• Journal of the Chungcheong Mathematical Society
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• v.21 no.1
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• pp.99-106
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• 2008

In this paper, we establish some recurrence relations which is satisfied by the quotient moments of the lower record values from the standard generalized extreme value (GEV) distribution.

• Journal of the Korean Data and Information Science Society
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• v.26 no.6
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• pp.1479-1494
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• 2015

Since the Markowitz's mean-variance framework for portfolio analysis, the topic of portfolio optimization has been an important topic in finance. Traditional approaches focus on maximizing the expected return of the portfolio while minimizing its variance, assuming that risky asset returns are normally distributed. The normality assumption however has widely been criticized as actual stock price distributions exhibit much heavier tails as well as asymmetry. To this extent, in this paper we employ the genetic algorithm to find the optimal portfolio under the Value-at-Risk (VaR) constraint, where the tail of risky assets are modeled with the generalized Pareto distribution (GPD), the standard distribution for exceedances in extreme value theory. An empirical study using Korean stock prices shows that the performance of the proposed method is efficient and better than alternative methods.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.27 no.6
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• pp.493-500
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• 2014

This paper presents findings from the assessment of the volcanic ash fragility for multi-hazard resisting vinyl greenhouse and livestock shed among the agricultural facilities. The volcanic ash fragility was evaluated by using a combination of the FOSM (first-order second-moment) method, available statistics of volcanic load, facility specifications, and building code. In this study, the evaluated volcanic ash fragilities represent the conditional probability of failure of the agricultural facilities over the full range of volcanic ash loads. For the evaluation, 6 types(ie., 2 single span, 2 tree crop, and 2 double span types) of multi-hazard resisting vinyl greenhouses and 3 types(ie., standard, coast, and mountain types) of livestock sheds are considered. All volcanic ash fragilities estimated in this study were fitted by using parameters of the GEV(generalized extreme value) distribution function, and the obtained parameters were complied into a database to be used in future. The volcanic ash fragilities obtained in this study are planning to be used to evaluate risk by volcanic ash when Mt. Baekdu erupts.