• Journal of the Korean Society of Safety
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• v.22 no.4
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• pp.1-6
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• 2007

In this study, we provided an index for the quantitative and systematic performance based fire risk assessment. A complex cinema was adopted for the fire scenario and the fire simulation was carried out by using FDS. Also evacuation time was calculated by using SIMULEX. We obtained a big different fire risk assessment result by the focus on the between space basis and the time basis. As a result of this study, performance based fire risk assessment should be performed on the basis of individual evacuee's path line.

• Journal of the Korean Data and Information Science Society
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• v.27 no.6
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• pp.1661-1671
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• 2016

Risk analysis is a systematic study of uncertainties and risks we encounter in business, engineering, public policy, and many other areas. Value at Risk (VaR) is one of the most widely used risk measurements in risk management. In this paper, the Korean Composite Stock Price Index data has been utilized to model the VaR employing the classical ARMA (1,1)-GARCH (1,1) models with normal, t, generalized hyperbolic, and generalized pareto distributed errors. The aim of this paper is to compare the performance of each model in estimating the VaR. The performance of models were compared in terms of the number of VaR violations and Kupiec exceedance test. The GARCH-GPD likelihood ratio unconditional test statistic has been found to have the smallest value among the models.

• Journal of the Korean Operations Research and Management Science Society
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• v.35 no.4
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• pp.33-53
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• 2010

When purchase prices of a raw material fluctuate over time, the total purchasing cost is mainly affected by reordering time. Existing researches focus on deciding the right time when the demand for each period is replenished at the lowest cost. However, the decision is based on expected future prices which usually turn out to include some error. This discrepancy between expected prices and actual prices deteriorates the performance of inventory models dealing with fluctuating purchase prices. In this paper, we propose a new inventory model which incorporates not only cost but also risk into making up a replenishment schedule to meet each period's demand. For each replenishment schedule, the risk is defined to be the variance of its total cost. By introducing the risk into the objective function, the variability of the total cost can be mitigated, and eventually more stable replenishment schedule will be obtained. According to experimental results from crude oil inventory management, the proposed model showed better performance over other models in respect of variability and cost.

• Journal of the Korean Data and Information Science Society
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• v.24 no.6
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• pp.1503-1520
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• 2013

For multi-line insurance companies, allocating the risk capital to each line is a widely-accepted risk management exercise. In this article we consider several applications of the Euler capital allocation. First, we propose visual tools to present the diversification and the line-wise performance for a given loss portfolio so that the risk managers can understand the interactions among the lines. Secondly, on theoretical side, we prove that the Euler allocation is the directional derivative of the marginal or incremental allocation method, an alternative capital allocation rule in the literature. Lastly, we establish the equivalence between the mean-shortfall optimization and the RORAC optimization when the risk adjusted capital is the expected shortfall, and show how to construct the optimal insurance business mix that maximizes the portfolio RORAC. An actual loss sample of an insurance portfolio is used for numerical illustrations.

• Health Policy and Management
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• v.17 no.3
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• pp.87-105
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• 2007

The purpose of this study was to analyze whether nonemergency, isolated coronary artery bypass graft (CABG) surgery for high- or low-risk patients biases the assessment of the risk-adjusted mortality rates of hospitals. This study used 2002 National Health Insurance claims data for tertiary hospitals in Korea. The study sample consisted of 1,959 patients from 23 tertiary hospitals. The risk-adjustment model used the patients' biological, admission, and comorbidity data identified in the claims. The subjects were classified into high- and low-risk groups based on predicted surgical risk. The crude mortality rates and risk-adjusted mortality rates for low-risk, high-risk, and all patients in a hospital were compared based on the rank and the four intervals defined by quartile. Also, the crude mortality rates of the three groups were compared with their 95% confidence intervals of predicted mortality rates. The C-statistic (0.83) and Hosmer-Lemeshow test ($X^2$=11.47, p=0.18) indicated that the risk-adjustment model performed well. Presenting crude mortality rates with their 95% confidence intervals of predicted rates showed higher agreements among the three groups than using the rank or intervals of mortality rates defined by quartile in the hospital performance assessment. The crude mortality rates for the low-risk patients in 21 of the 23 hospitals were located on the same side of their 95% confidence intervals compared to that for all patients. High-risk patients and all patients differed at only one hospital. In conclusion, the impact of risk selection by hospital on the assessment results was the smallest when comparing the crude inpatient mortality rates of CABG patients with the 95% confidence intervals of predicted mortality rates. Given the increasing importance of quality improvements in Korean health policy, it will be necessary to use the appropriate method of releasing the hospital performance data to the public to minimize any unwanted impact such as risk-based hospital selection.

• Asian Pacific Journal of Cancer Prevention
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• v.17 no.11
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• pp.4913-4916
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• 2016

Objective: As a source of information, medical data can feature hidden relationships. However, the high volume of datasets and complexity of decision-making in medicine introduce difficulties for analysis and interpretation and processing steps may be needed before the data can be used by clinicians in their work. This study focused on the use of Bayesian models with different numbers of nodes to aid clinicians in breast cancer risk estimation. Methods: Bayesian networks (BNs) with a retrospectively collected dataset including mammographic details, risk factor exposure, and clinical findings was assessed for prediction of the probability of breast cancer in individual patients. Area under the receiver-operating characteristic curve (AUC), accuracy, sensitivity, specificity, and positive and negative predictive values were used to evaluate discriminative performance. Result: A network incorporating selected features performed better (AUC = 0.94) than that incorporating all the features (AUC = 0.93). The results revealed no significant difference among 3 models regarding performance indices at the 5% significance level. Conclusion: BNs could effectively discriminate malignant from benign abnormalities and accurately predict the risk of breast cancer in individuals. Moreover, the overall performance of the 9-node BN was better, and due to the lower number of nodes it might be more readily be applied in clinical settings.

• The Korean Journal of Financial Management
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• v.24 no.3
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• pp.153-186
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• 2007

It is well known that the distributional properties of financial asset returns exhibit fatter-tails and skewer-mean than the assumption of normal distribution. The correct assumption of return distribution might improve the estimated performance of the Value-at-Risk(VaR) models in financial markets. In this paper, we estimate and compare the VaR performance using the RiskMetrics, GARCH and FIGARCH models based on the normal and skewed-Student-t distributions in two daily returns of the Korean Composite Stock Index(KOSPI) and Korean Won-US Dollar(KRW-USD) exchange rate. We also perform the expected shortfall to assess the size of expected loss in terms of the estimation of the empirical failure rate. From the results of empirical VaR analysis, it is found that the presence of long memory in the volatility of sample returns is not an important in estimating an accurate VaR performance. However, it is more important to consider a model with skewed-Student-t distribution innovation in determining better VaR. In short, the appropriate assumption of return distribution provides more accurate VaR models for the portfolio managers and investors.

• Journal of the Korean Society of School Health
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• v.36 no.3
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• pp.113-125
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• 2023

Purpose: The purpose of this study is to develop a model for predicting mental health risk among adolescents based on health behavior information by employing a hybrid machine learning method. Methods: The study analyzed data of 51,850 domestic middle and high school students from 2022 Youth Health Behavior Survey conducted by the Korea Disease Control and Prevention Agency. Firstly, mental health risk levels (stress perception, suicidal thoughts, suicide attempts, suicide plans, experiences of sadness and despair, loneliness, and generalized anxiety disorder) were classified using the k-mean unsupervised learning technique. Secondly, demographic factors (family economic status, gender, age), academic performance, physical health (body mass index, moderate-intensity exercise, subjective health perception, oral health perception), daily life habits (sleep time, wake-up time, smartphone use time, difficulty recovering from fatigue), eating habits (consumption of high-caffeine drinks, sweet drinks, late-night snacks), violence victimization, and deviance (drinking, smoking experience) data were input to develop a random forest model predicting mental health risk, using logistic and XGBoosting. The model and its prediction performance were compared. Results: First, the subjects were classified into two mental health groups using k-mean unsupervised learning, with the high mental health risk group constituting 26.45% of the total sample (13,712 adolescents). This mental health risk group included most of the adolescents who had made suicide plans (95.1%) or attempted suicide (96.7%). Second, the predictive performance of the random forest model for classifying mental health risk groups significantly outperformed that of the reference model (AUC=.94). Predictors of high importance were 'difficulty recovering from daytime fatigue' and 'subjective health perception'. Conclusion: Based on an understanding of adolescent health behavior information, it is possible to predict the mental health risk levels of adolescents and make interventions in advance.

• International Commerce and Information Review
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• v.19 no.2
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• pp.213-236
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• 2017

World trade has entered a stagnant state, protection trade measures are spread due to delayed economic recovery in developed countries, sluggish investment in emerging economies such as China, economic recession in resource exporting countries, and geopolitical and political uncertainties along with the election period in the US and other major industrialized countries. Thus, in the economic structure of our country with a focus on export, for small and medium enterprises to grow, efforts for having various markets are necessary. The importance of the trade insurance system, which can support the risk management of enterprises, is emphasized by the fact that the majority of SME exporters have a risk management level and a lack of corporate capacity to enter the global market. This study was surveyed with 87 small and medium export companies in South Korea. The purpose of this study is to verify the effect relationship how service quality of trade insurance and utilization of trade insurance impact on the risk management of trade payment and export performance. The research hypothesis and model was derived from the basis of existing theory and empirical research, and obtained the following results. Firstly, Service Quality of Trade Insurance showed positive (+) effect on Export Performance. Secondly, Utilization of Trade Insurance showed positive (+) effect on Risk Management of Trade Payment. Thirdly, Risk Management of Trade Payment showed positive (+) effect on Export Performance. This study is differentiated from previous research information by empirically evaluating the relationship between the risk management of trade payment and export performance through utilization of trade insurance. This study contributed to academic by examining the research on the risk management of trade insurance and also practically suggested the direction how small and medium export company is to take the advantage of the trade insurance.

• Korean Security Journal
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• no.38
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• pp.109-136
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• 2014

Korea domestic casino industry has been experienced an explosive growth marking the highest quantity and quality with rapid growth of domestic economy since the 1960s. However there are really lack of study about presenting guideline for establishing risk management planning reflected characteristics of casino industry. Therefore, we analyzed previous studies about concept of the risk and criteria and drew dimension of safety supervision reflecting characteristics of casino industry. we, also, identified detailed safety management factors as well as classified three dimensions of environment, human and facility on the dimension of safety supervision. This study was designed to examine effect relationship between risk management factors and performance of security management organization focused on The mediation effect of atmosphere of organization We used two different tools for data analysis: SPSS 18.0 for the descriptive statistics and PLS 3.0 to validate the integrity of the research model and proposed hypotheses that is main effects from risk management factors to security management organization and mediation effects of atmosphere of organization. The data analysis confirmed the importance of risk management factors to enhanced performance of security management organization. The mediation effect of atmosphere of organization, also, supported relationship between risk management factors and performance of security management organization. It provided theoretical and practical implication for building risk management strategy well suited casino company and conducting security management.