• 한국수학교육학회지시리즈B:순수및응용수학
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• 제20권4호
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• pp.287-298
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• 2013

A standard deviation has been a starting point for a mathematical definition of risk. As a remedy for drawbacks such as subadditivity property discouraging the diversification, coherent and convex risk measures are introduced in an axiomatic approach. Choquet expectation and g-expectations, which generalize mathematical expectations, are widely used in hedging and pricing contingent claims in incomplete markets. The each risk measure or expectation give rise to its own pricing rules. In this paper we investigate relationships among dynamic risk measures, Choquet expectation and dynamic g-expectations in the framework of the continuous-time asset pricing.

• 유통과학연구
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• 제20권12호
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• pp.81-87
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• 2022

Purpose: This study aims to explore the relationship between stock liquidity and skewness risk-tail risk (stock price crash risk) in an emerging market, in which problems on liquidity are more severe than in developed markets. Research design, data, and methodology: Based on the Thai market stock exchange over the period of 2000 to 2019, our sample include 13,462 firm-period observations. We employ a panel regression models regarding to five liquidity measures. These five liquidity measures cover three dimensions of liquidity namely the volume-based, price-based, and transaction cost-based measures for the liquidity-tail risk relationship. Results: We find a positively significant relationship between stock liquidity and tail risk in all cases. The finding here shows that the higher the stock liquidity, the larger the tail risk is. Conclusion: As the prior studies show inconclusive effect of stock liquidity on stock price crash risk, we demonstrate that mixed results found in prior studies are probably driven from the type of liquidity measure. The stock liquidity-tail risk association is present in the Stock Exchange of Thailand. The results remain the same regardless of the definition of tail risk and liquidity factors. An endogeneity issue is addressed by employing the two-stage least squares regression.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.25-39
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• 2021

This purpose of this study is to investigate the association among mutual funds (MFs) risk measures and return parameters, evaluate mutual fund performance and also explore the best appropriate mutual fund performance measure for investment in Pakistan. Therefore, thirty-five mutual funds have been selected for the period 2007-2015. The Sharpe, Treynor, Jensen Alpha, Information ratio and Fama's Net Selectivity measures has been used to analyze MF performance. Our study findings show significant positive relation exist between Sharpe and Jenson alpha & information ratio (IR); Treynor ratio is negatively correlated to Jenson alpha and Jenson alpha is positively allied with IR. Moreover, association among performance measures, Fama's net selectivity is a major driver in leading to other measures but Sharpe and IR lead to Treynor ratio as well. Furthermore, performance measures are ranked in accordance standard deviation with the arrangement of Fama's net selectivity at top, Jenson Alpha at second, Sharpe ratio at third, IR at fourth and Treynor ratio at fifth position according to risk parameters in Pakistan. Overall, Jensen Alpha measure appears to be the best suitable mutual fund performance measure in Pakistan due to its practical nature. Finally, the Pakistani stock market index KSE100 (as benchmark) performs better than MF industry of Pakistan.

• 문화기술의 융합
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• 제6권2호
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• pp.55-70
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• 2020

이 연구는 소규모 건설현장 구조물 공사 참여 근로자들을 대상으로 위험유발요인과 안전점검이 재해 저감 대책에 미치는 영향을 밝히고자 하였으며, 연구결과는 다음과 같다. 첫째, 위험유발요인이 인적요인에 미치는 영향에서 작업준비와 거푸집 해체, 그리고 조치 여부, 기록유지가 통계적으로 유의미한 영향을 미쳤다. 이는 안전점검은 위험유발요인이 인적요인에 미치는 영향에서 부분 매개 효과가 있음을 알 수 있었다. 둘째, 위험유발요인이 설비적요인에 미치는 영향에서 작업준비와 조치 여부가 유의미한 영향을 미쳤다. 따라서 안전점검은 위험유발요인이 설비적요인에 미치는 영향에서 부분 매개 효과가 있음을 알 수 있었다. 셋째, 위험유발요인이 관리적 요인에 미치는 영향에서 동바리설치와 위험성 평가가 유의미한 영향을 미쳤다. 따라서 안전점검은 위험유발요인이 관리적 요인에 미치는 영향에서 부분 매개 효과가 있음을 알 수 있었다. 넷째, 위험유발요인이 작업적요인에 미치는 영향에서 동바리설치에서만 유의미한 영향을 미쳤다. 따라서 안전점검은 위험유발요인이 작업적요인에 미치는 영향에서 완전매개 효과가 있음을 알 수 있었다. 마지막으로, 위험유발요인이 재해 저감 대책에 미치는 영향에서 작업준비와 동바리설치 그리고 조치 여부가 유의수준에서 유의미한 정(+)의 영향을 미쳤다. 마지막으로 기록유지는 유의수준에서 유의미한 부(-)의 영향을 미치는 것으로 나타났다. 결론적으로 안전점검은 위험유발요인이 관리적 요인에 미치는 영향에서 부분 매개 효과가 있음을 알 수 있다.

• Safety and Health at Work
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• 제9권1호
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• pp.30-41
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• 2018

Background: The purpose of the work is to develop a system that allows processing of information for analysis and industrial risk management, to monitor the level of industrial safety and to perform necessary measures aimed at the prevention of accidents, casualties, and development of professional diseases for effective management of industrial safety at hazardous industrial sites. Methods: Risk assessment of accidents and incidents is based on expert evaluations. Based on the lists of criteria parameters and their possible values, provided by the experts, a unified information and analytical database is compiled, which is included in the final interrogation questionnaires. Risk assessment of industrial injuries and occupational diseases is based on statistical methods. Results: The result of the research is the creation of Guidelines for risk management on hazardous industrial sites of the Republic of Kazakhstan. The Guidelines determine the directions and methods of complex assessment of the state of industrial safety and labor protection and they could be applied as methodological basis at the development of preventive measures for emergencies, casualties, and incidents at hazardous industrial sites. Conclusion: Implementation of the information-analytical system of risk level assessment allows to analyze the state of risk of a possible accident at industrial sites, make valid management decisions aimed at the prevention of emergencies, and monitor the effectiveness of accident prevention measures.

• 대한안전경영과학회지
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• 제14권1호
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• pp.225-233
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• 2012

The research discusses interrelationship of structural and reliability importance measures which used in the probabilistic safety assessment. The most frequently used component importance measures, such as Birnbaum's Importance (BI), Risk Reduction (RR), Risk Reduction Worth (RRW), RA (Risk Achievement), Risk Achievement Worth (RAW), Fussel Vesely (FV) and Critically Importance (CI) can be derived from two structure importance measures that are developed based on the size and the number of Minimal Path Set (MPS) and Minimal Cut Set (MCS). In order to show an effectiveness of importance measures which is developed in this paper, the three representative functional structures, such as series-parallel, k out of n and bridge are used to compare with Birnbaum's Importance measure. In addition, the study presents the implementation examples of Total Productive Maintenance (TPM) metrics and alternating renewal process models with exponential distribution to calculate the availability and unavailability of component facility for improving system performances. System state structure functions in terms of component states can be converted into the system availability (unavailability) functions by substituting the component reliabilities (unavailabilities) for the component states. The applicable examples are presented in order to help the understanding of practitioners.

• 응용통계연구
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• 제19권1호
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• pp.163-170
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• 2006

역학(epidemiology) 또는 임상(clinic) 자료를 분석하기 위한 주효 측도의 선택에 대한 연구가 계속되고 있지만, 주효 측도들이 일반적인 함수 형태로만 표현되는 경우에는 주효 측도들의 특징이나 관계를 이해하는 것이 쉽지 않다. 이 논문에서는 주효 측도의 선택 문제 보다는 이변량 자료에 대한 주효 측도 중에서 위험도차이(risk different: RD), 상대위험률(relative risk: RR), 그리고 교차비(odds ratio: OR)를 방사형 그림(radar diagram)을 사용하여 나타내고 이 그림을 이용하여 이들의 특성이나 관계를 살펴보았다. 방사형 그림은 이 측도들을 이해하는데 좋은 도구가 될 것이다.

• 한국신뢰성학회지:신뢰성응용연구
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• 제9권3호
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• pp.165-176
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• 2009

The risk management case is an organization's formal arrangement to ensure the safety of its work activity within risk management system. It allows an organization to demonstrate its capability in achieving its safety objectives and in meeting regulatory requirements. This paper presents how the safety assessments are described, prepared and maintained to meet the criteria specified by the upcoming safety regulations. We propose the elements of risk management system that include arrangements for the ongoing identification of hazards, assessment of risks and the implementation of necessary control measures.

• 한국재난정보학회 논문집
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• 제9권2호
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• pp.178-187
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• 2013

16층 이상 고층아파트는 국가에서도 특수건물(Specific Buildings)로 지정하여 정기적인 화재안전점검과 보험가입을 의무화하는 등 특별관리를 하고 있다. 이 같은 배경에는 정부가 그동안에 고층아파트가 사고사례 경험상 화재위험에 매우 취약하다는 것을 인식하고 있으며, 아파트화재 사고건수, 아파트화재 피해액, 주택화재보험 손해율 등이 이 같은 인식을 뒷받침하고 있다. 본 연구에서는 고층아파트 화재위험에 대한 화재통계 분석, 아파트화재 보험의 가입 현황 및 고층아파트의 위험성 검토 등에 대하여 고찰하였다. 연구결과는 고층아파트 화재위험을 효율적으로 관리하기 위하여 이웃 세대로의 연소 확대위험 경감 방안마련, 피난 안전성 확보, 스프링클러 등 소방시설의 신뢰성 유지, 실질적 전부손해의 보상이 가능한 전부보험 가입, 화재대물배상책임보험 및 풍수재위험특약 가입 등을 주요 내용으로 하는 고층아파트의 종합적인 위험관리방안이 필요한 것으로 나타났다.

• 한국농공학회논문집
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• 제54권6호
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• pp.121-131
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• 2012

Many of the falling which is the number one risk factor in lethal accidents in construction could have been prevented if the right activity or supervising had been taken in time. All other measures do not preventive the fall, but rather intercept the fallen itself or preventive severe injury. The most common and the bets measures on the preventive measures are guardrails which are to be worn on the site. Workers always exposed the risk of serious accidents induced by causal effects related with environments around construction sites. In order to represent how to decrease the risk of workers, this study was accomplished with a number of interview with experienced site director, cheief of instructors, workers. And the questionaire survey (2012. 5~2012. 10) were used to make proposed policies which are expected to reduce critical disastrous accidents and strength authorized limits of director's management automatically.