한국 상장 중소기업의 소유구조와 생존확률

김동욱,김병곤 한국산업경제학회 2019 산업경제연구 Vol.32 No.6

The purpose of this study is conducting the survival analysis for Korean listed small and medium enterprises(SMEs). Using cross-sectional and time series data on total 12,704 Korean listed SMEs, we estimate the survival probability with the life table and Kaplan-Meier survival curve. Also we analysis the effect of ownership structure on corporate survival. The results are as follows. First, cumulative 5-year survival probability is 99.98% and cumulative 65-year survival probability is 56.97%. The survival probability until the 10th year is considerably high, and then the probability is sharply deceased. Second, when the samples are divided by three sectors of manufacturing, distribution and service, and construction, the survival probabilities are no difference until the 10th year among the sectors. But after 10th year, distribution and service sector’s survival probability is more sharply decreased, than that of manufacturing and construction sectors. Third, Korean listed SMEs ownership structure effects on corporate survival probability. As the insider ownership and the ratio of outside directors increase, the survival probability also increase. 본 연구에서는 생존분석을 응용하여 한국 상장 중소기업의 생존확률을 추정하고, 소유구조와 기업생존 간의 관계를 분석하였다. 분석기간은 1998년부터 2017년까지이다. 표본은 한국거래소 유가증권시장과 코스닥시장에 상장된 총 12,704개(연도-기업) 중소기업을 대상으로 하였다. 실증분석 결과를 요약하면 다음과 같다. 첫째, 한국 상장 중소기업의 경우 생존기간 10년까지는 비교적 높은 생존확률을 보여 기업실패 가능성이 낮은 것으로 나타났다. 그러나 10년 이후에는 생존확률이 크게 하락하면서 전형적인 계단함수 형태를 보였다. 전체 표본기업을 제조업, 유통·서비스업, 건설업 등으로 분류하여 각 업종의 생존곡선을 비교했을 때 약 10년 생존기간까지는 3개 업종의 생존확률에 큰 차이가 없는 것으로 나타났다. 그렇지만 이후 기간에서는 제조업과 건설업에 비해 유통·서비스업종의 생존확률이 급속히 하락하는 것을 발견하였다. 둘째, 한국 상장 중소기업에 있어 소유구조는 기업의 생존에 주요한 영향 요인이라는 것을 확인하였다. 내부지분율이 높은 기업은 생존 가능성이 높다는 것을 알 수 있었다. 내부지분율이 높으면 내부경영자와 외부주주 간의 정보불균형이 축소되고, 이해가 일치되어 대리인문제가 완화됨으로써 기업생존 가능성이 높아지는 것으로 이해할 수 있었다. 또한 이사회에 사외이사비율이 높을수록 기업의 생존 가능성이 높아진다는 것을 알 수 있었다. 이사회에 사외이사가 많이 포함될수록 이사회의 전문성이 높아지고, 사외이사가 경영자를 통제·감시함으로써 기업의 생존 가능성이 높아지는 것으로 이해할 수 있었다.

미사일 동시 공격에 대비한 3단계 방어 전략 성공 확률 분석

민승식(Seung-sik Min),임규창(Gyuchang Lim),오경원(Kyungwon Oh) 한국해군과학기술학회 2018 Journal of the KNST Vol.1 No.1

In this paper, we analyzed the success probability of defense strategy against simultaneous missile attacks. Assuming that the missile defense system of ally ship has constructed a three-level defense system such as SM-2, RAM and goalkeeper, and the interception success rate of the unit weapon system is calculated as 70%. If the enemy attack with less than 4 missiles, the strategy of intercepting all missiles from the first stage shows the greatest survival probability. However, if the enemy attack with more than 5 missiles, the success rate is greater that several missiles are remained for interception in the second or third stages, compare that all missiles are to intercept in the first stage. In order to predict the survival probability of simultaneous missile attacks accurately, precise data analysis is required. However, the results of this paper preview that some strategies to improve the survival rate for simultaneous missile attacks.

On the probability of ruin in a continuous risk model with delayed claims

Wei Zou,Jie-hua Xie 대한수학회 2013 대한수학회지 Vol.50 No.1

In this paper, we consider a continuous time risk model involving two types of dependent claims, namely main claims and by-claims. The by-claim is induced by the main claim and the occurrence of by-claim may be delayed depending on associated main claim amount. Using Rouche's theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent risk model from an integro-differential equations system. Then, using the Laplace transform, we derive a defective renewal equation satisfied by the survival probability. For the exponential claim sizes, we present the explicit formula for the survival probability. We also illustrate the influence of the model parameters in the dependent risk model on the survival probability by numerical examples.

ON THE PROBABILITY OF RUIN IN A CONTINUOUS RISK MODEL WITH DELAYED CLAIMS

Zou, Wei,Xie, Jie-Hua Korean Mathematical Society 2013 대한수학회지 Vol.50 No.1

In this paper, we consider a continuous time risk model involving two types of dependent claims, namely main claims and by-claims. The by-claim is induced by the main claim and the occurrence of by-claim may be delayed depending on associated main claim amount. Using Rouch$\acute{e}$'s theorem, we first derive the closed-form solution for the Laplace transform of the survival probability in the dependent risk model from an integro-differential equations system. Then, using the Laplace transform, we derive a defective renewal equation satisfied by the survival probability. For the exponential claim sizes, we present the explicit formula for the survival probability. We also illustrate the influence of the model parameters in the dependent risk model on the survival probability by numerical examples.

Machine Condition Prognostics Based on Grey Model and Survival Probability

Stenly Tangkuman,양보석,김선진 한국유체기계학회 2012 International journal of fluid machinery and syste Vol.5 No.4

Predicting the future condition of machine and assessing the remaining useful life are the center of prognostics. This paper contributes a new prognostic method based on grey model and survival probability. The first step of the method is building a normal condition model then determining the error indicator. In the second step, the survival probability value is obtained based on the error indicator. Finally, grey model coupled with one-step-ahead forecasting technique are employed in the last step. This work has developed a modified grey model in order to improve the accuracy of prediction. For evaluating the proposed method, real trending data of low methane compressor acquired from condition monitoring routine were employed.

Machine Condition Prognostics Based on Grey Model and Survival Probability

Tangkuman, Stenly,Yang, Bo-Suk,Kim, Seon-Jin Korean Society for Fluid machinery 2012 International journal of fluid machinery and syste Vol.5 No.4

Predicting the future condition of machine and assessing the remaining useful life are the center of prognostics. This paper contributes a new prognostic method based on grey model and survival probability. The first step of the method is building a normal condition model then determining the error indicator. In the second step, the survival probability value is obtained based on the error indicator. Finally, grey model coupled with one-step-ahead forecasting technique are employed in the last step. This work has developed a modified grey model in order to improve the accuracy of prediction. For evaluating the proposed method, real trending data of low methane compressor acquired from condition monitoring routine were employed.

다수의 위협과 복수의 목적지가 존재하는 임무에서 복수 무인기의 생존율 극대화를 위한 최적 경로 계획 및 분석

정성식(Seongsik Jeong),장대성(Dae-Sung Jang),박현진(Hyunjin Park),성태현(Taehyun Seong),안재명(Jaemyung Ahn) 한국항공우주학회 2015 韓國航空宇宙學會誌 Vol.43 No.6

본 연구에서는 각각 다른 목적지에서 다수의 임무를 수행해야하는 복수 무인항공기(Unmanned Aerial Vehicle, UAVs)의 경로를 결정할 때, 무인항공기의 생존가능성을 고려하여 경로를 결정하는 프레임워크를 제안하였다. 본 라우팅 문제는 무인항공기 안전과 임무 완료시간 간의 trade-off 를 나타내는 비용 매트릭스를 이용한 차량경로문제(Vehicle Routing Problem, VRP)로 정의할 수 있다. 특정위치에서 무인항공기의 위험 레벨은 감지될 확률과 격추될 확률을 고려하여 모델링 하였고, 위협 레벨과 비행거리를 고려한 두 지역간의 최소비용경로는 육각형격자(Hexagonal cells)에서 Dijkstra 알고리듬을 사용하여 결정하였다. 또한, 지속적으로 다수의 적을 감시·정찰하는 임무를 수행하는 복수 무인항공기의 최적경로를 결정하는 case study를 수행하였으며, 그 결과를 논의하였다. This paper proposes a framework to determine the routes of multiple unmanned aerial vehicles (UAVs) to conduct multiple tasks in different locations considering the survivability of the vehicles. The routing problem can be formulated as the vehicle routing problem (VRP) with different cost matrices representing the trade-off between the safety of the UAVs and the mission completion time. The threat level for a UAV at a certain location was modeled considering the detection probability and the shoot-down probability. The minimal-cost path connecting two locations considering the threat level and the flight distance was obtained using the Dijkstra algorithm in hexagonal cells. A case study for determining the optimal routes for a persistent multi-UAVs surveillance and reconnaissance missions given multiple enemy bases was conducted and its results were discussed.

A MULTIVARIATE JUMP DIFFUSION PROCESS FOR COUNTERPARTY RISK IN CDS RATES

SITI NORAFIDAH MOHD RAMLI,JIWOOK JANG 한국산업응용수학회 2015 Journal of the Korean Society for Industrial and A Vol.19 No.1

We consider counterparty risk in CDS rates. To do so, we use a multivariate jump diffusion process for obligors’ default intensity, where jumps (i.e. magnitude of contribution of primary events to default intensities) occur simultaneously and their sizes are dependent. For these simultaneous jumps and their sizes, a homogeneous Poisson process. We apply copuladependent default intensities of multivariate Cox process to derive the joint Laplace transform that provides us with joint survival/default probability and other relevant joint probabilities. For that purpose, the piecewise deterministic Markov process (PDMP) theory developed in [7] and the martingale methodology in [6] are used. We compute survival/default probability using three copulas, which are Farlie-Gumbel-Morgenstern (FGM), Gaussian and Student-t copulas, with exponential marginal distributions. We then apply the results to calculate CDS rates assuming deterministic rate of interest and recovery rate. We also conduct sensitivity analysis for the CDS rates by changing the relevant parameters and provide their figures.

Does Breast Cancer Drive the Building of Survival Probability Models among States? An Assessment of Goodness of Fit for Patient Data from SEER Registries

Khan, Hafiz,Saxena, Anshul,Perisetti, Abhilash,Rafiq, Aamrin,Gabbidon, Kemesha,Mende, Sarah,Lyuksyutova, Maria,Quesada, Kandi,Blakely, Summre,Torres, Tiffany,Afesse, Mahlet Asian Pacific Journal of Cancer Prevention 2016 Asian Pacific journal of cancer prevention Vol.17 No.12

Background: Breast cancer is a worldwide public health concern and is the most prevalent type of cancer in women in the United States. This study concerned the best fit of statistical probability models on the basis of survival times for nine state cancer registries: California, Connecticut, Georgia, Hawaii, Iowa, Michigan, New Mexico, Utah, and Washington. Materials and Methods: A probability random sampling method was applied to select and extract records of 2,000 breast cancer patients from the Surveillance Epidemiology and End Results (SEER) database for each of the nine state cancer registries used in this study. EasyFit software was utilized to identify the best probability models by using goodness of fit tests, and to estimate parameters for various statistical probability distributions that fit survival data. Results: Statistical analysis for the summary of statistics is reported for each of the states for the years 1973 to 2012. Kolmogorov-Smirnov, Anderson-Darling, and Chi-squared goodness of fit test values were used for survival data, the highest values of goodness of fit statistics being considered indicative of the best fit survival model for each state. Conclusions: It was found that California, Connecticut, Georgia, Iowa, New Mexico, and Washington followed the Burr probability distribution, while the Dagum probability distribution gave the best fit for Michigan and Utah, and Hawaii followed the Gamma probability distribution. These findings highlight differences between states through selected sociodemographic variables and also demonstrate probability modeling differences in breast cancer survival times. The results of this study can be used to guide healthcare providers and researchers for further investigations into social and environmental factors in order to reduce the occurrence of and mortality due to breast cancer.

한국 펀드 시장에서의 생존분석에 관한 연구

김성신(Sungsin Kim) 대한경영학회 2016 大韓經營學會誌 Vol.29 No.12