• Economic Analysis
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• v.25 no.1
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• pp.1-33
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• 2019

This paper examines the economic factors that are related to the dynamics of the variance risk premium, and specially, which economic factors are related to the forecasting power of the variance premium regarding future index returns. Eleven general economic variables, eight interest rate variables, and eleven sentiment-associated variables are used to figure out the relevant economic variables that affect the variance risk premium. According to our empirical results, the won-dollar exchange rates, foreign reserves, the historical/implied volatility, and interest rate variables all have significant coefficients. The highest adjusted R-squared is more than 65 percent, indicating their significant explanatory power of the variance risk premium. Next, to verify the economic variables associated with the predictability of the variance risk premium, we conduct forecasting regressions to predict future stock returns and volatilities for one to six months. Our empirical analysis shows that only the won-dollar exchange rate, among the many variables associated with the dynamics of the variance risk premium, has a significant forecasting ability regarding future index returns. These results are consistent with results found in previous studies, including Londono (2012) and Bollerslev et al. (2014), which show that the variance risk premium is related to global risk factors.

• Communications for Statistical Applications and Methods
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• v.16 no.2
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• pp.249-264
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• 2009

Equity-indexed annuities(EIAs) provide their customers with the greater of either the return linked to the underlying index or the minimum guaranteed return. Insurance companies have developed EIAs to attract customers reluctant to buy traditional fixed annuities because of low returns and also reluctant to buy mutual funds for fear of the high volatility in the stock market. This paper proposes a new type of EIA embedded with an outside barrier option with flexible monitoring period in order to increase its participation rate. It also derives an explicit pricing formula for this proposed product, and discusses numerical examples to show relationships among participation rate, barrier level, index volatility and correlation.

• Journal of the Computational Structural Engineering Institute of Korea
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• v.27 no.6
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• pp.605-613
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• 2014

Epistemic uncertainty, the lack of knowledge, is often more important than aleatory uncertainty, variability, in estimating reliability of a system. While the probability theory is widely used for modeling aleatory uncertainty, there is no dominant approach to model epistemic uncertainty. Different approaches have been developed to handle epistemic uncertainties using various theories, such as probability theory, fuzzy sets, evidence theory and possibility theory. However, since these methods are developed from different statistics theories, it is difficult to interpret the result from one method to the other. The goal of this paper is to compare different methods in handling epistemic uncertainty in the view point of calculating the probability of failure. In particular, four different methods are compared; the probability method, the combined distribution method, interval analysis method, and the evidence theory. Characteristics of individual methods are compared in the view point of reliability analysis.

• Korean Journal of Construction Engineering and Management
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• v.24 no.3
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• pp.3-11
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• 2023

This research examines the need for a quantitative and objective method of calculating baseline productivity in the construction industry, which is known for its high volatility in performance and productivity. The existing literature's baseline productivity calculation methods rely heavily on subjective criteria, limiting their effectiveness. Additionally, data collection methods such as the "Five-minute Rating" are costly and time-consuming, making it challenging to collect detailed data at construction sites. To address these issues, this study proposes an objective baseline calculation method using unimpacted productivity BP, a work check sheet to systematically record detailed data, and a data collection and utilization process that minimizes cost and time requirements. This paper also suggests using unimpacted productivity BP and comparative analysis to address the objectivity and reliability issues of existing baseline productivity calculation methods.

• Journal of Educational Research in Mathematics
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• v.25 no.2
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• pp.189-206
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• 2015

There has been a recurring call for using visual representations in textbooks to improve the teaching and learning of proportional reasoning. However, the quantity as well as quality of visual representations used in textbooks is still very limited. In this article, we analyzed visual representations presented in a Grade 6 textbook from two perspectives of proportional reasoning, multiple-batches perspective and variable-parts perspective, and discussed the potential of the double number line and the double tape diagram to help develop the idea 'things covary while something stays the same', which is critical to reason proportionally. We also classified situations that require proportional reasoning into five categories and provided ways of using the double number line and the double tape diagram for each category.

• Transactions of the Korean Society of Mechanical Engineers A
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• v.38 no.11
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• pp.1245-1256
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• 2014

The physical nature of fatigue shows the considerable amount of scatter from intrinsic and extrinsic factors. In this study, some degradation models, such as the gamma process model, were reviewed in terms of uncertainties associated with the continuous, gradual, and monotonic nature of fatigue crack growth. Statistically varying fatigue crack growth data obtained from Lu and Meeker were used as an example to demonstrate the use of the gamma process model. This model can describe the condition and lifetime as statistical distribution curves whose shapes vary with cycles. From the skewness of the statistical distribution curves, it was confirmed that the median is suitable for being considered as the expected life. The use of the gamma process model enables the optimum replacement period and percentile life to be employed as criteria for preventive maintenance policy.

• Water for future
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• v.29 no.2
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• pp.179-190
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• 1996

The characteristics of water quality in the downstream of the Han River were analyzed by statistical techniques. Basic characteristics, areal and temporal variations, and correlations of water quality data were investigated. Monthly water quality data have been investigated systematically by exploring data analysis, including time series plot, summary statistics, distribution test, time dependence test, seasonality test and flow relatedness test. Results show that water quality data in this river have seasonality. And applicability of stochastic models such as Thomas-Fiering model and ARMA(1,1) model was identified. From the examination of water quality data related to discharge, it was found that DO and SS are sensitive to water temperature rather than discharge, while BOD and COD are sensitive to discharge at dry seasons. Seasonal periodicities were identified in all water quality variables from the cross correlation analysis.

• KDI Journal of Economic Policy
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• v.13 no.3
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• pp.75-88
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• 1991

성과급제도(成果給制度)란 개인(個人) 혹은 집단(集團)의 경제적(經濟的) 성과지표(成果指標)를 임금보상(賃金報償)의 추가적인 근거로 사용하는 제도(制度)를 말한다. 본고(本稿)에서는 성과급제도(成果給制度)의 한 종류인 이윤공유제도(利潤共有制度)의 경제적(經濟的) 의미(意味)를 검토하였다. 이윤공유제도(利潤共有制度)는 기업입장(企業立場)에서 보면 이윤(利潤)에 대해 일정률의 조세(租稅)를 납부한 후, 근로자(勤勞者)를 고용(雇傭)할 때마다 일정액의 보조금(補助金)을 받는 제도이다. 한편 근로자(勤勞者)의 입장에서 보면 최초에 고정급(固定給)을 낮게 유지해서 얻은 경영성과(經營成果)의 일부를 다른 근로자(勤勞者)들과 골고루 나누어 가지는 제도이다. 이런 본질적인 특성은 경제(經濟)에 긍정적인 효과와 부정적인 효과를 동시에 미친다. 우선 긍정적인 측면으로는 기업입장에서 노동(勞動)의 한계효용(限界效用)이 상대적으로 저렴해지므로 경제(經濟)의 물가수준(物價水準)은 하락하고 생산량(生産量)은 증가하게 된다. 그러나 이에 따르는 문제점도 과소평가할 수만은 없다. 우선 저렴한 한계노동비용(限界勞動費用) 때문에 이윤공유경제(利潤共有經濟)에서는 본질적으로 초과고용경향(超過雇傭傾向)이 내재하여 있으며, 또한 어느 한 개인의 노력에 의한 성과(成果)의 향상(向上)이 모두에게 분배되어 희석되므로 원래 의도되었던 동기유발효과(動機誘發效果)가 위축될 가능성이 있다. 또한 임금소득(賃金所得)이 변동(變動)하므로 위험기피적(危險忌避的)인 근로자(勤勞者)의 효용(效用)이 위협을 받게 된다. 이런 여러 문제점을 극복하고 성과급(成果給)의 원래 긍정적인 측면을 실현시키기 위해서는 근로자(勤勞者)의 경영참가(經營參加)가 보장되고, 이윤공유제(利潤共有制)의 채택에 대해 세제상(稅制上)의 유인(誘引)이 뒷받침되어야 하며, 정부(政府)의 경제안정화정책(經濟安定化政策)이 더욱 주의깊게 추구되어야 한다.

• Journal of Korean Society of Transportation
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• v.20 no.1
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• pp.77-90
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• 2002

Network expansion has been an inevitable method for most traffic equilibrium assignments to consider intersection movements such as intersection delays. The drawback of network expansion is that because it dramatically increases network sizes to emulate possible directional movements as corresponding links, not only is complexities for building network amplified, but computational performance is shrunk. This paper Proposes a new variational inequality formulation for a user-optimal traffic equilibrium assignment model to explicitly consider directional delays without building expanded network structures. In the formulation, directional delay functions are directly embedded into the objective function, thus any modification of networks is not required. By applying a vine-based shortest Path algorithm into the diagonalization algorithm to solve the problem, it is additionally demonstrated that various loop-related movements such as U-Turn, P-Turn, etc., which are frequently witnessed near urban intersections, can also be imitated by blocking some turning movements of intersections. The proposed formulation expects to augment computational performance through reduction of network-building complexities.

• Journal of Internet Computing and Services
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• v.15 no.6
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• pp.15-26
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• 2014

This study focus on a economic value of the Big Data technologies by real options model using big data technology company's stock price to determine the price of the economic value of incremental assessed value. For estimating stochastic process of company's stock price by big data technology to extract the incremental shares, Generalized Moments Method (GMM) are used. Option value for Black-Scholes partial differential equation was derived, in which finite difference numerical methods to obtain the Big Data technology was introduced to estimate the economic value. As a result, a option value of big data technology investment is 38.5 billion under assumption which investment cost is 50 million won and time value is a about 1 million, respectively. Thus, introduction of big data technology to create a substantial effect on corporate profits, is valuable and there are an effects on the additional time value. Sensitivity analysis of lower underlying asset value appear decreased options value and the lower investment cost showed increased options value. A volatility are not sensitive on the option value due to the big data technological characteristics which are low stock volatility and introduction periods.