판의 열팽창계수의 변화가 제시된 해석적인 계산 방법을 사용함으로써 적절하게 예측될수 있음을 볼수 있다.

• 한국항공우주학회지
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• 제40권3호
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• pp.264-272
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• 2012

시스템개발 프로젝트에서 기술성숙도(TRL; Technology Readiness Level)는 개발기간과 비용에 직접적인 영향을 미친다. 만약 프로젝트 주관기관의 핵심기술요소(CTEs)에 대한 기술 성숙도를 정확히 평가하여, 그에 따른 개발기간과 일정의 영향 정도를 세밀히 분석한다면, 개발이 진행되는 과정에서 예산 추가와 일정 지연과 같은 위험을 최소화시킬 수 있다. 본 논문에서는 기술성숙도가 항공우주개발 프로젝트의 개발기간과 비용에 미치는 영향을 분석하고, 무인기시스템 개발사업에 적용하여 개발기관의 기술성숙도 수준 차이에 따른 개발기간과 비용의 정량적인 변화를 분석하였다.

• 한국주조공학회지
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• 제17권4호
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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.

• 한국주조공학회지
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• 제26권3호
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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.