• 한국ITS학회:학술대회논문집
• /
• 2010.05a
• /
• pp.157-162
• /
• 2010

• Journal of the Korean Data and Information Science Society
• /
• v.25 no.6
• /
• pp.1333-1343
• /
• 2014

Hansen and Lund (2005) documented that a univariate GARCH(1,1) model is no worse than other sophisticated GARCH models in terms of prediction errors such as MSPE and MAE. Here, we extend Hansen and Lund (2005) by considering multivariate GARCH models and incorporating risk management measures such as VaR and fail percentage. Our Monte Carlo simulations study shows that multivariate GARCH(1,1) model also performs well compared to asymmetric GARCH models. However, we suggest that actual model selection should be done with care in light of risk management. It is applied to the realized volatilities of KOSPI, NASDAQ and HANG SENG index for recent 10 years.

• Membrane and Water Treatment
• /
• v.8 no.2
• /
• pp.137-147
• /
• 2017

A water treatment utility in South Korea operates a large system of pressurized hollow fiber membrane (PHFM) modules. The optimal selection of membrane module for the full scale plant was critical issue and carried out using Risk-based Life Cycle Cost (RbLCC) analysis based on the historical data of operation and maintenance. The RbLCC analysis was used in the process of decision-making for replacing aged modules. The initial purchasing cost and the value at risk during operation were considered together. The failure of modules occurs stochastically depending on the physical deterioration with usage over time. The life span of module was used as a factor for the failure of Poisson's probability model, which was used to obtain the probability of failure during the operation. The RbLCC was calculated by combining the initial cost and the value at risk without its warranty term. Additionally, the properties of membrane were considered to select the optimum product. Results showed that the module's life span in the system was ten years (120 month) with safety factor. The optimum product was selected from six candidates membrane for a full scale water treatment facility. This method could be used to make the optimum and rational decision for the operation of membrane water purification facility.

• The Journal of the Korean life insurance medical association
• /
• v.1 no.1
• /
• pp.15-25
• /
• 1984

• The Journal of the Korean life insurance medical association
• /
• v.3 no.1
• /
• pp.38-54
• /
• 1986

• The Journal of the Korean life insurance medical association
• /
• v.7 no.1
• /
• pp.68-83
• /
• 1988

• Proceedings of the Korea Institutes of Information Security and Cryptology Conference
• /
• 1994.11a
• /
• pp.303-315
• /
• 1994

• Journal of the Chungcheong Mathematical Society
• /
• v.29 no.2
• /
• pp.375-383
• /
• 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 Korean Operations Research and Management Science Society
• /
• v.20 no.1
• /
• pp.85-99
• /
• 1995

Increasingly, risk analysis is becoming important ingredients in achieving the successful implementation and application in the area of the project management. The project management system is designed to manage or control the project resources on a given activity within time, cost and performance so called TPPM (Total Productive Project Management). In this research, a risk analysis model misproposed to identify potential problem areas, quantify the risks, and generated the chice of the action that can be taken to reduce the risk. In addition two analysis models are proposed : 1) risk factor model and 2) network simulation model using VERT (Venture Evaluation and Review Technique ). The objective of the remodels is to estimate the schedule, cost performance risks. These proposed quantitative models for project risk analysis are proving its value for the project managers who need to assess the risk of changes in cost, schedule, or performance. The proposed models will be used in the area of project selection, evaluation and the allocation of project resources.

• Journal of applied mathematics & informatics
• /
• v.27 no.3_4
• /
• pp.843-856
• /
• 2009

In possibility framework, we propose two risk measures named Fuzzy Value-at-Risk and Fuzzy Conditional Value-at-Risk, based on Credibility measure. Two portfolio optimization models for fuzzy portfolio selection problems are formulated. Then a chaos genetic algorithm based on fuzzy simulation is designed, and finally computational results show that the two risk measures can play a role in possibility space similar to Value-at-Risk and Conditional Value-at-Risk in probability space.