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REFERENCE LINKING PLATFORM OF KOREA S&T JOURNALS
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Korean Journal of Applied Statistics
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Journal DOI :
The Korean Statistical Society
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Volume & Issues
Volume 21, Issue 6 - Dec 2008
Volume 21, Issue 5 - Oct 2008
Volume 21, Issue 4 - Aug 2008
Volume 21, Issue 3 - Jun 2008
Volume 21, Issue 2 - Apr 2008
Volume 21, Issue 1 - Feb 2008
Selecting the target year
A Study on the Financial Strength of General Insurers
Jeong, Jung-Young ; Yoo, Sang-Hee ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 717~726
DOI : 10.5351/KJAS.2008.21.5.717
The purpose of this paper is to assess the financial strength of general insurers by using A.M. Best's rating technique focusing on quantitative standards. A quantitative evaluation of fifteen larger general insurers' financial strength and operating performance relative to the Best's top group is carried out. The quantitative evaluation is done in 5 key areas; growth, efficiency, profitability, safety and liquidity. The results show that there is a big gap between domestic large insurers and American insures in all areas except stable growth of operations. Therefore, domestic insurers have to strive to strengthen financial soundness through profitability and should increase the capacity to retain more commercial business and reinsurance in order to become global players.
Stabilization of the Time-variant Cointegrating Relations
Kim, Tae-Ho ; Park, Ji-Won ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 727~738
DOI : 10.5351/KJAS.2008.21.5.727
If a cointegrating relation is affected by important economic and political events occurred in the sample period, the assumption of the time-invariant cointegrating vector is violated, which leads to the misrep-resentation of the actual relations between the variables. From such a viewpoint, this study utilizes the recursive estimation process in testing for the stability of the long-run equilibrium of the domestic stock market system and then attempts to develop the framework for stabilizing time-variant cointegraing relations by introducing the dummy variables where the structural changes are found to exist.
Generalized Conversion Formulas between Multiple Decrement Models and Associated Single Decrement Models
Lee, Hang-Suck ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 739~754
DOI : 10.5351/KJAS.2008.21.5.739
Researches on conversion formulas between multiple decrement models and the associated single decrement models have focused on calculating yearly-based conversion formulas. In practice, actuaries may be more interested in monthly-based conversion formulas. Multiple decrement tables and their associated single decrement tables consist of yearly-based rates of multiple decrements and absolute rates of decrements, respectively. This paper derives conversion formulas from yearly-based absolute rates of decrements to monthly-based rates of decrement due to cause j under the uniform distribution of decrements(UDD). Next, it suggests conversion formulas from monthly-based absolute rates of decrements to monthly-based rates of decrement due to cause j under UDD. In addition, it calculates conversion formulas from yearly-based rates of decrement due to cause j to the corresponding absolute rates of decrements under UDD or constant force assumption. Some numerical examples are discussed.
Nonlinear Regression for an Asymptotic Option Price
Song, Seong-Joo ; Song, Jong-Woo ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 755~763
DOI : 10.5351/KJAS.2008.21.5.755
This paper approaches the problem of option pricing in an incomplete market, where the underlying asset price process follows a compound Poisson model. We assume that the price process follows a compound Poisson model under an equivalent martingale measure and it converges weakly to the Black-Scholes model. First, we express the option price as the expectation of the discounted payoff and expand it at the Black-Scholes price to obtain a pricing formula with three unknown parameters. Then we estimate those parameters using the market option data. This method can use the option data on the same stock with different expiration dates and different strike prices.
Financial Engineering Education in Korea
Yoo, Shi-Yong ; Kim, Sahm ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 765~774
DOI : 10.5351/KJAS.2008.21.5.765
Korean financial markets are rapidly integrating into the world financial markets as they are getting to open more widely. The Korean government enacted new law about financial investments. The environment of domestic financial markets are expected to be more competitive. As a result, the learning demand for financial engineering has been increased. However, the current state of education of financial engineering is in a beginning stage. The financial engineering consists of an appropriate mix of mathematics, statistics, finance and engineering. So interdisciplinary property of financial engineering requires lecturers to be cooperative to operate education of financial engineering. Another element of this education is cooperation of both academia and industry.
The Strategies for Strengthening the Competitiveness of Life Insurance Companies
Jung, Se-Chang ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 775~781
DOI : 10.5351/KJAS.2008.21.5.775
The purpose of this paper is to analyse the key factors influencing the life insurance companies's competitiveness. Various performance variables differentiate this paper other existing studies employing a single performance variable. The business activity is divided into two categories, the underwriting activity and the investment activity. Each activity produces two performance, cost and profit performance. This study analyses the factors influencing four performance variables and suggests implications enforcing the life insurance companies' competitiveness based on the analysis. The results of this study are summarized as follows. Firstly, we find a statistically significant correlation between the cost performance in the under-writing activity and other performance variables. However, there in not a statistically significant correlation between the other three performance variables, the cost performance in the investment activity, the profit performance in the under-writing activity. Secondly, it is desirable to increase the selling of protection products for enforcing the competitiveness in respect of the cost performance. Finally, it is needed to increase the ratio of loans for enforcing the competitiveness in the area of the investment activity.
Effects of the Misspecification of Cointegrating Ranks in Seasonal Models
Seong, Byeong-Chan ; Cho, Sin-Sup ; Ahn, Sung-K. ; Hwang, S.Y. ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 783~789
DOI : 10.5351/KJAS.2008.21.5.783
We investigate the effects of the misspecification of cointegrating(CI) ranks at other frequencies on the inference of seasonal models at the frequency of interest; our study includes tests for CI ranks and estimation of CI vectors. Earlier studies focused mostly on a single frequency corresponding to one seasonal root at a time, ignoring possible cointegration at the remaining frequencies. We investigate the effects of the mis-specification, especially in finite samples, by adopting Gaussian reduced rank(GRR) estimation by Ahn and Reinsel (1994) that considers cointegration at all frequencies of seasonal unit roots simultaneously. It is observed that the identification of the seasonal CI rank at the frequency of interest is sensitive to the mis-prespecification of the CI ranks at other frequencies, mainly when the CI ranks at the remaining frequencies are underspecified.
A Target Model Development Applying Scoring Method for Sale of DATA Additional Charge Service Product in a Mobile Telephone Company A
Chun, Heui-Ju ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 791~799
DOI : 10.5351/KJAS.2008.21.5.791
Ansim Flat DATA Plan is a DATA additional service product related to DATA call in a mobile telephone company A. Up to now, the company A is selling it by outbound TM after targeting customers which used data within specific price band. In this paper, we propose a targeting method applying score model combining response rate and retention rate by data mining. The suggested target model is to find customers more likely not only to respond to outbound TM but also to retain Ansim Flat DATA Plan. The proposed targeting method is expected to improve both from 23.7% to 38.8% in the response rate and from 53.2% to 61.4% in the retention rate.
Mathematical Review on the Local Linearizing Method of Drift Coefficient
Yoon, Min ; Choi, Young-Soo ; Lee, Yoon-Dong ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 801~811
DOI : 10.5351/KJAS.2008.21.5.801
Modeling financial phenomena with diffusion processes is a commonly used methodology in the area of modern finance. Recently, various types of diffusion models have been suggested to explain the specific financial processes, and their related inference methodology have been also developed. In particular, likelihood methods for the efficient and accurate inference have been explored in various ways. In this paper, we review the mathematical properties of an approximated likelihood method, which is obtained by linearizing the drift coefficient of a diffusion process.
A Parameter Estimation of Software Reliability Growth Model with Change-Point
Kim, Do-Hoon ; Park, Chun-Gun ; Nam, Kyung-H. ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 813~823
DOI : 10.5351/KJAS.2008.21.5.813
The non-homogeneous Poisson process(NHPP) based software reliability growth models are proved quite successful in practical software reliability engineering. The fault detection rate is usually assumed to be the continuous and monotonic function. However, the fault detection rate can be affected by many factors such as the testing strategy, running environment and resource allocation. This paper describes a parameter estimation of software reliability growth model with change-point problem. We obtain the maximum likelihood estimate(MLE) and least square estimate(LSE), and compare goodness-of-fit.
Semi-Supervised Learning by Gaussian Mixtures
Choi, Byoung-Jeong ; Chae, Youn-Seok ; Choi, Woo-Young ; Park, Chang-Yi ; Koo, Ja-Yong ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 825~833
DOI : 10.5351/KJAS.2008.21.5.825
Discriminant analysis based on Gaussian mixture models, an useful tool for multi-class classifications, can be extended to semi-supervised learning. We consider a model selection problem for a Gaussian mixture model in semi-supervised learning. More specifically, we adopt Bayesian information criterion to determine the number of subclasses in the mixture model. Through simulations, we illustrate the usefulness of the criterion.
Bayesian Inferences for Software Reliability Models Based on Beta-Mixture Mean Value Functions
Nam, Seung-Min ; Kim, Ki-Woong ; Cho, Sin-Sup ; Yeo, In-Kwon ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 835~843
DOI : 10.5351/KJAS.2008.21.5.835
In this paper, we investigate a Bayesian inference for software reliability models based on mean value functions which take the form of the mixture of beta distribution functions. The posterior simulation via the Markov chain Monte Carlo approach is used to produce estimates of posterior properties. Its applicability is illustrated with two real data sets. We compute the predictive distribution and the marginal likelihood of various models to compare the performance of them. The model comparison results show that the model based on the beta-mixture performs better than other models.
Standardizing and Visualizing Descriptive Summaries of Election Survey Data
Huh, Myung-Hoe ; Lee, Yong-Goo ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 845~854
DOI : 10.5351/KJAS.2008.21.5.845
Survey reports of election opinions consist of numerous cross-tabulations between socio-demographic variables and political opinions including preferred candidates. Since socio-demographic variables are related each other, duplicate interpretations arise. The aim of this study is twofold: The first is to separate the effects of socio variables such as education, occupation and income from the effects of demographic variables such as region, sex and age. The second is the visualization of multiple cross-tabulations in low-dimensional space by extended doubling technique of correspondence analysis. Survey researchers may get some help from this study to present their survey results more lucidly and visually.
Comparison of Spatial Small Area Estimators Based on Neighborhood Information Systems
Kim, Jeong-Suk ; Hwang, Hee-Jin ; Shin, Key-Il ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 855~866
DOI : 10.5351/KJAS.2008.21.5.855
Recently many small area estimation methods using the lattice data analysis have been studied and known that they have good performances. In the case of using the lattice data which is mainly used for small area estimation, the choice of better neighborhood information system is very important for the efficiency of the data analysis. Recently Lee and Shin (2008) compared and analyzed some neighborhood information systems based on GIS methods. In this paper, we evaluate the effect of various neighborhood information systems which were suggested by Lee and Shin (2008). For comparison of the estimators, MSE, Coverage, Calibration, Regression methods are used. The number of unemployment in Economic Active Population Survey(2001) is used for the comparison.
Why is 90% Confidence Interval Used When Confidence Interval Approach is Used for Testing Equivalence?
Kang, Seung-Ho ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 867~873
DOI : 10.5351/KJAS.2008.21.5.867
It is a convention to use 5% significance level when a statistical test is employed for clinical data. But when a confidence interval is used for testing equivalence, 90% confidence interval has often been used. When
confidence interval is used for hypothesis testing, its significance level is often
. So it makes a confusion that the significance level is 10% if 90% confidence interval is employed for testing equivalence. In this paper I will clarify this issue by reviewing relevant papers and conducting simulation studies. I hope that it will be beneficial to statisticians in pharmaceutical companies, CROs, university hospitals.
Ordering Variables and Categories on the Mosaic Plot
Lee, Moon-Joo ; Huh, Myung-Hoe ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 875~888
DOI : 10.5351/KJAS.2008.21.5.875
Mosaic plots, proposed by Hartigan and Kleiner (1981, 1984), are very useful in visualizing categorical data. In mosaic plot, multi-way classified cell frequencies are represented by rectangles with proportional area. The plot is easy to understand while preserving the information contained in the data. Plot's appearance, however, does change substantially depending on the order of variables and the orders of categories with variable put into the plot. In this study, we propose the algorithms for ordering variables and categories of the categorical data to be explored via mosaic plots. We demonstrate our methods to three well-known datasets: Titanic, Housing and PreSex.
A Child Labour Estimator for Lahore Based on Literacy and Poverty Variables
Siddiqi, Ahmed F. ;
Korean Journal of Applied Statistics, volume 21, issue 5, 2008, Pages 889~900
DOI : 10.5351/KJAS.2008.21.5.889
Child labour is a disturbing issue for any society. It is attempted here in this article to develop an estimator to assess the numerical strength of this menace in Lahore division. A Horvitz and Thompson (1952) type of estimator is developed where weights are calculated on the basis of poverty and illiteracy to increase the sampling efficiency. Different characteristic features of this estimator, like its unbiasedness, variance, probability distribution, confidence intervals are also developed for its study from different angles.