• The Pure and Applied Mathematics
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• v.16 no.1
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• pp.121-131
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• 2009

In this paper we examine the relation among law-invariant coherent risk measures with the Fatou property, distortion risk measures and spectral risk measures, and give a new proof of the relation among them. It is also shown that the spectral risk measure satisfies the monotonicity with respect to stochastic dominance and the comonotonic additivity.

• The Korean Journal of Applied Statistics
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• v.34 no.6
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• pp.875-887
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• 2021

Value at Risk (VaR) is the most popular measure for market risk. In this paper, we consider the VaR estimation of portfolio consisting of a variety of assets based on multivariate copula model known as vine copula. In particular, sparse vine copula which penalizes too many parameters is considered. We show in the simulation study that sparsity indeed improves out-of-sample forecasting of VaR. Empirical analysis on 60 KOSPI stocks during the last 5 years also demonstrates that sparse vine copula outperforms regular copula model.

• Asian Pacific Journal of Cancer Prevention
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• v.17 no.2
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• pp.719-722
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• 2016

Background: Cholangiocarcinoma (CCA) is a serious health problem in Thailand, particularly in northeastern and northern regions, but epidemiological studies are scarce and the spatial distribution of CCA remains to be determined. A database for the population at risk is required for monitoring, surveillance and organization of home health care. This study aim was to geo-visually display the distribution of CCA in northeast Thailand, using a geographic information system and Google Earth. Materials and Methods: A cross-sectional survey was carried out in 9 sub-districts and 133 villages in Chum Phuang district, Nakhon Ratchasima province during June and October 2015. Data on demography, and the population at risk for CCA were combined with the points of villages, sub-district boundaries, district boundaries, and points of hospitals in districts, then fed into a geographical information system. After the conversion, all of the data were imported into Google Earth for geo-visualization. Results: A total of 11,960 from 83,096 population were included in this study. Females and male were 52.5%, and 47.8%, the age group 41-50 years old 33.3%. Individual risk for CCA was identifed and classified by using the Korat CCA verbal screening test as low (92.8%), followed by high risk (6.74%), and no (0.49%), respectively. Gender ($X^2$-test=1143.63, p-value= 0.001), age group ($X^2$-test==211.36, p-value=0.0001), and sub-district ($X^2$-test=1471.858, p-value=0.0001) were significantly associated with CCA risk. Spatial distribution of the population at risk for CCA in Chum Phuang district was viewed with Google Earth. Geo-visual display followed Layer 1: District, Layer 2: Sub-district, Layer 3: Number of low risk in village, Layer 4: Number of high risk in village, and Layer 5: Hospital in Chum Phuang District and their related catchment areas. Conclusions: We present the first risk geo-visual display of CCA in this rural community, which is important for spatial targeting of control efforts. Risk appears to be strongly associated with gender, age group, and sub-district. Therefor, spatial distribution is suitable for the use in the further monitoring, surveillance, and home health care for CCA.

• The Korean Journal of Applied Statistics
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• v.19 no.3
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• pp.481-504
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• 2006

VaR, a tail-related risk measure is now widely used as a tool for a measurement and a management of financial risks. For more accurate measurement of VaR, recently we are particularly concerned about the approach based on extreme value theory rather than the traditional method based on the assumption of normal distribution. However, many studies about the approaches using extreme value theory was done only for the univariate case. In this paper, we discuss portfolio risk measurements with modelling multivariate extreme value distributions by combining copulas and extreme value theory. We also discuss the estimation of ES together with VaR as portfolio risk measures. Finally, we investigate the relative superiority of EVT-copula approach than variance-covariance method through the back-testing of an empirical data.

• KIEAE Journal
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• v.17 no.5
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• pp.33-41
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• 2017

Purpose: Indoor air quality in residential buildings needs to be evaluated over the long term. In previous research, there has been an attempt to perform the health risk assessment of pollutants by using numerical models as a method of long-term evaluation. However, the numerical model of this precedent study has limitations that do not reflect the actual concentration distribution. Therefore, this study introduces the CRPS index, constructs a numerical model that can reflect the concentration distribution, and then presents a more accurate health risk assessment method using it. At this time, the pollutants are toluene, which is a typical material released from building materials. Method: CRPS index was applied to existing numerical model to reflect concentration distribution. This was used to calculate concentrations at adult breathing area and to use them for exposure assessment in a health risk assessment. After that, we entered adult data and conducted a health risk assessment of toluene. Results: The non-carcinogenic risk of toluene was calculated to be 0.0060. This is 5% smaller than the existing numerical model, meaning that it is more accurate to predict the pollutant risks. This value is also lower than the US EPA reference value of 1. Therefore, under the conditions of this study, long-term exposure of adults to toluene has no impact on health.

• Environmental and Resource Economics Review
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• v.12 no.1
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• pp.49-74
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• 2003

This study used a slightly modified version of contingent valuation questionnaire designed and developed by Krupnick et al.(2000) to estimate the value of mortality risk reduction for environmental policy. Because that environmental policy, especially air pollution policy with some latency main effect on mortality risk reduction of old people with some latency period, respondents were asked about their current WTP for 5/1,000 mortality risk reduction being to take place beginning at 70 over the course of ten years. The annual mean WTP is 233,370 won (standard error 32,570 won) in spike/continuous/interval data model. The implied VSL is 466 million won. The 95% confidence interval is 339 million won~594 million won.

• Journal of Korean Clinical Nursing Research
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• v.28 no.3
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• pp.270-276
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• 2022

Purpose: The purpose of this study was to validate the Edmonson psychiatric fall risk assessment tool (EPFRAT) for psychiatric inpatients. Methods: Data from retrospective study were collected from 670 adult inpatients in two departments of mental health medicine of a tertiary general hospital by reviewing their electronic medical records. There were 41 patients who experienced falls and 629 patients who did not experience falls during the period from January to December 2019. Data were analyzed by sensitivity, specificity, positive predictive value, negative predictive value, and a receiver-operating characteristic curve (ROC) for validity assessment using the IBM SPSS/WIN 26.0 program. Results: Factors affecting falls were the participant's age, guardian's residence, high-risk determination at the time of admission, and comorbidity. At the 85 points where the point of sum of the sensitivity and specificity was largest, the sensitivity, specificity, positive predictive value, and negative predictive value of EPFRAT were 92.7%, 79.7%, 22.9%, and 99.4%, respectively. The area under the ROC to assess the overall validity of the tool was .92 (95% CI 0.89~0.94). Conclusion: The EPFRAT was proved to be valid and reasonable for predicting falls in psychiatric inpatients. Based on the results of this study, it could be used for the assessment of high-risk patients for falls in psychiatric units.

• The Journal of Industrial Distribution & Business
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• v.8 no.5
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• pp.87-93
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• 2017

Purpose - This paper investigates whether managerial overconfidence is associated with firm-specific crash risk. Overconfidence leads managers to overestimate the returns of their investment projects, and misperceive negative net present value projects as value creating. They even use voluntary disclosures to convey their optimistic beliefs about the firms' long-term prospects to the stock market. Thus, the overconfidence bias can lead to managerial bad news hoarding behavior. When bad news accumulates and crosses some tipping point, it will come out all at once, resulting in a stock price crash. Research design, data and methodology - 7,385 firm-years used for the main analysis are from the KIS Value database between 2006 and 2013. This database covers KOSPI-listed and KOSDAQ-listed firms in Korea. The proxy for overconfidence is based on excess investment in assets. A residual from the regression of total asset growth on sales growth run by industry-year is used as an independent variable. If a firm has at least one crash week during a year, it is referred to as a high crash risk firm. The dependant variable is a dummy variable that equals 1 if a firm is a high crash risk firm, and zero otherwise. After explaining the relationship between managerial overconfidence and crash risk, the total sample was divided into two sub-samples; chaebol firms and non-chaebol firms. The relation between how I overconfidence and crash risk varies with business group affiliation was investigated. Results - The results showed that managerial overconfidence is positively related to crash risk. Specifically, the coefficient of OVERC is significantly positive, supporting the prediction. The results are strong and robust in non-chaebol firms. Conclusions - The results show that firms with overconfident managers are likely to experience stock price crashes. This study is related to past literature that examines the impact of managerial overconfidence on the stock market. This study contributes to the literature by examining whether overconfidence can explain a firm's future crashes.

• Journal of Environmental Health Sciences
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• v.45 no.1
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• pp.9-17
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• 2019

Objectives: This study examined the safety of tattoo ink by analyzing the phenol contents in tattoo inks and its risk assessment of selected phenol. Methods: A sample of 30 tattoo inks was purchased, the phenol contents were analyzed, and a risk assessment on dermal exposure from tattooing was carried out. Hazard identification was collected from toxicity data on systemic effects caused by dermal exposure to phenol, and the most sensitive toxicity value was adopted. Exposure assessment ($Exposure_{phenol}$) was calculated by applying phenol contents and standard exposure factors, while dose-response assessment was based on the collected toxicity data and skin absorption rate of phenol, assessment factors (AFs) for derived no-effect level ($DNEL_{demal}$). In addition, the risk characterization was calculated by comparing the risk characterization ratio (RCR) with $Exposure_{phenol}$ and $DNEL_{dermal}$ Results: The phenol concentration in the 30 products was from 1.4 to $649.1{\mu}g/g$. The toxicity value for systemic effects of phenol was adopted at 107 mg/kg. $Exposure_{phenol}$ in tattooing was from 0.000087 to 0.040442 mg/kg. $DNEL_{dermal}$ was calculated at 0.0072 mg/kg (=toxicity value 107 mg/kg ${\div}$ AFs 650 ${\times}$ skin absorption rate 4.4%). Thirteen out of 30 products showed an RCR between 1.02 and 5.62. The RCR of all red inks was above 1. Conclusions: Phenol was detected in all of the 30 tattoo inks, and the RCR of 13 products above 1 indicates a high level of risk concern, making it necessary to prepare safety management standards for phenol in tattoo inks.

• Korean Chemical Engineering Research
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• v.58 no.3
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• pp.438-449
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• 2020

This study is to improve the method of calculating the risk of liability that arise from release and dispersion of chemicals outside the plant in process industries such as chemical and petrochemical plants. To achieve this goal, the correlation factors with the risk of chemical release accident is derived by simulating release and dispersion of substances (14 types) designated by Ministry of Environment as preparation for accident, analyzing the cases of chemical release and effects of plant life damage. The method of calculating chemical liability risk was modified and supplemented based on the results obtained from the study. The correlation coefficient between the probit value of 14 chemical types and the liability risk by EURAM (European Union Risk Ranking Method) was -0.526, while the correlation coefficient with the modified chemical release accident risk was 0.319. Thus, the value from modified method shows that they appear to be correlated. According to modified calculating methodology, the correlation between ERPG-2 value and liability risk of 97 chemical types was -0.494 which is 19 times higher than existing liability risk correlation as absolute value. And the correlation coefficient of corrosion risk was 0.91. The standardized regression coefficients (β) value of correlation factors that affected the increase and decrease of risk were derived in order of Corrosion Index(0.713), ERPG-2 (0.400) and NFPA Health Index (0.0680) by values. It is expected that these findings this study result will also enable the calculation of reasonable chemical release liability risk for existing and new chemical, and will help use them as quantitative liability risk management indicators for chemical plant site.