• 한국경영과학회:학술대회논문집
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• 대한산업공학회/한국경영과학회 2002년도 춘계공동학술대회
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• pp.845-850
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• 2002

In this study we consider a flow-line CONWIP System with Compound Poisson Demands. The processing times of each workstation follow a Coxian-2 distribution. The demands that are not satisfied instantaneously are either backordered or lost according to the number of backordered demands that exist at their arrival instants. For this system we develop an approxi­mation method to obtain the performance measures such as steady state probabilities of the number of parts at each station, the average number of backordered demands and the proportion of the lost demands. Comparisons with simulation have shown that the approximate method provides fairly good results.

• Journal of the Korean Statistical Society
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• 제15권2호
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• pp.87-96
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• 1986

Sequential estimation of parameters in a compound Poisson process whose jump sizes are one-parameter exponential class random variables is discussed. Cramer-Rao type information inequality is used as an efficiency cirterion. Unbiased estimators for certain parametric functions whose variance attain the lower bound are all characterized with the corresponding sampling plans.

• 한국경영과학회지
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• 제24권3호
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• pp.109-123
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• 1999

Fleet sizing and empty equipment redistribution are two of the most critical problems in managing a fleet of equipment over a transportation network. Where the demand pattern followed the compound Poisson process(CPP) which can be generated one or more at a time under homogeneous Poisson process(HPP), this paper presented a mathematical model to determine control parameters of a decentralized distribution policy and fleet size in case of the pure hub-and-spoke system, a popular form of a logistics system. and validated this model by simulation. That is, where the number of demanded equipments followed geometric and binomial distributions, respectively, cost models on the pure hub-and-spoke logistics system with deterministic trans-portation times, which could be solved analytically, were established and analyzed. We also compared the deterministic case with stochastic one that the transportation time follows some probability distributions.

• Communications for Statistical Applications and Methods
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• 제18권4호
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• pp.433-443
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• 2011

잉여금의 수준에 따라 이단계의 보험요율이 적용되는 복합 포아송 위험 모형을 고려한다. 먼저 이 위험 모형에 대응되는 이단계 서비스율의 M/G/1 대기행렬 모형을 설정하고, M/G/1 대기행렬 모형에서 작업량이 0에 도달하기 전에 과부하가 발생하는 확률을 유도한다. 이과부하 확률을 이용하여 위험모형에서 잉여금이 목표값에 도달하기 전에 파산하는 확률을 구하고, 보험 청구액이 지수분포를 따르는 경우의 파산 확률을 계산한다.

• Journal of the Korean Statistical Society
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• 제36권2호
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• pp.237-256
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• 2007

This paper studies the problem of option pricing in an incomplete market. The market incompleteness comes from the discontinuity of the underlying asset price process which is, in particular, assumed to be a compound Poisson process. To find a reasonable price for a European contingent claim, we first find the unique minimal martingale measure and get a price by taking an expectation of the payoff under this measure. To get a closed-form price, we use an asymptotic expansion. In case where the minimal martingale measure is a signed measure, we use a sequence of martingale measures (probability measures) that converges to the equivalent martingale measure in the limit to compute the price. Again, we get a closed form of asymptotic option price. It is the Black-Scholes price and a correction term, when the distribution of the return process has nonzero skewness up to the first order.

• Journal of the Korean Statistical Society
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• 제35권2호
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• pp.115-142
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• 2006

This paper studies the problem of option hedging when the underlying asset price process is a compound Poisson process. By adopting an asymptotic approach to let the security price converge to a continuous process, we find a closed-form hedging strategy that improves the classical Black-Scholes hedging strategy in a quadratic sense. We first show that the scaled Black-scholes hedging error has a limit in law, and that limit is decomposed into a part that can be traded away and a part that is purely unreplicable. The Black-Scholes hedging strategy is then modified by adding the replicable part of its hedging error and by adding the mean-variance hedging strategy to the nonreplicable part. Some results of simulation experiment s are also provided.

• 한국경영과학회지
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• 제32권1호
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• pp.137-146
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• 2007

In this study we consider a CONWIP system studied in Park and Lee [1] in which the processing times at each station follow a Coxian distribution and the demands for the finished products arrive according to a compound Poisson process. The demands that are not satisfied Immediately are either backordered or lost according to the number of demands that exist at their arrival instants. For this system using the results in [1] we develop an approximation method to calculate order based performance measures such as the mean time of fulfilling a customer order and the mean number of customer orders. To test the accuracy of the approximation method, the results obtained from the approximation method are compared with those obtained by simulation. Comparisons with simulation have shown that the approximate method provides fairly good results.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회 2004년도 추계학술대회 및 정기총회
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• pp.8-12
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• 2004

In this study we consider a CONWIP system in which the processing times at each station follow a Coxian distribution and the demands for the finished products arrive according to a compound Poisson process. The demands that are not satisfied are backordered according to the number of demands that exist at their arrival instants. For this system we develop an approximation method to calculate order based performance measures such as the mean time of fulfilling a customer order and the mean number o: customer orders. For the analysis of the proposed CONWIP system, we model the CONWIP system as a closed queueing network with a synchronization station and analyze the closed queueing network using a product form approximation method. Numerical tests show that the approximation method provides fairly good estimation of the performance measures of interest.

• 한국경영과학회:학술대회논문집
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• 한국경영과학회 1989년도 추계학술발표회 발표논문초록집; 이화여자대학교, 서울; 23 Sep. 1989
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• pp.6-6
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• 1989

• 한국경영과학회지
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• 제31권3호
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• pp.63-79
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• 2006

In this study we consider a CONWIP system in which the processing times at each station follow a Coxian distribution and the demands for the finished products arrive according to a compound Poisson process. The demands that are not satisfied immediately are either backordered or lost according to the number of demands that exist at their arrival Instants. For this system we develop an approximation method to calculate performance measures such as steady state probabilities of the number of parts at each station, proportion of lost demands and the mean number of backordered demands. For the analysis of the proposed CONWIP system, we model the CONWIP system as a closed queueing network with a synchronization station and analyze the closed queueing network using a product-form approximation method. A recursive technique is used to solve the subnetwork in the application of the product-form approximation method. To test the accuracy of the approximation method, the results obtained from the approximation method are compared with those obtained by simulation. Comparisons with simulation show that the approximation method provides fairly good results.