• Journal of applied mathematics & informatics
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• v.27 no.5_6
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• pp.1073-1086
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• 2009

This paper considers the problems of martingale measures and risk-minimizing hedging strategies in the market with restricted information. By constructing a general restricted information market model, the explicit relation of arbitrage and the minimal martingale measure between two different information markets are discussed. Also a link among all equivalent martingale measures under restricted information market is given. As an example of restricted information markets, this paper constitutes a jump-diffusion process model and presents a risk minimizing problem under different information. Through $It\hat{o}$ formula and projection results in Schweizer[13], the explicit optimal strategy for different market information are given.

• Bulletin of the Korean Mathematical Society
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• v.56 no.6
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• pp.1467-1483
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• 2019

This paper analyzes a robust optimal reinsurance and investment strategy for an Ambiguity-Averse Insurer (AAI), who worries about model misspecification and insists on seeking robust optimal strategies. The AAI's surplus process is assumed to follow a jump-diffusion model, and he is allowed to purchase proportional reinsurance or acquire new business, meanwhile invest his surplus in a risk-free asset and a risky-asset, whose price is described by an Ornstein-Uhlenbeck process. Under the criterion for maximizing the expected exponential utility of terminal wealth, robust optimal strategy and value function are derived by applying the stochastic dynamic programming approach. Serval numerical examples are given to illustrate the impact of model parameters on the robust optimal strategies and the loss utility function from ignoring the model uncertainty.

• Korean Institute of Interior Design Journal
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• v.18 no.3
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• pp.102-113
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• 2009

The SARS virus began to appear and spread in North America and Southeast Asia in the early 2000' s, infecting and harming many people. In the process of examining the causes for the virus, studies on the airborne SARS virus and the way it spread were carried out mainly in the medical field. In the field of architecture, studies were done on the diffusion of air pollutants in buildings using gases such as $CO_2$, $N_2O$, or $SF_6$, but research on virus diffusion was limited. There were also explanations of only the diffusion process without accurate information and discussion on virus characteristics. The aim of this study is to analyze the physical characteristics of airborne virus, consider the possibility of using coupled analysis model and tracer gas for analyzing virus diffusion in building space and, based on reports of how the infection spread in a hospital where SARS patients were discovered, analyze infection risk using tracer gas density and also diffusion patterns according to the location, shape, and volume of supply diffusers and exhaust grilles. This paper can provide standards and logical principles for evaluating various alternatives for making decisions on vertical or horizontal ward placement, air supply and exhaust installation and air volumes in medium or high story medical facilities.

• Communications for Statistical Applications and Methods
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• v.11 no.3
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• pp.495-501
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• 2004

HJM representation of the term structure of interest rates sometimes produces the negative interest rates with positive probability. This paper shows that the condition of positive interest rates can be derived from the jump diffusion process, if a proper positive martingale process with the compensated jump process is chosen. As in Flesaker and Hughston, the condition is incorporated into the bond price process.

• 한국전산유체공학회:학술대회논문집
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• 2011.05a
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• pp.477-482
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• 2011

In the present study, the diffusion process of hydrogen leaking from a FCV (Fuel Cell Vehicle) in an underground parking lot was analyzed by numerical simulations in order to assess the risk of a leakage accident. The temporal and spatial changes of the hydrogen concentration as well as the flammable region in the parking lot were predicted numerically. The effects of the leakage flow rate and an additional ventilation fan were investigated to evaluate the ventilation performance in the parking lot to relieve the accumulation of the leaked hydrogen gas. The present numerical analysis can provide useful information such as the distribution of the leaked hydrogen concentration for safety of various hydrogen applications.

• Applied Chemistry for Engineering
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• v.33 no.6
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• pp.653-660
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• 2022

In liquid hydrogen storage tanks, tank damage or leakage in the surrounding pipes possess a major risk. Since these tanks store huge amounts of the fluid among all the liquid hydrogen process facilities, there is a high risk of leakage-related accidents. Therefore, in this study, we conducted a risk assessment of liquid hydrogen leakage for a grid-type liquid hydrogen storage tank (lattice-type pressure vessel (LPV): 18 m³) that overcame the low space efficiency of the existing pressure vessel shape. Through a commercially developed three-dimensional computational fluid dynamics program, the geometry of the site, where the liquid hydrogen storage tank will be installed, was obtained and simulations of the leakage scenarios for each situation were performed. From the computational flow analysis results, the pool formation behavior in the event of liquid hydrogen leakage was identified, and the resulting damage range was predicted.

• International Journal of Quality Innovation
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• v.6 no.1
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• pp.58-73
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• 2005

The objective of this study is to evaluate the equipment risk before and after SEMI S2-93A implementation, thus providing a guideline for safety improvement. Semiconductor Plant A located in Taiwan's Hsinchu Science Based Industrial Park with 147 manufacturing machines was used for risk assessment. This study was carried out in three steps. First, a preliminary hazard analysis was conducted. A detailed process safety evaluation was conducted (Hazard and Operability Study, HAZOP); and finally, the equipment risk comparison before and after Semiconductor Equipment Manufacturing Instruction (SEMI S2-93A) implementation. The preliminary hazard analysis results showed high risk in 21.77% of the manufacturing machines under risk assessment at Plant A. The largest percentage existed in the Diffusion Department. The machine types specified by the hazardous work site review and inspection according to Article 26 of Labor Inspection Regulation (the machines that use such chemicals as, $SiH_4$, HF, HCL, etc. and that are determined to be highly hazardous through preliminary hazard analysis) were added to the detailed process analysis and evaluation. In the third part of this evaluation, the machines at Plant A used for detailed process safety assessment were divided into two groups based on the manufacturing data before and after 1993. The severity, possibility, and actual accident analysis before and after SEMI S2-93A implementation were compared. The Semiconductor Equipment Manufacturing Instruction (SEMI S2-93A) implementation can reduce the severity and possibility of hazard occurrence.

• Fire Science and Engineering
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• v.32 no.3
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• pp.76-87
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• 2018

This study describes the damage effects modeling for a quantitative prediction about the hazardous distances from pressurized chlorine saturated liquid tank, which has two-phase leakage. The heavy gas, chlorine is an accidental substance that is used as a raw material and intermediate in chemical plants. Based on the evaluation method for damage prediction and accident effects assessment models, the operating conditions were set as the standard conditions to reveal the optimal variables on an accident due to the leakage of a liquid chlorine storage vessel. A model of the atmospheric diffusion model, ALOHA (V5.4.4) developed by USEPA and NOAA, which is used for a risk assessment of Off-site Risk Assessment (ORA), was used. The Yeosu National Industrial Complex is designated as a model site, which manufactures and handles large quantities of chemical substances. Weather-related variables and process variables for each scenario need to be modelled to derive the characteristics of leakage accidents. The estimated levels of concern (LOC) were calculated based on the Gaussian diffusion model. As a result of ALOHA modeling, the hazardous distance due to chlorine diffusion increased with increasing air temperature and the wind speed decreased and the atmospheric stability was stabilized.

• Journal of Korean Society for Atmospheric Environment
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• v.22 no.1
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• pp.73-84
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• 2006

Hazardous Air Pollutants (HAPs) are characterized by being relatively heavier and denser than that of ambient air due to the various reasons such as higher molecular weight, low temperature and other complicated chemical transformations (Witlox, 1994). In an effort to investigate transport and diffusion from instantaneous emission of heavy gas, Lagrangian Particle Dispersion Model (LPDM) coupled with the RAMS output was employed. Both deposition process and buoyancy term were added on the atmospheric diffusion equations of LPDM, and the locations and concentrations of dense gas particle released from instantaneous single point source (emitting initially for 10 minutes only) were analyzed. The result overall shows that adding deposition process and buoyancy terms on the diffusion equation of LPDM has very small but detectable effect on the vertical and horizontal distribution of Lagrangian particles that especially transported for a fairly long traveling time. Also the slumping of dense gas can be found to be ignored horizontally compared to the advection by the horizontal wind suggesting that it was essential to couple the Lagrangian particle dispersion model coupled with the RAMS model in order to explain the dispersion of HAPs more accurately. However, during the initial time of instantaneous emission, buoyancy term play an important role on the vertical locations of dense particles for near surface atmosphere and around source area, indicating the importance of densities of HAPs in the beginning stage or short duration for the risk assessment of HAPs or management of heavy vapors during the explosive accidents.

• The Research Journal of the Costume Culture
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• v.26 no.2
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• pp.157-171
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• 2018

As the next generation of smartphone and tablet computers, wearable devices are currently being developed and available in market in various forms. Smart clothing is a wearable device that holds the greatest potential for future development but low in market penetration. This study was designed to identify factors that influence adoption and diffusion of smart clothing. In-depth interviews with potential consumers who were knowledgeable about and interested in smart clothing were conducted. A semantic network analysis method was used. The results showed that consumers perceived smart clothing as a garment rather than as a type of wearable device and had a positive perception of smart apparel as more convenient and advanced than functional apparel. At the same time, however, consumers had a negative perception of smart clothing as unnecessary, ugly, and injurious to health. Consumers also worried that wearing smart apparel over long periods of time would negatively impact their health. Factors affecting resistance to smart apparel included low utility, perceived risk, and lack of aesthetic completeness. Usefulness and convenience were factors that affected the acceptance of smart clothing. The innovativeness of the product was more influential than consumer innovativeness in the process of adoption and diffusion of smart clothing.