• IE interfaces
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• v.24 no.1
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• pp.24-39
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• 2011

In this paper, we study the methodology for the measurement and integration of market risk and credit risk using Copula. We apply the methodology of Rosenberg, and Schuermann(2006) to the assets of pension system. Firstly we estimate dynamics of risk factors and their effects on investment returns, then use the estimated result to simulate future movement of risk factors and distribution of investment returns. Finally we measure integrated risk using integrated return distribution by Copula and simulated future investment return distributions. We found the integrated risk changing with the correlation of risks and investment weights of risks and confirmed the diversification effect of risks. This result is consistent when we use normal Copula and normal marginals, t-Copula and t(3) marginals, and normal Copula and non-parametric marginals. And in the case of non-parametric maginals, larger integrated risk is calculated. It means that use of non-parametric marginals is more conservative.

• East Asian mathematical journal
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• v.39 no.5
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• pp.537-547
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• 2023

In this paper, we introduce the optimal approximation by a Gaussian function for a probability density function. We show that the approximation can be obtained by solving a non-linear system of parameters of Gaussian function. Then, to understand the non-normality of the empirical distributions observed in financial markets, we consider the nearly Gaussian function that consists of an optimally approximated Gaussian function and a small periodically oscillating density function. We show that, depending on the parameters of the oscillation, the nearly Gaussian functions can have fairly thick heavy tails.

• Journal of Korean Society for Quality Management
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• v.14 no.1
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• pp.11-18
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• 1986

Whereas in non-symmetrical distribution manufacturing process they are not plotted relatively on the centeral line but plotted on the skew of right-hand side or left-hand side. That is to say, for the prupose of producing either upper-specification-oriented items or lower-specification-oriented items, and when we carry out tighter control so as to have them pass only its specifications, the distribution shape naturally has a non-normal distribution. In these cases, we could use either compressed control limits or variable transformed logarithm control charts. It the above mentioned methods were not available, we should use special purpose control chart-Mode control chart or Gram-Charlier control chart. These are proper methods for manufacturing process control which uses control chart method. In spite of these methods, domestic manufacturing and mining companies are utterly ignorant about these methods. That invites practical problems in their companies. To enhance this improvements, I proved the property of practical applications of control chart method by comparing and analyzing the case studies of practical application of speical purpose control chart method, and also by introducing the application methods.

• Proceedings of the Korean Society for Quality Management Conference
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• 1998.11a
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• pp.133-142
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• 1998

This paper is a brief review of the different procedures that are available for fitting theoretical distributions to data. The use of each technique is illustrated by reference to a distribution system which including the Pearson, Poission approximation of Gamma distribution and Burr functions. These functions can be used to calculate percent out of specification. Therefore, in this paper a new methods for estimating a measure of non-normal process capability for Gamma distributed variable data proposed using the percentage nonconforming. Process capability indices combines with the percentage nonconforming information can be used to evaluate more accurately process capability.

• Communications for Statistical Applications and Methods
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• v.14 no.3
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• pp.609-621
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• 2007

Diagnostic test results, which are approximately normal with a few number of outliers, but non-normal probability distribution, are frequently observed in practice. In the evaluation of two diagnostic tests, Greenhouse and Mantel (1950) proposed a parametric test under the assumption of normality but this test is inappropriate for the above non-normal case. In this paper, we propose a computationally simple nonparametric test that is based on quantile estimators of mean and standard deviation, instead of the moment-based mean and standard deviation as in some parametric tests. Parametric and nonparametric tests are compared with simulations under the assumption of, respectively, normality and non-normality, and under various combinations of the probability distributions for the normal and diseased groups.

• Journal of the Korean Statistical Society
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• v.7 no.1
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• pp.3-10
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• 1978

Let $X_i,...,X_n$ be a random sample from a distribution with cumulants $K_1, K_2,...$. The statistic $t = \frac{\sqrt{x}(\bar{X}-K_1)}{S}$ has the well-known 'student' distribution with $\nu = n-1$ degrees of freedom if the $X_i$ are normally distributed (i.e., $K_i = 0$ for $i \geq 3$). An Edgeworth series expansion for the distribution of t when the $X_i$ are not normally distributed is obtained. The form of this expansion is Prob $(t

• Bulletin of the Korean Mathematical Society
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• v.51 no.3
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• pp.691-700
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• 2014

We study normality for families of meromorphic functions which is related to an extended version of a Hayman's conjecture on value distribution, and prove several normality criteria for meromorphic functions and certain non-homogeneous differential polynomials.

• The Transactions of The Korean Institute of Electrical Engineers
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• v.57 no.4
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• pp.729-734
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• 2008

Vibroarthrographic(VAG) signals, emitted by human knee joints, are non-stationary and multi-component in nature and time-frequency distributions(TFD) provide powerful means to analyze such signals. The objective of this paper is to classify VAG signals, generated during joint movement, into two groups(normal and patient group) using the characteristic parameters extracted by time-frequency transform, and to evaluate the classification accuracy. Noise within TFD was reduced by singular value decomposition and back-propagation neural network(BPNN) was used for classifying VAG signals. The characteristic parameters consist of the energy parameter, energy spread parameter, frequency parameter, frequency spread parameter by Wigner-Ville distribution and the amplitude of frequency distribution, the mean and the median frequency by fast Fourier transform. Totally 1408 segments(normal 1031, patient 377) were used for training and evaluating BPNN. As a result, the average value of the classification accuracy was 92.3(standard deviation ${\pm}0.9$)%. The proposed method was independent of clinical information, and showed good potential for non-invasive diagnosis and monitoring of joint disorders such as osteoarthritis and chondromalacia patella.

• Journal of Magnetics
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• v.22 no.1
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• pp.1-6
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• 2017

Magnetic properties of CoPt nanoparticles (average size = 2.1 nm) encapsulated in synthesized protein shell have been investigated with SQUID (Superconducting Quantum Interference Device) magnetometer and analyzed by the recently developed non-equilibrium magnetization calculation by our group [T. H. Lee et al., Phys. Rev. B 90, 184411 (2014)]. Field dependence of magnetization measured at 2 K was successfully analyzed with modified Langevin function. In addition, small hysteresis loops having the coercive field of 890 Oe were observed at 2 K. Temperature dependence of magnetization has been measured with zero field cooled (ZFC) and field cooled (FC) protocol with slightly modified sequence in accordance with non-equilibrium magnetization calculation. The analysis on the M vs. T data revealed that the anisotropy energy barrier distribution is found to be very different from the log-normal distribution found in a size distribution. Zero temperature coercive field and Bloch coefficient have also been extracted from the analysis and the validity of those values is checked.

• Journal of Korean Society of Industrial and Systems Engineering
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• v.21 no.45
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• pp.201-213
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• 1998

We address the problem of choosing the most economic mean value for an automatic filling operation on a production line through the sampling inspection. If quality characteristic of a unit is less than inspection specification then the goods is not accepted. Otherwise, it is accepted. The lots that the numbers of non-conforming units in a sample are larger than the allowable number of non-conforming units are rejected. The non-conforming units in the rejected lots are separated by the screening inspection. The non-conforming units separated are sold in discount price. We assume that quality characteristic is larger-the-better characteristic, the distribution of quality characteristic is normal distribution, and the standard deviation of the distribution is known. This paper presents total expected profit function model considering sales revenue, inspection costs, and material costs. The manufacturing process mean value maximizing total expected profit is determined, and the results of the process target value and total expected profit is analyzed as coefficients change.