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Estimation of Economic Risk Capital of Insurance Company using the Extreme Value Theory (극단치이론을 이용한 보험사 위험자본의 추정)

  • Yeo, Sung-Chil;Chang, Dong-Han;Lee, Byung-Mo
    • The Korean Journal of Applied Statistics
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    • v.20 no.2
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    • pp.291-311
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    • 2007
  • With a series of unexpected huge losses in the financial markets around the world recently, especially in the insurance market with extreme loss cases such as catastrophes, there is an increasing demand for risk management for extreme loss exposures due to high unpredictability of those risks. For extreme risk management, to make a maximum use of the information concerning the tail part of a loss distribution, EVT(Extreme Value Theory) modelling nay be the best to analyze extreme values. The Extreme Value Theory is widely used in practice and, especially in financal markets, EVT modelling is getting popular to analyBe the effects of extreme risks. This study is to review the significance of the Extreme Value Theory in risk management and, focusing on analyzing insurer's risk capital, extreme risk is measured using the real fire loss data and insurer's specific amount of risk capital is figured out to buffer the extreme risk.

Kinematical Analysis of Pitching wedge swing motion in University Golfer (대학 골프 선수의 Pitching wedge 스윙동작의 운동학적 특성 분석)

  • Back, Jin-Ho;Yoon, Dong-Seob;Kim, Jae-Phil
    • Korean Journal of Applied Biomechanics
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    • v.13 no.3
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    • pp.133-149
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    • 2003
  • The purposes of present study were to determine the major check-points of golf swing from the review of previous studies, and to suggest additional information on the teaching theory of golf. The golf swing motion of 6 male and female elite university golf players were filmed with 16mm Locam II high speed cameras at the speed of 200f/s, and variables such as time, displacement, angle, velocity were calculated and analyzed by 3D Cinematography using DLT method. The results were: 1. Differences were shown in the ratio of weight distribution on the feet, cocking angle, take-back velocity, club-head velocity at impact depending upon the physical characteristics and club used for swing. 2. Time for the down-swing and impact were $0.27{\sim}0.29s$ in men and $0.29{\sim}0.32s$ in women, which was 1/3 of the time for the back-swing. Women showed longer total swing time than men because of longer time in back-swing, follow-through and finish. 3. Men showed larger range of motion in shoulder and knee joints than women, on the other hand women showed larger range of motion in hip joint than men. 4. Cocking motion and right elbow flexion were occurred at the top of back-swing and cocking release was occurred at the moment of impact. Maximum rotations of shoulder and hip joints were found between the top of back-swing and down-swing phase. 5. Women showed lower back-swing velocity than men, and men showed higher club velocity(men: $38.2{\sim}38.6m/s$, women: $35.1{\sim}36.4m/s$) than women.

The Epilithic Diatom Community and Water Quality Assessment in Pyengchang River and Inflow Streams of Gangwon-do (강원도 평창강과 유입천의 부착규조 군집분석 및 생물학적 수질평가)

  • Kim, Ji-Won;Rhee, Yong;Lee, Ok-Min
    • Journal of Korean Society on Water Environment
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    • v.28 no.4
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    • pp.531-537
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    • 2012
  • The information about the physicochemical environments, the species distribution and community of the epilithic diatom cells in Pyengchang river and inflow streams of Gangwon-do were studied for assessment of biological water quality from June 2008 to October 2010. Total 112 diatom taxa were identified with 2 orders, 9 families, 26 genera, 95 species and 17 varieties. Among the total taxa identified, 13 taxa, 52 taxa and 15 taxa represented the family Achnanthaceae, Naviculaceae and Bacillariaceae, respectively. The pH values of the water was found to be neutral to alkaline due to the limestone grounds of Pyengchang river and inflow streams. The 13 taxa including Epithemia adnata, belonged to alkaline-water diatoms, and three species - Cymbella japonica, Eunotia major and Fragilaria capitellata - are known to be acidic-water species. The species, Hannaea arcus, known as a cryophilic and mountain periphyton was identified at IF2, IF3 and IF4 in low water temperature environments at high altitudes, being a dominating species in P1 and IF1. Four saproxenous species - Achnanthes convergens, Cocconeis placentula var. lineata, Cymbella turgidula and Hannaea arcus - were dominant at some sampling sites. For biological water quality assessment, IF2, IF3 and P3 showed low water quality class. The values of DAIpo and TDI were 10.6 ~ 98.0 and 13.8 ~ 94.2, respectively. Therefore, biological water quality in Pyengchang river and inflow streams was relatively desirable.

A Study on urban runoff by deter ministic simulation techniques. (확정론적 모의기법에 의한 도시유출 해석에 관한 연구)

  • 이은영;강관원
    • Water for future
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    • v.15 no.3
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    • pp.37-47
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    • 1982
  • In the past, the design flow of the urban storm drainage systems has been used largely on a basis of empirical and experience, and the rational formula one of empirical method has been widely used for our country, as well as world wide. But the empirical method has insufficient factor because minimal consideration is given to the relationship of the parameters in the equation to the processes being considered, and considerable use of experience and judgment in setting values to the coefficients in the equation is made. The postcomputer era of hydrology has brought an acceleration development of mathematical methods, thus mathematical models are methods which will greatly increase our understanding in hydrology. On this study, a simple mathematical model of urban presented by British Road Research Laboratory is tested on urban watersheds in Ju An Ju Gong Apartment. The basin is located in Kan Seog Dong, Inchon. The model produces a runoff hydrograph by applying rain all to only the directly connected impervious area of the basin. To apply this model the basin is divided into contributing areas or subbasins. With this information the time area for contributing is derived. The rainfall hyetograph to design storm for the basin flow has been obtained by determination of total rainfall and the temporal distribution of that rainfall determined on the basis of Huff's method form historical rainfall data of the basin. The inflows from several subbaisns are successively routed down the network of reaches from the upstream end to the outlet. A simple storage routing technique is used which involves the use of the Manning equation to compute the stage discharge curve for the cross-section in question. To apply the model to a basin, the pattern of impervious areas must be known in detail, as well as the slopes and sizes of all surface and subsurface drains.

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Influence of Dose on the Property of Cobalt Silicides in Source/Drain Area (소오스/드레인 영역의 도펀트 양의 증가에 따른 코발트실리사이드의 물성변화)

  • Cheong, Seong-Hwee;Song, Oh-Sung;Kim, Min-Sung
    • Korean Journal of Materials Research
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    • v.13 no.1
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    • pp.43-47
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    • 2003
  • As and BF$_2$dopants are implanted for the formation of source/drain with dose of 1${\times}$10$^{15}$ ions/$\textrm{cm}^2$∼5${\times}$10$^{15}$ ions/$\textrm{cm}^2$ then formed cobalt disilicide with Co/Ti deposition and doubly rapid thermal annealing. Appropriate ion implantation and cobalt salicide process are employed to meet the sub-0.13 $\mu\textrm{m}$ CMOS devices. We investigated the process results of sheet resistance, dopant redistribution, and surface-interface microstructure with a four-point probe, a secondary ion mass spectroscope(SIMS), a scanning probe microscope (SPM), and a cross sectional transmission electron microscope(TEM), respectively. Sheet resistance increased to 8%∼12% as dose increased in $CoSi_2$$n^{+}$ and $CoSi_2$$p^{V}$ , while sheet resistance uniformity showed very little variation. SIMS depth profiling revealed that the diffusion of As and B was enhanced as dose increased in $CoSi_2$$n^{+}$ and $CoSi_2$$p^{+}$ . The surface roughness of root mean square(RMS) values measured by a SPM decreased as dose increased in $CoSi_2$$n^{+}$ , while little variation was observed in $CoSi_2$$p^{+}$ . Cross sectional TEM images showed that the spikes of 30 nm∼50 nm-depth were formed at the interfaces of $CoSi_2$$n^{+}$ / and $CoSi_2$/$p^{+}$, which indicate the possible leakage current source. Our result implied that Co/Ti cobalt salicide was compatible with high dose sub-0.13$\mu\textrm{m}$ process.

Policy Direction for Promoting the Satellite Data Use in Public Sector

  • Kim, Young-Pyo;Sakong, Hosang;Park, Sung-Mi
    • Proceedings of the KSRS Conference
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    • 1999.11a
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    • pp.355-362
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    • 1999
  • With the ready access to the high resolution satellite image data, users of and areas covered by satellite image data are constantly on the rise world-wide. Korea will also be able to take full advantage of the satellite data once the KOMPSAT is successfully launched. Harmonizing satellite data production and application technology and users' needs, along with the guiding policy is essential for promoting satellite data use. Up to now, the Korean government has mainly concentrated on developing production technology for the satellite units. However, the imminent task of independent satellite data production demands a promotion policy for satellite data use. In this context, the policy is defined as an important medium for identifying the role and status of satellite image information at the national level and also Preparing the legal as well as systematic foundation for producing, building, distributing, and packaging satellite data. For example, in the countries with the advanced satellite technology, such as the United States, the United Kingdom, and Australia, digital ortho image and digital elevation model (DEM) are mandatorily included in the National Geographic Framework Data through policy measures. In addition, in order for the efficient provision of the satellite data, separate organization or agency is being in operation for the exclusive production and distribution of the satellite data. The present paper aims to examine the role and status of the satellite data as well as their current status and problems in Korea in reference to the National Spatial Data Infrastructure, and finally to provide the policy directions to promote the satellite data use in public sector on the basis of the preceding analyses.

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QUANTITATIVE MONITORING OF TISSUE OXYGENATION BY TIME-RESOLVED SPECTROSCOPY

  • Yamashita, Yutaka;Oda, Motoki;Ohmae, Etsuko;Tsuchiya, Yutaka
    • Proceedings of the Korean Society of Near Infrared Spectroscopy Conference
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    • 2001.06a
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    • pp.2101-2101
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    • 2001
  • Near-infrared spectroscopy is now being used in clinical diagnosis as a non-invasive monitor of tissue oxygenation state. However, due to lack of the optical pathlength information within tissues, it is still difficult to quantitate the hemoglobin concentration with present CW techniques. Time-resolved spectroscopy (TRS), which measures temporal profiles of emerging light from tissues, enables to estimate the pathlength distribution within tissues by converting time to distance. Consequently, quantitative measurement of tissue oxygenation is possible by analyzing the data with optical diffusion equation 1) or our Microscopic Beer-Lambert law2). Time-Resolved Spectroscopy System : TRS-1O3) Our TRS-10 system consists of a three-wavelength (759, 797, 833 nm) PLP as pulsed light source, a high speed PMT with high sensitivity and three signal-processing circuits for time-resolved measurement (CFD/TAC, A/D converter and histogram memory). Optical pulse train consisting of 759, 797 and 833nm is generated by PLP at 5㎒ repetition rate and irradiated a sample through a single optical fiber. The diffuse-reflected light from the sample is collected by a bundle fiber and then detected by the PMT for single photon measurement. After being amplified by a following fast amplifier, the electrical signals for each wavelength are picked out by CFD/TAC module. Then, a signal processing circuit integrated the TRS data for each wavelength individually. The simultaneous TRS measurement for three wavelengths achieved without any optical or mechanical switch. Experiment and Results Input and detection fibers of TRS-10 were attached at the human forehead with a fiber separation of 3cm. TRS measurements were continuously performed for about 20 minutes including 2 minutes hyper ventilation. It was observed that the total hemoglobin concentration was decreasing during the hyper ventilation and recovered until 2 minutes after hyper ventilation. On the other hand, the deoxy-hemoglobin concentration began to increase after hyper ventilation and had its peak at around 2 minute later, showing 502 drop from 75% to 60% due to inhibition of breathing by performing hyper ventilation. The results showed that this system might be able to quantitate the concentrations of oxy- and deoxy-hemoglobin in the human brain.

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Three-Dimensional Finite Element Analysis of Tieback Walls in Sand

  • Lim, Yu-Jin;Briaud, Jean-Louis
    • Geotechnical Engineering
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    • v.13 no.3
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    • pp.33-52
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    • 1997
  • A three dimensional nonlinear finite element analysis is used to study the influence of various design decisions for tieback walls. The numerical model simulates the soldier piles and the tendon bonded length of the anchors with beam elements, the unbonded tendon with a spring element, the wood lagging with the shell elements, and the soil with solid 3D nonlinear elements. The soil model used is a modified hyperbolic model with unloading hysteresis. The complete sequence of construction is simulated including the excavation, and the placement and stressing of the anchors. The numerical model is calibrated against a full scale instrumented tieback wall at the National Geotechnical Experimentation Site (NGES) on the Riverside Campus of Texas A&M University. Then a parametric study is conducted. The results give information on the influence of the following factors on the wall behavior : location of the first anchor, length of the tendon unbonded zone, magnitude of the anchor forces, embedment of the soldier piles, stiffness of the wood lagging, and of the piles. The implications in design are discussed.

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Teaching Statistics through World Cup Soccer Examples (월드컵 축구 예제를 통한 통계교육)

  • Kim, Hyuk-Joo;Kim, Young-Il
    • The Korean Journal of Applied Statistics
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    • v.23 no.6
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    • pp.1201-1208
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    • 2010
  • In teaching probability and statistics classes, we should increase efforts to develop examples that enhance teaching methodology in delivering more meaningful knowledge to students. Sports is one field that provides a variety of examples and World Cup Soccer events are a treasure house of many interesting problems. Teaching, using examples from this field, is an effective way to enhance the interest of students in probability and statistics because World Cup Soccer is a matter of national interest. In this paper, we have suggested several examples pertaining to counting the number of cases and computing probabilities. These examples are related to many issues such as possible scenarios in the preliminary round, victory points necessary for each participant to advance to the second round, and the issue of grouping teams. Based on a simulation using a statistical model, we have proposed a logical method for computing the probabilities of proceeding to the second round and winning the championship for each participant in the 2010 South Africa World Cup.

Characteristics of Horizontal Community Distribution and Nutrient Limitation on Growth Rate of Phytoplankton during a Winter in Gwangyang Bay, Korea (동계 광양만에서 식물플랑크톤 군집구조의 수평적 분포특성과 성장에 미치는 영양염 제한 특성)

  • Baek, Seung-Ho;Kim, Dong-Sun;Hyun, Bong-Gil;Choi, Hyun-Woo;Kim, Young-Ok
    • Ocean and Polar Research
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    • v.33 no.2
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    • pp.99-111
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    • 2011
  • To estimate the effects of limitation nutrients for phytoplankton growth and its influences on short-term variations of a winter phytoplankton community structure, we investigated the abiotic and biotic factors of surface and bottom waters at 20 stations of inner and offshore areas from 6 to 7 February in Gwangyang Bay, Korea. Also, several algal bio-assay studies were conducted to identify any additional nutrient effects on phytoplankton assemblage using surface water for the assay. The dominant species in the bay was diatom Skeletonema costatum, which occupied more than 70% of total species in most stations (St.1-16) of the inner bay. According to a cluster and multidimensional scaling (MDS) analysis based on phytoplankton community data from each station, the bay was divided into three groups. The first group included stations from the south-western parts of Myodo lsland, which can be characterized as a semien-closed eutrophic area with high phytoplankton abundance. The second group included most stations from the north-eastern part of Myodo lsland, influenced indirectly by surface water currents from offshore of the bay. The standing phytoplankton crops were lower than those of the first group. The other cluster was restricted to samples collected from offshore of the bay. In the bay, silicon (Si) and phosphorus (P) were not a major limiting factor for phytoplankton production. However, since the DIN: DIP and DSi: DIN ratios clearly demonstrated that there were potential stoichiometric N limitations, nitrogen (N) was considered as a limiting factor. Based on the algal bio-assay, in vivo fluorescence values in N (+) added experiments were higher compared to control and P added experiments. Our results suggested that nitrogen may act as one of the most important factors in controlling primary production during winter in Gwangyang Bay.