• Journal of Preventive Medicine and Public Health
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• 제39권1호
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• pp.13-20
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• 2006

Objectives: To propose a risk-adjustment model with using insurance claims data and to analyze whether or not the outcomes of non-emergent and isolated coronary artery bypass graft surgery (CABG) differed between the low- and high-volume hospitals for the patients who are at different levels of surgical risk. Methods: This is a cross-sectional study that used the 2002 data of the national health insurance claims. The study data set included the patient level data as well as all the ICD-10 diagnosis and procedure codes that were recorded in the claims. The patient's biological, admission and comorbidity information were used in the risk-adjustment model. The risk factors were adjusted with the logistic regression model. The subjects were classified into five groups based on the predicted surgical risk: minimal (<0.5%), low (0.5% to 2%), moderate (2% to 5%), high (5% to 20%), and severe (=20%). The differences between the low- and high-volume hospitals were assessed in each of the five risk groups. Results: The final risk-adjustment model consisted of ten risk factors and these factors were found to have statistically significant effects on patient mortality. The C-statistic (0.83) and Hosmer-Lemeshow test ($x^2=6.92$, p=0.55) showed that the model's performance was good. A total of 30 low-volume hospitals (971 patients) and 4 high-volume hospitals (1,087 patients) were identified. Significant differences for the in-hospital mortality were found between the low- and high-volume hospitals for the high (21.6% vs. 7.2%, p=0.00) and severe (44.4% vs. 11.8%, p=0.00) risk patient groups. Conclusions: Good model performance showed that insurance claims data can be used for comparing hospital mortality after adjusting for the patients' risk. Negative correlation was existed between surgery volume and in-hospital mortality. However, only patients in high and severe risk groups had such a relationship.

• 아태비즈니스연구
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• 제12권1호
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• pp.135-149
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• 2021

Purpose - I analyzes risk-to-performance evaluated in the market using data from sale and lease back. Specifically, I analyze from the perspective of financial institutions that purchase sale and lease back based on the cases of investment by ship investment companies and acquisition of ships. Design/methodology/approach - I use 49 sale and lease back data from 2017 to 2019 for empirical analysis. Findings - The main results of this paper are as follows. First, after sale and lease back of domestic ships, the average amount of sales by the leased shipping company is 25.1 billion won, the average amount of investment by the purchased financial institution is 14.6 billion won (60%) and the average length of the ship is nine years. In ship finance, sale and lease back is deemed to be appropriately used as a means of restructuring for a large amount of money. Second, the main risk factor for sale and lease back of domestic ships is credit risk and can be measured in VaR in practice. As a result of the empirical analysis, the average credit risk burden ratio is 9%. As a major risk factor, low creditworthiness of restructuring companies is the key. Third, as a result of measuring the profitability of financial institutions that purchase sale and lease back of domestic ships at a net current price, it has an average value of 300 million won, but the deviation by case is very large. Fourth, the risk adjusted performance of sale and lease back of domestic ships is 0.54 on average compared to the total risk capital, and 0.52 compared to the stock-risk capital, and as with profitability earlier, the deviation of each case is very large and misaligned. In order to boost the sale and lease back market for large and long-term assets, in order to overcome low profitability as a prerequisite for future participation of commercial purchased financial institutions, it is expected that purchase decisions based on expectations versus risk will be necessary. Research implications or Originality - The results of this paper are expected to broaden the understanding of sale and lease back and foster the ability to assess long-term risk and performance. Based on this, it is believed that rapid restructuring of companies through sale and lease back of large amounts of long-term assets will greatly increase the utility of the domestic financial market.

• 응용통계연구
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• 제29권4호
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• pp.741-752
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• 2016

금융자산의 수익률 분포를 잘 설명할 수 있는 것으로 알려진 normal inverse Gaussian(NIG)분포는 모수의 조건에 의해 세 배의 초과첨도가 왜도 제곱의 5배보다 커야 하는데, 만약 관측된 초과첨도와 왜도의 관계가 이를 만족하지 못하거나 두 값이 매우 비슷하다면 모수를 안정적으로 추정하기 어렵게 된다. 이 논문에서 우리는 NIG분포의 모수추정에서 발생하는 이러한 문제점을 살펴보고 모의실험을 통해 이를 보정하는 방법을 찾아보았다. KOSPI, S&P500, FTSE와 HANG SENG의 실제 주가지수 자료에 적용하여 보정의 효과를 비교하고 VaR를 이용한 사후검증으로 보정된 추정방법의 성능을 평가해 보았다. 보정 방법을 이용하였을 때, 모수추정의 문제가 있던 구간을 포함한 모든 구간에서 안정적인 모수추정이 가능하였고 VaR를 통한 사후 검증에서도 분포의 성능이 떨어지지 않음을 확인하였다.

• 아태비즈니스연구
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• 제13권2호
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• pp.123-138
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• 2022

Purpose - This study compares the performances of dynamic asset allocation strategies using Korean stocks and U.S. dollar, which have been negatively correlated for a long time, to examine the diversification effects in the portfolios of them. Design/methodology/approach - In the current study, we use KOSPI200 index, as a proxy of the aggregated portfolio of Korean stocks, and USDKRW foreign exchange rate to implement various portfolio management strategies. We consider the equally-weighted, risk-parity, minimum variance, most diversified, and growth optimal portfolios for comparison. Findings - We first find the enhancement of risk adjusted returns due to risk reduction rather than return increasement for all the portfolios of consideration. Second, the enhancement is more pronounced for the trading strategies using correlations as well as volatilities compared to those using volatilities only. Third, the diversification effect has become stronger after the global financial crisis in 2008. Lastly, we find that the performance of the growth optimal portfolio can be improved by utilizing the well-known momentum phenomenon in stock markets to select the length of the sample period to estimate the expected return. Research implications or Originality - This study shows the potential benefits of adding the U.S. dollar to the portfolios of Korean stocks. The current study is the first to investigate the portfolio of Korean stocks and U.S. dollar from investment perspective.

• 산업경영시스템학회지
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• 제22권50호
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• pp.33-44
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• 1999

This paper describes the Autonomous Vehicles (AV) which are operated for their own tasks. There are chances of conflict resolution such as sharing the same path which can lead to the risk of a collision. This research represents some ways of negotiating the conflict resolution by generating cooperative actions. Negotiation while traveling the path is accomplished by using priority and by announcing the start time of the task. When there is a risk of collision, the AV tries to dissolve the situation of conflict resolution by concurrently adjusting mutual speed and by performing the algorithm of passing. If the speed of the AV cannot be adjusted, it measures the distance between the counterpart of the AV and an obstacle along the path. Then it judges either to proceed by passing the counterpart of the AV or to turn back after observing the current circumstances. The performance of the algorithm described above was proven by a simulator.

• Communications for Statistical Applications and Methods
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• 제26권3호
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• pp.239-259
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• 2019

The transmuted generalized extreme value (TGEV) distribution was first introduced by Aryal and Tsokos (Nonlinear Analysis: Theory, Methods & Applications, 71, 401-407, 2009) and applied by Nascimento et al. (Hacettepe Journal of Mathematics and Statistics, 45, 1847-1864, 2016). However, they did not give explicit expressions for all the moments, tail behaviour, quantiles, survival and risk functions and order statistics. The TGEV distribution is a more flexible model than the simple GEV distribution to model extreme or rare events because the right tail of the TGEV is heavier than the GEV. In addition the TGEV distribution can adjusted various forms of asymmetry. In this article, explicit expressions for these measures of the TGEV are obtained. The tail behavior and the survival and risk functions were determined for positive gamma, the moments for nonzero gamma and the moment generating function for zero gamma. The performance of the maximum likelihood estimators (MLEs) of the TGEV parameters were tested through a series of Monte Carlo simulation experiments. In addition, the model was used to fit three real data sets related to financial returns.

• 산경연구논집
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• 제9권1호
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• pp.9-23
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• 2018

Purpose - The purpose of this paper is to investigate the potential benefits or detriments of team management on fund performance in the mutual fund market. An additional purpose of this study is to examine the optimal number of managers in a fund industry for superior performance. Research design, data, and methodology - This paper investigates the effect of managerial structure on fund performance in the Korean active mutual fund market between 2001 and 2008. For this, we analyze two risk-adjusted performances measures- the capital asset pricing model (CAPM) and the three-factor model of Fama & French (1993). Results - First, we found that single-managed funds exhibited superior performance. Second major finding was that as the number of managers in a fund increases, the fund performance deteriorates. Finally, the results reveal that the sharpest performance drop occurs when team size increases from a 5-person team to a 6-person team. Conclusions - The results suggest that the management structure can be a source of competitive advantage for fund performance. As considering fund performance is the outcome of managers' decision-making, this study contributes to not only the financial literature but also the literature in other areas, such as management and general business.

• 한국임상수의학회지
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• 제28권4호
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• pp.339-343
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• 2011

젖소에서 쌍태분만이 이후의 산후질병 발생, 도태, 번식능력에 대한 영향과 쌍태분만에 대한 위험요인을 조사하였다. 9개 목장 1,717 분만축의 번식, 위생 및 분만관련 상세 자료가 분석에 이용되었다. 쌍태 분만율은 3.4%였으며, 임신기간은 쌍태분만 시에 단태분만 시에 비해 9일 단축되었다($270.6{\pm}2.0$ vs. $279.5{\pm}0.2$일, P < 0.01). 쌍태분만 시가 후산정체(47.5 vs. 16.0%), 대사성질병(18.6 vs. 3.8%) 및 자궁내막염의 발생(62.7 vs. 28.2%)뿐만 아니라 도태율(32.2 vs. 16.5%)이 단태분만 시에 비해 현저하게 증가되었다(P < 0.01). 쌍태분만은 분만으로부터 임신까지의 간격에 유의적인 영향을 미치지 않았으나, 분만계절이 영향을 미쳤는데, 즉 봄에 분만 시가 겨울에 분만 시에 비해 임신율이 감소되었으며(AHR = 0.80; P = 0.01), 또한 자궁내막염의 발생이 임신율의 감소를 초래하였다(AHR = 0.46, P < 0.01). 로지스틱 분석은 산차의 증가(P < 0.01)와 수태 전 번식호르몬의 사용(OR = 1.84, P < 0.05)이 쌍태분만의 위험요인임을 나타내었다. 결론적으로, 젖소에서 쌍태분만은 산후질병 발생과 도태의 증가에 의한 심한 경제적 손실을 초래하므로, 쌍태분만에 대한 적절한 관리 및 고산차 소 및 번식호르몬 사용에 대한 적절한 통제를 통한 위험요인을 감소시키는 것이 요구된다.

• 한국학교보건학회지
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• 제29권2호
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• pp.90-97
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• 2016

Purpose: The purpose of this study was to investigate the relationship between sleep timing and depressive mood in Korean adolescents. Methods: The study analyzed the data from the 2007~2015 Korea Youth Risk Behavior Web-based Survey. A total of 541,693 students in grades 7~12 were included in the final analysis. Multivariable logistic regression was used to examine their sleep timing and depressive mood, adjusted for sex, grade, region, socioeconomic status, academic performance, alcohol, smoking and physical activity. Sleep duration and sleep quality were also included in our model to identify whether or not the effect of sleep timing on depression is mediated by sleep duration or sleep quality. Results: The prevalence of depressive mood was 32.7% and the mean sleep timing was 12:13 AM. After adjustment for eligible covariates, the association between sleep timing and depressive mood showed a J-shaped curve. Adolescents who slept at 8 pm~10 pm were 39% more likely to be depressive (OR = 1.39, 95% CI 1.30~1.40) and at 3 am~ 4 am were 67% more likely to be depressive (OR=1.67, 95% CI 1.64~1.70) than adolescents who slept at 11 pm~12 am. These associations persisted after being adjusted for sleep duration and sleep quality. Conclusion: Sleep timing was related to depression in adolescents, independent of sleep duration and sleep quality. It appears that there is a certain sleep timing beneficial to mental health of adolescents.

• 한국재난정보학회 논문집
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• 제7권3호
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• pp.220-228
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• 2011

재난전조정보란 웹으로부터 재난이 예상되는 정보를 자동으로 수집하거나, 관련자가 재난전조정보 사이트의 신고를 통하여 제공하는 데이터에 대하여 자동 또는 수동으로 확인을 거친 정보이다. 이렇게 수집된 데이터에 대하여 자동으로 분석 정보를 제공하는 기술에 연구의 초점을 맞추었다. 정보를 분석하기 위하여 가장 대표적인 재난 유형 4가지(교량, 공사장, 건축물, 축대 및 옹벽)에 대하여 온톨로지 구조를 정의하였다. 온톨로지 구조에 따라 과거 유사 사례 DB를 구축하였으며, 해당 사례로부터 재난 발생에 대한 규칙을 도출하고, 규칙 사이에 가중치 적용을 통하여 규칙 정보를 일반화하였다. 도출된 규칙은 재난 전조 정보에 적용하였으며, 규칙의 가중치를 통하여 해당 정보를 점수화 하였다. 본 연구에서 제시하는 방법에 대하여 실제적인 구현을 통하여 실용성을 검증하였다. 재난 전조정보에 대한 점수는 사건 사례의 품질에 의존적이기 때문에, 시스템의 성능은 데이터 업그레이드에 따라 계속 증가할 것이다. 또한 규칙에 대한 지속적인 품질 보정이 필요할 것이다.