• The Pure and Applied Mathematics
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• v.21 no.4
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• pp.307-316
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• 2014

We prove the existence of the risk-efficient options proposed by Xu [7]. The proof is given by both indirect and direct ways. Schied [6] showed the existence of the optimal solution of equation (2.1). The one is to use the Schied's result. The other one is to find the sequences converging to the risk-efficient option.

• Journal of Korean Institute of Industrial Engineers
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• v.28 no.1
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• pp.44-56
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• 2002

For the risk analysis and risk assessment techniques to be effectively applied to the field of information technology (IT) security, it is necessary that the required activities and specific techniques to be applied and their order of applications are to be determined through a proper risk management model. If the adopted risk management model does not match with the characteristics of host organization, an inefficient management of security would be resulted. In this paper, a risk management model which can be well adapted to Korean domestic IT environments is proposed for an efficient security management of IT. The structure and flow of the existing IT-related risk management models are compared and analysed, and their common and/or strong characteristics are extracted and incorporated in the proposed model in the light of typical threat types observed in Korean IT environments.

• Journal of the Korean Society for Industrial and Applied Mathematics
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• v.16 no.2
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• pp.137-149
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• 2012

We propose an efficient method to measure the insurance risk of causality insurance companies by using the CreditRisk+ methodology. This method is superior to previous methods in several aspects. Its computation speed is very fast and the input data form is simple. It is able to aggregate both credit risk and insurance risk, so the insurance company can manage the risk in combined manner. In this paper, we propose a mathematical method to obtain the aggregate loss distribution of portfolios having correlation among products or business lines as a general case, and then suggest its implementation algorithm. Finally we apply this method to the real data from Korea Insurance Development Institute (KIDI) and discuss its availability to real applications.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.211-222
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• 2020

This study examines simultaneous relationships between regulatory capital, risk, and cost-inefficiency for a sample of 30 commercial banks in Bangladesh from 2006 to 2018. To conduct the analysis, we used the Generalized Methods of Moments (GMM) in an unbalanced panel data framework. The empirical results show that there is a negative and significant relationship between capital regulation and credit, and overall risk. It is also evident from the results that the capital adequacy ratio is positively and significantly related to default risk and liquidity risk. Therefore, higher capitalized banks take an effort to prevent more credit risk and promote financial stability by reducing liquidity risk. Results also report that banks have been characterized as inefficient, less capitalized, and high risk. On the other hand, efficient banks are more stable but have a high level of liquidity risk. Besides, from the size of the bank, large banks are defined as having lower regulatory capital, are more risk seekers but stable with higher cost-efficiency. Notably, higher capitalized banks are more profitable and cost-efficient by reducing risk. Finally, this study also provides some insightful policy suggestions to the stakeholders.

• The Journal of Korean Institute of Communications and Information Sciences
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• v.36 no.3B
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• pp.248-253
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• 2011

Collision avoidance algorithm of vessels have been studied to avoid collision and grounding of a vessel due to human error. In this paper, We propose a collision avoidance algorithm using bayesian estimation theory for safety sailing and reduced risk of collision accident. We calculate collision risk for efficient collision avoidance using bayesian algorithm and determined the safest and most effective collision risk is predicted by using re-planned with re-evaluated collision risk in the future(t=t'). Others ship position is assumed to be informed from AIS. Experimental results show that we estimate the safest and most effective collision risk.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2019.11a
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• pp.201-202
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• 2019

This paper aimed to identify potential opportunities of building information modeling (BIM) utilization for construction risk management. Construction risk factors and BIM functions were derived through conducting in-depth literature review. Nineteen construction risk factors could be resolved by various BIM functions. Phase planning, site analysis, design authoring, and 3D design coordination were identified as the most efficient BIM functions for construction risk management.

• Proceedings of the Korean Institute of Building Construction Conference
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• 2023.05a
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• pp.363-364
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• 2023

The tunnel construction projects is demanded more efficient risk management measures and loss forecasts to prepare for risk losses from an increase in the trend of tunnel construction. This study aims to analyze the risk factors that caused the loss of material in actual tunnel construction and to develop a quantified predictive loss model, based on the past loss record of tunnel construction projects.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.9
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• pp.45-52
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• 2021

Stock price fluctuations affect investor returns, particularly, in this pandemic situation that has triggered stock market shocks. As a result of this situation, investors prefer to move their money into a safer portfolio. Therefore, in this study, we approach an efficient portfolio model using smart beta and combining others to obtain a fast method to predict investment stock returns. Smart beta is a method to selects stocks that will enter a portfolio quickly and concisely by considering the level of return and risk that has been set according to the ability of investors. A smart beta portfolio is efficient because it tracks with an underlying index and is optimized using the same techniques that active portfolio managers utilize. Using the logistic regression method and the data of 100 low volatility stocks listed on the Indonesia stock exchange from 2009-2019, an efficient portfolio model was made. It can be concluded that an efficient portfolio is formed by a group of stocks that are aggressive and actively traded to produce optimal returns at a certain level of risk in the long-term period. And also, the portfolio selection model generated using the smart beta, beta, alpha, and stock variants is a simple and fast model in predicting the rate of return with an adjusted risk level so that investors can anticipate risks and minimize errors in stock selection.

• Journal of the Korean Data and Information Science Society
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• v.20 no.5
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• pp.887-894
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• 2009

The two-stage minimum risk point estimation of mean, the probability of success in a sequence of Bernoulli trials, is considered for the case where loss is taken to be symmetrized relative squared error of estimation, plus a fixed cost per observation. First order asymptotic expansions are obtained for large sample properties of two-stage procedure. Monte Carlo simulation is carried out to obtain the expected sample size that minimizes the risk and to examine its finite sample behavior.

• Communications of the Korean Mathematical Society
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• v.23 no.1
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• pp.141-151
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• 2008

In this paper, we derive the nonlinear equation for European option pricing containing liquidity risk which can be defined as the inverse of the partial derivative of the underlying asset price with respect to the amount of assets traded in the efficient market. Numerical solutions are obtained by using finite element method and compared with option prices of KOSPI200 Stock Index. These prices computed with liquidity risk are considered more realistic than the prices of Black-Scholes model without liquidity risk.