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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 23, Issue 6 - Dec 2010
Volume 23, Issue 5 - Oct 2010
Volume 23, Issue 4 - Aug 2010
Volume 23, Issue 3 - Jun 2010
Volume 23, Issue 2 - Apr 2010
Volume 23, Issue 1 - Feb 2010
Selecting the target year
On Pricing Equity-Linked Investment Products with a Threshold Expense Structure
Bae, Tae-Han ; Ko, Bang-Won ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 621~633
DOI : 10.5351/KJAS.2010.23.4.621
This paper considers a certain expense structure where a vendor of equity-linked investment product will collect its expenses continuously from the investor's account whenever the investment performance exceeds a certain threshold level. Under the Black-Scholes framework, we derive compact convolution formulas for evaluating the total expenses to be collected during the investment period by using the joint Laplace transform of the Brownian motion and its excursion time. We provide numerical examples for illustration.
Policyholder Surrender Behaviors under Extreme Financial Conditions
Kim, Chang-Ki ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 635~650
DOI : 10.5351/KJAS.2010.23.4.635
We model surrender rates with a few explanatory variables such as the difference between reference marke rates and product crediting rates, the policy age since the contract was issued, unemployment rates, economy growth rates, and seasonal effects using logit function. We investigate the policy holder surrender behaviors of US single premium deferred annuities(SPDA) and Korean interest indexed annuities under extreme financial conditions.
Estimation of VaR and Expected Shortfall for Stock Returns
Kim, Ji-Hyun ; Park, Hwa-Young ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 651~668
DOI : 10.5351/KJAS.2010.23.4.651
Various estimators of two risk measures of a specific financial portfolio, Value-at-Risk and Expected Shortfall, are compared for each case of 1-day and 10-day horizons. We use the Korea Composite Stock Price Index data of 20-year period including the year 2008 of the global financial crisis. Indexes of five foreign stock markets are also used for the empirical comparison study. The estimator considering both the heavy tail of loss distribution and the conditional heteroscedasticity of time series is of main concern, while other standard and new estimators are considered too. We investigate which estimator is best for the Korean stock market and which one shows the best overall performance.
Value at Risk Forecasting Based on Quantile Regression for GARCH Models
Lee, Sang-Yeol ; Noh, Jung-Sik ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 669~681
DOI : 10.5351/KJAS.2010.23.4.669
Value-at-Risk(VaR) is an important part of risk management in the financial industry. This paper present a VaR forecasting for financial time series based on the quantile regression for GARCH models recently developed by Lee and Noh (2009). The proposed VaR forecasting features the direct conditional quantile estimation for GARCH models that is well connected with the model parameters. Empirical performance is measured by several backtesting procedures, and is reported in comparison with existing methods using sample quantiles.
An Analysis of Categorical Time Series Driven by Clipping GARCH Processes
Choi, M.S. ; Baek, J.S. ; Hwan, S.Y. ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 683~692
DOI : 10.5351/KJAS.2010.23.4.683
This short article is concerned with a categorical time series obtained after clipping a heteroscedastic GARCH process. Estimation methods are discussed for the model parameters appearing both in the original process and in the resulting binary time series from a clipping (cf. Zhen and Basawa, 2009). Assuming AR-GARCH model for heteroscedastic time series, three data sets from Korean stock market are analyzed and illustrated with applications to calculating certain probabilities associated with the AR-GARCH process.
Statistical Interaction for Major Gene Combinations
Lee, Jea-Young ; Lee, Yong-Won ; Choi, Young-Jin ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 693~703
DOI : 10.5351/KJAS.2010.23.4.693
Diseases of human or economical traits of cattles are occured by interaction of genes. We introduce expanded multifactor dimensionality reduction(E-MDR), dummy multifactor dimensionality reduction(D-MDR) and SNPHarvester which are developed to find interaction of genes. We will select interaction of outstanding gene combinations and select final best genotype groups.
Predicting Survival of DLBCL Patients in Pathway-Based Microarray Analysis
Lee, Kwang-Hyun ; Lee, Sun-Ho ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 705~713
DOI : 10.5351/KJAS.2010.23.4.705
Predicting survival from microarray data is not easy due to the problem of high dimensionality of data and the existence of censored observations. Also the limitation of individual gene analysis causes the shift of focus to the level of gene sets with functionally related genes. For developing a survival prediction model based on pathway information, the methods for selecting a supergene using principal component analysis and testing its significance for each pathway are discussed. Besides, the performance of gene filtering is compared.
Statistical Analysis of Recidivism Data Using Frailty Effect
Kim, Yang-Jin ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 715~724
DOI : 10.5351/KJAS.2010.23.4.715
Recurrent event data occurs when a subject experience the event of interest several times and has been found in biomedical studies, sociology and engineering. Several diverse approaches have been applied to analyze the recurrent events (Cook and Lawless, 2007). In this study, we analyzed the YTOP(Young Traffic Offenders Program) dataset which consists of 192 drivers with conviction dates by speeding violation and traffic rule violation. We consider a subject-specific effect, frailty, to reflect the individual's driving behavior and extend to time-varying frailty effect. Another feature of this study is about the redefinition of risk set. During the study, subject may be under suspension and this period is regarded as non-risk period. Thus the risk variables are reformatted according to suspension and termination time.
Law and Statistics: Education, Applications and Research
Huh, Myung-Hoe ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 725~738
DOI : 10.5351/KJAS.2010.23.4.725
As an effort to reform legal system of Korea, the law school system is introduced in March 2009. Thus the law culture of Korea is expected to change drastically for diversification, specialization and globalization. With such social trend as background, the author writes on the pre-law and law school courses "Law and Statistics" which were offered at Korea University. Also, he reviews two legal cases and summarizes two research results: DNA database controversies and a sentence standardization model.
Computing the Repurchase Index Based on Statistical Modeling
Bae, Wha-Soo ; Jung, Woo-Seok ; Lee, Young-Bae ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 739~745
DOI : 10.5351/KJAS.2010.23.4.739
This paper computes the repurchase index based on statistical modeling. Using the transaction record of a certain product, the repurchase index is obtained by fitting the Poisson regression model. The customers are classified into 5 groups based on the index giving the information about the propensity to repurchase.
Markov Modeling of Multiclass Loss Systems
Na, Seong-Ryong ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 747~757
DOI : 10.5351/KJAS.2010.23.4.747
This paper studies the Markov modeling of multiclass loss systems supporting several kinds of customers. The concept of unit for loss systems is introduced and the method of equal probability allocation among units is especially considered. Equilibrium equations and limiting distribution of the loss systems are studied and loss probabilities are computed. We analyze an example of a simple system to gain an insight about general systems.
New Calibration Methods with Asymmetric Data
Kim, Sung-Su ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 759~765
DOI : 10.5351/KJAS.2010.23.4.759
In this paper, two new inverse regression methods are introduced. One is a distance based method, and the other is a likelihood based method. While a model is fitted by minimizing the sum of squared prediction errors of y's and x's in the classical and inverse methods, respectively. In the new distance based method, we simultaneously minimize the sum of both squared prediction errors. In the likelihood based method, we propose an inverse regression with Arnold-Beaver Skew Normal(ABSN) error distribution. Using the cross validation method with an asymmetric real data set, two new and two existing methods are studied based on the relative prediction bias(RBP) criteria.
Contribution of Principal Components Based on the Broken-Stick Model
Kang, Y.J. ; Byun, J.H. ; Ki, K.Y. ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 767~776
DOI : 10.5351/KJAS.2010.23.4.767
Frontier (1976) suggested a criterion based on the expected length of ordered random intervals under the Broken-stick model (Barton and David, 1956) to determine the optimal number of principal components retained. It is considered to be one of the methods that provide the most consistent simulation results (Jackson, 1993). This study is aimed to propose a method using the distribution of ordered random intervals to evaluate the contribution of principal components. We also examine several types of Gini indices along with the corresponding Lorenz curves to visualize the overall equivalence of those contributions.
The Eccentric Properties of the Chi-Squared Test with Yates' Continuity Correction in Extremely Unbalanced 2×2 Contingency Table
Kang, Seung-Ho ; Kwon, Tae-Hyuk ;
Korean Journal of Applied Statistics, volume 23, issue 4, 2010, Pages 777~781
DOI : 10.5351/KJAS.2010.23.4.777
Yates' continuity correction of the chi-squared test for testing the homogeneity of two binomial proportions in
contingency tables is developed to lower the value of the test statistic slightly. The effect of continuity correction is expected to decrease as the sample size increases. However, in extremely unbalanced
contingency tables, we find some cases where the effect of continuity correction is eccentric and is larger than expected. In such cases, we conclude that the chi-squared test with continuity correction should not be employed as a test statistic in both asymptotic tests and exact tests.