• Journal of Korean Society for Quality Management
• /
• v.31 no.3
• /
• pp.160-171
• /
• 2003

Criteria for the comparison of quality of asset portfolio management are risk and return. In this paper a method to use structural time-series model to determine an optimal portfolio for the improvement of quality of asset portfolio management is suggested. In traditional mean variance analysis expected return is assumed to be time-invariant. However, it is more realistic to assume that expected return is temporally dynamic and structural time-series model can be used to reflect time-varying nature of return. A data set from an insurance company was used to show validity of suggested method.

• Communications for Statistical Applications and Methods
• /
• v.9 no.3
• /
• pp.703-713
• /
• 2002

In longitudinal studies, outcomes are repeatedly measured over time for each subject. It is common to have missing values or dropouts for longitudinal data. In this study time trend in longitudinal data with dropouts is of concern. The confounding of time trend with dropout process is investigated through simulation studies. Some simulation results are reported for binary responses as well as continuous responses with patterns of dropouts varying. It has been found that time trend is not confounded with random dropout process for binary responses when it is estimated using GEE.

• Korea Real Estate Review
• /
• v.28 no.2
• /
• pp.21-34
• /
• 2018

The purpose of this study is to investigate the effect of macro-finance variables on the correlation between the housing and stock markets because understanding the nature of time-varying correlations between different assets has important implications on portfolio allocation and risk management. Thus, we adopted the AG-DCC GARCH model to obtain time-varying, conditional correlations. Our sample ranged from January 2004 to November 2017. Our empirical result showed that the coefficients on asymmetric correlation were significantly positive, implying that correlations between the housing and stock markets were significantly higher when changes in the housing price and stock returns were negative. This finding suggested that the housing market has less hedging potential during a stock market downturn, when such a hedging strategy might be necessary. Based on the regression analysis, we found that the term spread had a significantly negative effect on correlations, while the credit spread had a significantly positive effect. This result could be interpreted by the risk premium effect.

• Geomechanics and Engineering
• /
• v.23 no.3
• /
• pp.261-273
• /
• 2020

This paper presents an efficient method utilizing user-defined computer functional codes to determine the reliability of an embankment slope with spatially varying soil properties in real time. The soils' mechanical properties varied with the soil layers that had different degrees of compaction and moisture content levels. The Latin Hypercube Sampling (LHS) for the degree of compaction and Kriging simulation of moisture content variation were adopted and programmed to predict their spatial distributions, respectively, that were subsequently used to characterize the spatial distribution of the soil shear strengths. The shear strength parameters were then integrated into the Geostudio command file to determine the safety factor of the embankment slope. An explicit metamodal for the performance function, using the Kriging method, was established and coded to efficiently compute the failure probability of slope with varying moisture contents. Sensitivity analysis showed that the proposed method significantly reduced the computational time compared to Monte Carlo simulation. About 300 times LHS Geostudio computations were needed to optimize precision and efficiency in determining the failure probability. The results also revealed that an embankment slope is prone to high failure risk if the degree of compaction is low and the moisture content is high.

• Proceedings of the Korea Water Resources Association Conference
• /
• 2010.05a
• /
• pp.581-585
• /
• 2010

This study introduced a Bayesian based frequency analysis in which the statistical trend seasonal analysis for hydrologic extreme series is incorporated. The proposed model employed Gumbel and GEV extreme distribution to characterize extreme events and a fully coupled bayesian frequency model was finally utilized to estimate design rainfalls in Seoul. Posterior distributions of the model parameters in both trend and seasonal analysis were updated through Markov Chain Monte Carlo Simulation mainly utilizing Gibbs sampler. This study proposed a way to make use of nonstationary frequency model for dynamic risk analysis, and showed an increase of hydrologic risk with time varying probability density functions. In addition, full annual cycle of the design rainfall through seasonal model could be applied to annual control such as dam operation, flood control, irrigation water management, and so on. The proposed study showed advantage in assessing statistical significance of parameters associated with trend analysis through statistical inference utilizing derived posterior distributions.

• East Asian Economic Review
• /
• v.19 no.4
• /
• pp.357-379
• /
• 2015

We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian sovereign CDS markets; that such co-movements tend to be larger between developing countries than between developed and developing countries; and that in the co-movements intra-regional nature is stronger than inter-regional nature. With the Spillover Index model, we measure contagion probabilities of sovereign default risk in CDS markets of seven Asian countries and find evidence of contagion effects among six of them; Japan is the exception. In addition, we find that these six countries are affected more by cross-market spillovers than by their own-market spillovers. Furthermore, a rolling-sample analysis reveals that contagion in the Asian sovereign CDS markets expands during episodes of extreme economic and financial distress, such as the Lehman Brothers bankruptcy, the European financial crisis, and the US-credit downgrade.

• Journal of Preventive Medicine and Public Health
• /
• v.53 no.1
• /
• pp.56-63
• /
• 2020

Objectives: The objective of this study was to determine the effect of atrial fibrillation (AF) on the risk of dementia in the Korean elderly. Methods: A 10-year retrospective cohort study was conducted using the National Health Insurance Service-Senior Cohort database. We excluded those who were under 65 years of age as of January 2006 (n=46 113), those who were diagnosed with dementia between 2002 and 2005 (n=9086), and those with a history of stroke prior to AF diagnosis (n=8392). We used a Cox proportional hazards model with a time-varying covariate to determine whether AF is associated with the risk of dementia after adjusting for potential confounders. Results: In univariable Cox regression, the hazard ratio (HR) of dementia according to AF status was 1.28 (95% confidence interval [CI], 1.23 to 1.33). After adjusting for potential confounders, AF was found to increase the risk of dementia (HR, 1.12; 95% CI, 1.07 to 1.17), Alzheimer dementia (HR, 1.12; 95% CI, 1.07 to 1.17), and vascular dementia (HR, 1.10; 95% CI, 1.03 to 1.18). In patients diagnosed with AF, the incidence of dementia was lower (HR, 0.50; 95% CI, 0.47 to 0.52) in patients who were treated with oral anticoagulants. Conclusions: Investigating the potential risk factors of dementia in an aged society is important. We found a slightly higher risk of dementia in those with AF than in those without AF, and we therefore concluded that AF is a potential risk factor for dementia.

• The Korean Journal of Applied Statistics
• /
• v.24 no.4
• /
• pp.575-586
• /
• 2011

In this paper, we study an asymptotic behavior of the finite-time ruin probability of the compound Poisson model in the case that the initial surplus is large. To compare an exact ruin probability with an approximate one, we place the focus on the exact calculation for the ruin probability when the claim size distribution is regularly varying tailed (i.e. exponential claims and inverse Gaussian claims). We estimate an adjustment coefficient in these examples and show the relationship between the adjustment coefficient and the safety premium. The illustration study shows that as the safety premium increases so does the adjustment coefficient. Larger safety premium means lower "long-term risk", which only stands to reason since higher safety premium means a faster rate of safety premium income to offset claims.

• Journal of Chest Surgery
• /
• v.50 no.3
• /
• pp.163-170
• /
• 2017

Background: The absence of atrial contraction (AC) after the maze procedure has been reported to cause subsequent annular dilatation and to increase the risk of embolic stroke. We hypothesized that the lack of AC could increase the risk of permanent pacemaker (PPM) implantation in patients undergoing the maze procedure. Methods: In 376 consecutive patients who had undergone a cryo-maze procedure and combined valve operation, recovery of AC was assessed at baseline and at immediate (${\leq}2$ weeks), early (${\leq}1$ year, $4.6{\pm}3.8$ months), and late (>1 year, $3.5{\pm}1.1$ years) postoperative stages. Results: With a median follow-up of 53 months, 10 patients underwent PPM implantation. Seven PPM implants were for sinus node dysfunction (pauses of $9.6{\pm}2.4$ seconds), one was for marked sinus bradycardia, and two were for advanced/complete atrioventricular block. The median (interquartile range) time to PPM implantation was 13.8 (0.5-68.2) months. Our time-varying covariate Cox models showed that the absence of AC was a risk factor for PPM implantation (hazard ratio, 11.92; 95% confidence interval, 2.52 to 56.45; p=0.002). Conclusion: The absence of AC may be associated with a subsequent risk of PPM implantation.

• Proceedings of the Korean Institute of Navigation and Port Research Conference
• /
• v.29 no.1
• /
• pp.77-83
• /
• 2005

In collision avoidance problem of a ship, collision risk model is usually set up using the interview results fron experts who sit on a simulator by varying parameters, in which DCPA and TCPA are commonly used. This method, however, has the weakness in that not only it is expensive but also it shows different results depending on the inerviewees and other navigational parameters. In this study, a fuzzy inference system is designed based on own ship's maneuverability verified fron simulation instead of interviewing navigators. The time and distance corresponding to the collision risk value on which avoidance maneuver should be started are set to the minimum marginal time at which own ship starts maneuvering and the minimum marginal distance suggested by marine traffic rules respectively. This system can be recorfigured as a nonlinearity-strengthened one by increasing the number of fuzzy membership functions.