• Journal of the Chungcheong Mathematical Society
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• v.29 no.2
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• pp.375-383
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• 2016

This paper investigates an optimal consumption, portfolio, and life insurance strategies of a family when there is a borrowing constraint and risk aversion change at the time of death of the breadwinner. A CRRA utility is employed and by using the dynamic programming method, we obtain analytic expressions for the optimal strategies.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.19 no.4
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• pp.433-438
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• 2018

This study examined the effects of ambiguity aversion on the self-protection and self-insurance efforts using a two-period model to consider the time difference between making an effort and occurring loss, which is in contrast with the existing one-period model. The loss follows a binary distribution while the distribution is ambiguous. The distribution depends on the state variable. First, the effort of ambiguity averse individuals is not always greater than that of ambiguity neutral ones. Second, the effects of absolute ambiguity aversion (AAA), which does not appear in one-period model, were observed. Not-increasing AAA is a sufficient condition to increase the efforts of ambiguity averse individuals compared to those of ambiguity neutral ones. In addition, the change in effort also depends on the probability function of the state. Lastly, the results hold even when the individual is risk neutral or risk loving. As a result, ambiguity aversion needs to be considered independently with risk aversion.

• Proceedings of the Korean Association for Survey Research Conference
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• 2000.06a
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• pp.59-87
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• 2000

The hypothesis of this study is that change acceptance and work adaptation of change agents are influenced by positive self-image and risk tolerance. In order to examine the hypothesis, this study was performed with 305 change agents from six branches of a conglomerate company. Specifically, self-image was measured by locus of control, self-efficacy, self-esteem, and positive affectivity; risk tolerance was measured by tolerance for ambiguity, risk aversion, and openness to experience. The result of this study indicated that self-image and risk tolerance significantly predicted change acceptance and work adaptation. Especially, the results of structural model revealed that change acceptance mediated the relationship between characteristic variables (such as self image and risk tolerance in this study) and work adaptation. Based on the results, we suggest that change agents keep developing positive self-image and risk tolerance in order to play the key role in leading organizational change.

• Survey Research
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• v.1 no.2
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• pp.59-87
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• 2000

The hypothesis of this study is that change acceptance and work adaptation of change agents are influenced by positive self-image and risk tolerance. In order to examine the hypothesis, this study was performed with 305 change agents from six branches of a conglomerate company. Specifically, self-image was measured by locus of control, self-efficacy, self-esteem, and positive affectivity; risk tolerance was measured by tolerance for ambiguity, risk aversion, and openness to experience. The result of this study indicated that self-image and risk tolerance significantly predicted change acceptance and work adaptation. Especially, the results of structural model revealed that change acceptance mediated the relationship between characteristic variables (such as self image and risk tolerance in this study) and work adaptation. Based on the results, we suggest that change agents keep developing positive self-image and risk tolerance in order to play the key role in leading organizational change.

• Journal of Distribution Science
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• v.11 no.10
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• pp.55-62
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• 2013

Purpose - The purpose of this study is to suggest a risk factor that significantly explains foreign currency risk premia. In recent years, some studies have found that the performance of the simultaneous consumption risk model improves considerably when tested on foreign currency portfolios, which are constructed based on the international interest rates differentials. However, this paper focuses on the long-run consumption risk factor. In our empirical research, we found that the real excess returns of high interest rate currency portfolios depreciate on average, when the future American long-run consumption growth rate appears low. This makes the high interest rate currency portfolios have relatively high risk premia. Meanwhile, the real excess returns of low interest rate currency portfolios appreciate on average, under the same conditions, which results in relatively low risk premia for these portfolios. Therefore, this long-run consumption risk factor might explain why low interest rate currencies do not appreciate as much as the interest rate differential, and why high interest rate currencies do not depreciate as much as the interest rate differential. Research design, data, methodology - In our explanation, we provide new evidence on the success of long-run consumption risks in currency risk premia by focusing on the long-run consumption risks borne by American representative investors. To uncover the hidden link between exchange rates and long-run consumption growth, we set the eight currency portfolios as our basic assets, which have been built based on the foreign interest rates of eighty countries. As these eight currency portfolios are rebalanced every year, the first group always contains the lowest interest rate currencies, and the last group contains the highest interest rate currencies. Against these basic eight currency portfolios, we estimate the long-run consumption risk model. We use recursive utility framework and the stochastic discount factor that depends on the present value of expected future consumption growth rates. We find that our model is optimized in the two-year period of constructing the durable consumption expectation factor. Our main results surprisingly surpass the performance of the existing benchmark simultaneous consumption model in terms of R², relatively risk aversion coefficient γ, and p-value of J-test. Results - The performance of our model is superior. R², relatively risk aversion coefficient γ, and p-value of J-test of our long-run durable consumption model are 90%, 93%, and 65.5%, respectively, while those of EZ-DCAPM are 87%, 113%, and 62.8%, respectively. Thus, we can speculate that the risk premia in foreign currency markets have been determined by the long-run consumption risk. Conclusions - The aggregate long-run consumption growth risk explains a large part of the average change in the real excess returns of foreign currency portfolios. The real excess returns of high interest rate currency portfolios depreciate on average when American long-run consumption growth rate is low, and the real excess returns of low interest rate currency portfolios appreciate under the same conditions. Thus, the low interest rate currency portfolios allow investors to hedge against aggregate long-run consumption growth risk.

• Journal of the Korean Operations Research and Management Science Society
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• v.22 no.3
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• pp.113-143
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• 1997

Most of the conflict problems between 2 persons can be represented as a bi-matrix game, because player's utilities, in general, are non-zero sum and change according to the progress of game. In the bi-matrix game the equilibrium point set which satisfies the Pareto optimality can be a good bargaining or coordination solution. Under the condition of incomplete information about the risk attitudes of the players, the bargaining or coordination solution depends on additional elements, namely, the players' methods of making inferences when they reach a node in the extensive form of the game that is off the equilibrium path. So the investigation about the players' inference type and its effects on the solution is essential. In addition to that, the effect of an individual's aversion to risk on various solutions in conflict problems, as expressed in his (her) utility function, must be considered. Those kinds of incomplete information make decision maker Bayesian, since it is often impossible to get correct information for building a decision making model. In Baysian point of view, this paper represents an analytic frame for guessing and learning opponent's attitude to risk for getting better reward. As an example for that analytic frame. 2 persons'bi-matrix game is considered. This example explains that a bi-matrix game can be transformed into a kind of matrix game through the players' implicitly cooperative attitude and the need of arbitration.

• Journal of Digital Convergence
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• v.15 no.12
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• pp.239-253
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• 2017

This study investigates to investigate the factors that influence user resistance of mobile payment services. We suggested individual and technical characteristics of mobile payment services as factors influencing perceived risk and user resistance. In addition, we suggested negative security recognition as moderating variable. To test the proposed hypotheses, we collected 349 survey responses from the users of mobile payment services and conducted structural equation modeling with SmartPLS2.0. The results show that, first, negative social influence, risk aversion and distrust in existing services had an effect on the perceived risk. Second, the pace of change and vulnerability had an effect on the perceived risk. Third, perceived risk affected the user resistance while negative security recognition is related to the relationship between perceived risk and user resistance.

• KSII Transactions on Internet and Information Systems (TIIS)
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• v.13 no.10
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• pp.5260-5275
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• 2019

In the process of constructing the traditional offensive and defensive game theory model, these are some shortages for considering the dynamic change of security risk problem. By analysing the critical indicators of the incomplete information game theory model, incomplete information attack and defense game theory model and the mathematical engineering method for solving Bayes-Nash equilibrium, the risk-averse income function for information assets is summarized as the problem of maximising the return of the equilibrium point. To obtain the functional relationship between the optimal strategy combination of the offense and defense and the information asset security probability and risk probability. At the same time, the offensive and defensive examples are used to visually analyse and demonstrate the incomplete information game and the Harsanyi conversion method. First, the incomplete information game and the Harsanyi conversion problem is discussed through the attack and defense examples and using the game tree. Then the strategy expression of incomplete information static game and the engineering mathematics method of Bayes-Nash equilibrium are given. After that, it focuses on the offensive and defensive game problem of unsafe information network based on risk aversion. The problem of attack and defense is obtained by the issue of maximizing utility, and then the Bayes-Nash equilibrium of offense and defense game is carried out around the security risk of assets. Finally, the application model in network security penetration and defense is analyzed by designing a simulation example of attack and defense penetration. The analysis results show that the constructed income function model is feasible and practical.