화재보험 손해액에 대한 극단치이론과 재보험전략

김무환 ( Moohwan Kim ),권순일 ( S. I. Kwon ) 한국리스크관리학회 2016 리스크 管理硏究 Vol.27 No.4

안정적 보험경영을 위해서는 거대손해에 대한 발생빈도와 심도를 추정하고, 위험에 상응하는 보험가격을 적용하는 것은 무엇보다 중요하다. 하지만, 대상기간을 확장하는 경우에도 합리적 가격결정에 필요한 신뢰성 있는 관찰이 어려울 수 있으며, 또한 이는 최근의 경제적 가치가 집중되는 일반적 현상을 반영하는 데는 한계가 있다. 따라서 거대 손해 구간에 대하여 적정 보험가격을 결정하고, 해당 위험의 보유 또는 재보험 출재를 결정하기 위해서는 손해심도 분포를 이용하여야 한다. 이를 위해, 본 논문에서는 화재보험 손해액 자료를 가지고 분포의 꼬리 부분을 모형화하기 위해 극단치이론을 이용한다. 분석 결과에 의하면, 화재보험 손해액 자료는 독립적이고 동질적인 분포를 따르는 것으로 나타났고, 일반화된 파레토 분포가 가장 적합한 것으로 드러났다. 고액구간에 대한 재보험가격 추정결과, 임계치가 높을수록 순보험료가 하락하여, 보험실무와도 부합하는 것으로 나타난다. 본 논문의 결과와 분석기법을 활용하여 안정적이고 효율적인 재보험 전략을 수립할 수 있을 것으로 기대된다. For the stable insurance business, insurance companies should focus on the frequency and severity of catastrophic event and set up the strategy for diversification of risk. However, even though the span of observation is extended, it is hard to obtain reliable observations necessary to compute the reasonable insurance premium. Moreover, it has limitation in reflecting the fact that economic values are recently concentrated. Therefore, an insurance company must use the severity distribution of loss to determine appropriate insurance price, the amount of risk retention and the risk transfer strategy. For this purpose, we adopt the extreme value theory to model the tail risk using fire insurance loss data. According to the result of the analysis, the dataset in question is independently and identically distributed and is fitted well with Generalized Pareto distribution. The result shows that the higher the threshold is, the lower the net premiums get. Using the resulting outcome and analytical tools employed in this paper, insurance companies are expected to employ its risk transferring strategy.

한국 금시장에서 선물계약의 헤지 효과성

김무환 ( Moohwan Kim ) 한국경제통상학회(구 한국경상학회,한국국민경제학회) 2018 경제연구 Vol.36 No.3

본 연구는 한국에서 금 투자 시 금 선물의 최적헤지비율을 계산하고 그 헤지 효과성을 평가 한다. 최적헤지비율을 구하기 위해서 금현물과 금선물에 대한 주별 자료를 가지고 ECM, CCC 및 DCC GARCH모형 등을 포함하는 여러 방법을 적용한다. 헤지 효과를 판단하기 위해 분산 최소화 기준을 가지고 내표본과 외표본 분석을 시도한다. 주어진 자료는 2006년부터 2015년까지 9년에 걸친 주별 자료의 금선물 및 금현물 가격을 사용한다. 이러한 분석은 더 나은 헤지 전략 수립과 분산투자를 위한 포트폴리오 구성에 도움이 된다. 분석 결과에 의하면 전체 표본을 대상으로 할 경우 조건부 변동성 모형(즉, CCC 및 DCC GARCH모형)보다 최소자승법에 의한 전통적인 헤지 모형(ECM)의 분산 감소율이 가장 높다. 한편 외표본에 기반한 분석 결과는 DCC GARCH모형의 분산 감소율이 여타 모형에 비해 더 높다. 하지만 전반적으로 한국 금현물과 금선물시장의 연결고리 미약하고 거래빈도의 부족으로 인해 조건부 변동성 모형의 성과가 두드러지게 나타나지는 않는다. The purpose of this study is to calculate the optimal hedge ratio of gold futures for gold investment in Korea and to evaluate the hedging effectiveness. To obtain optimal hedge ratios, we apply various methods including OLS, CCC and DCC GARCH and copula models with daily data on gold spot and futures. In order to evaluate the hedging effectiveness, we try to compare the results for in-sample and out-of-sample forecasting with the variance minimization principle. The data includes gold futures and gold spot prices for the nine-year period from 2006 to 2015 on the daily basis. This analysis helps establish better hedging strategies and a portfolio for diversified investment. The analysis results show that compared to the conditional volatility model (i.e., CCC and DCC GARCH model), the variance reduction of the traditional hedge model (i.e., ECM model) by the least squares method is the highest when the whole sample is applied. On the other hand, according to the analysis results based on the out-of-sample, the variance reduction rate of the DCC GARCH model is higher than the other models. However, the performance of the conditional volatility model does not appear to be significant due to the weak link between the Gold spots and futures markets and the insufficiency of the relative frequency of trading.

Closed-form Solution을 이용한 복수 감쇠극을 갖는 대역통과 필터 설계

김무환(Moohwan Kim),이범선(Bomsun Lee) 한국통신학회 2002 한국통신학회 학술대회논문집 Vol.2002 No.7

KOSPI지수와 원/달러환율의 상호 의존구조

김무환 ( Moohwan Kim ) 한국경제통상학회(구 한국경상학회,한국국민경제학회) 2016 경제연구 Vol.34 No.4

본 논문은 실질 주가지수 수익률과 실질 원/미국달러 환율 수익률 사이의 상호 의존 구조를 분석한다. 2000년 1월부터 2015년 12월까지의 월별 자료를 이용하여 두 변수 사이의 의존관계를 파악하기 위해 코퓰라 함수를 추정한다. 두 변수 사이의 비대칭적 꼬리 부분 의존 구조를 설명하기 위해 한국과 미국의 금리스프레드와 거시경제변수를 이용한다. 분석 결과에 따르면 실질 주식수익률과 실질 원/미국달러 환율수익률 사이의 꼬리 부분 의존 구조가 대칭적이긴 하나 의존성이 다소 미약한 것으로 나타났다. AIC(Akaike information criterion)와 BIC(Bayesian information criterion)의 코퓰라 모형 선정 기준에 의하면 정태 분석의 경우 Student-t 코퓰라가 주어진 자료를 잘 묘사하는 것으로 나타났으며 시점 이동간 코퓰라 모형을 적용했을 때는 시점 이동 SJC 모형이 적합한 것으로 드러났다. 앞선 결과가 시사하는 바는 첫째, 실질 주가지수 수익률과 실질 원/미국달러 환율수익률 사이의 꼬리 부분 의존 구조는 점근적으로 독립적이라는 뜻이며, 둘째, 정태적인 코퓰라 모형보다는 시점 이동 코퓰라 모형이 두 변수 간 의존 구조를 설명하는 데 유용하다는 것이다. This paper analyzes the dependence structure between the real KOSPI index returns and the real WON/USD exchange rate returns. To do so, we estimate copula function using the monthly data from 2000 January to 2015 December. Asymmetric tail behavior may be explained by interest rates spread between Korea and America, and some macro-economic variables. According to the analysis results, the dependence structure in the tail behavior of two variables of interest seems to be symmetric and not strong. Our results from AIC amd BIC criteria show that in the case of static analysis, student-t copula fits well to the tail dependence and for the dynamic case, SJC copula is appropriate to describe the data. The results suggest the following things: first, the tail dependence between the real stock returns and the real exchange rate returns appears to be independent, second, the dynamic copula approach is more appropriate than the static copula function to explain the dependence structure of the associated two variables.

중성자 영상법을 이용한 PEMFC에서 유동 방향과 차압에 따른 성능 및 물 분포에 관한 실험적 연구

김태주(TaeJoo Kim),김종록(Jongrok Kim),심철무(CheulMuu Sim),김무환(MooHwan Kim) 대한기계학회 2008 대한기계학회 춘추학술대회 Vol.2008 No.5

In this investigation, we prepared a 3-parallel serpentine single PEMFC which has the active area of 25㎠ and the flow channel cross section of 1×1㎜. Distribution and transport of water in an operating PEMFC were observed by varying the flow directions (co-current and counter-current) in each channel and the differential pressures (100, 200, 300 ㎪) applied between the anode and cathode channels. This investigation was performed at the neutron imaging facility at the NIST. It has been observed that the differential pressure affects the performance of PEMFC while the flow direction affects spatial distribution of water when the neutron images were analyzed for several different operating conditions. More specifically, the amount of water production in the fuel cell increased as the partial pressure increases at a given current density and the water production was more uniform for the counter current than the co-current case. It is shown that the neutron imaging technique is a powerful tool to visualize the PEMFC.

X-ray 현미경을 이용한 GDL(가스확산층)에서 물의 거동 및 분포에 관한 실험적 연구

김종록(Jongrok Kim),김태주(TaeJoo Kim),김무환(MooHwan Kim) 대한기계학회 2008 대한기계학회 춘추학술대회 Vol.2008 No.5

The water management is one of the most critical issues for the PEMFC commercialization. In order to make a proper scheme for water management, the information of behavior of water is very important. So, the X-ray imaging has joined the canon of diagnostic methods for the fuel cell research and is applied worldwide with qualitative and quantitative results. In this study, we did experimental study about behavior of water in GDL using X-ray microscope in Pohang Accelerator Laboratory. For this aim, we prepared a simple experimental model which has two channels on both face of GDL. The behavior of water in the GDL were observed as functions of the thickness of compressed GDL and the pressure of injected water on a channel. X-ray microscope shows the water in GDL had different behavior for each thickness of GDL and each pressure of injected water on steady and unsteady conditions. The water easily permeated to GDL when compressed GDL was thick and pressure of injected water was high.

중성자 영상법을 이용한 PEMFC 에서의 물 배출 특성에 관한 실험적 연구

김태주(TaeJoo Kim),김종록(JongRok Kim),김무환(MooHwan Kim),심철무(CheulMuu Sim),이승욱(SeungWoo Lee),전진수(JinSoo Jeon) 대한기계학회 2006 대한기계학회 춘추학술대회 Vol.2006 No.6

The neutron imaging technique was used to investigate the water discharge characteristics at PEMFC. The feasibility test apparatus was consisted of pressurized air and water in order to simulate the actual operating PEMFC. The feasibility tests have been performed at two kinds of flow field type (1-parallel and 3-parallel) with 100 ㎠ active area and different flow rate (200, 400, and 850 ㏄/min). Although the water and pressurized air was supplied only into cathode, the water movement into anode was found by neutron image. The water at cathode is well discharged, but except the 850 ㏄/min at 3-parallel flow field type, the water at the anode was not removed by pressurized air. The total water volume variations at each condition were calculated from the neutron images. This technique can be used for detailed studies on water distribution and transport in the PEMFC.

중성자속 및 선형 흡수 계수 보정을 고려한 중성자영상법을 이용한 PEMFC 내의 물 배출 특성에 관한 실험적 연구

김태주(TaeJoo Kim),김종록(JongRok Kim),김무환(MooHwan Kim),심철무(CheulMuu Sim) 대한기계학회 2007 대한기계학회 춘추학술대회 Vol.2007 No.5

The neutron imaging technique was used to investigate the water discharge characteristics at PEMFC. Prior to investigation of water discharge characteristics, the linear attenuation coefficient for water at Neutron Radiography Facility (NRF) was calibrated. The feasibility test apparatus was consisted of pressurized air and water in order to simulate the actual operating PEMFC. The feasibility tests have been performed at 1-parallel serpentine type with 100 ㎠ active area and different air flow rate (1, 2, and 4 lpm). The total water volume variations at each condition were calculated from the neutron images. The water at channel is well discharged as soon as supplying the pressurized air into the PEMFC. However, because the water at MEA isn’t removed the total water volume is constant after 150. Therefore more effective method is needed in order to discharge water at MEA, and the neutron imaging technique is helpful for it.

하나로(HANARO) NRF 와 중성자 영상법을 이용한 PEM fuel cells 내의 물 배출 특성에 관한 연구

김태주(TaeJoo Kim),김종록(JongRok Kim),심철무(CheulMuu Sim),김무환(MooHwan Kim) 대한기계학회 2007 대한기계학회 춘추학술대회 Vol.2007 No.10

An investigation into the water discharge characteristics of PEM fuel cells is carried out by using a feasibility test apparatus and the Neutron Radiography Facility (NRF) at HANARO. The feasibility test apparatus was composed of a distilled water supply line, a compressed air supply line, heating systems and single PEM fuel cells which was a 1-parallel serpentine type with a 100 ㎠ active area. Three kinds of methods were used; compressed air supply only, heating only, and a combination of the methods of a compressed air supply and heating, respectively. The resultant water discharge characteristics are different according to the applied methods. The compressed air supply only is suitable for removing the water at a flow field and a heating only is suitable for water at the MEA. Therefore in order to remove all the water at PEM fuel cells, the combination method is needed at the moment.

중성자 영상법을 이용한 PEM Fuel Cell 내의 물 유동 및 분포 가시화

김태주(TaeJoo Kim),정용미(YongMi Jung),김무환(MooHwan Kim),M. Arif,심철무(CheulMuu Sim),이승욱(SeungWoo Lee),전진수(JinSu Jeon) 대한기계학회 2005 대한기계학회 춘추학술대회 Vol.2005 No.5

The neutron imaging technique was used to visualize the water movement and distribution at the actual operating PEM Fuel Cells. At this study, we changed the inlet humidity conditions (50 and 100 %) and output power to check the effect of water movement and distribution at the PEM Fuel Cell.