전임교수
송성주 (Song, Seongjoo)
- 직위
- Professor
- 전화번호
- +82-2-3290-2244
- 연구분야
- Financial/Actuarial Statistics
- 사무실
- 정경관 511호 (511 CPSE Bldg.)
- 학위
- Ph.D
- 홈페이지
- http://faculty.korea.ac.kr/sjsong
- 이메일
- sjsong@korea.ac.kr
학력
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Ph.D. in Statistics, 2001, The University of Chicago, Chicago, IL, U.S.A. M.S. in Statistics, 1995, Seoul National University, Seoul, Korea B.S. in Computer Science and Statistics, 1993, Seoul National University, Seoul, Korea
경력 및 수상
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March 2012 ~ present, Professor of Statistics, Korea University March 2008 ~ February 2012, Associate professor of Statistics, Korea University August 2006 ~ February 2008, Assistant professor of Statistics, University of Seoul August 2001 ~ May 2006, Assistant professor of Statistics, Purdue University Spring 1998 ~ summer 1999, Instructor, University of Chicago Fall 1995 ~ spring 2001, Course Assistant, University of Chicago 1994, Course Assistant, Seoul National University 2009 ~ 2020: 석탑강의상 10회 July 2009: 제 19회 과학기술우수논문상, 한국과학기술총연합회 2005: Assistant professor undergraduate teaching award, Purdue University 한국리스크관리학회-코리안리 기후리스크TF위원장 2023.9~ 리스크관리연구 편집위원장 2023.4~ 보험학회지 편집위원 2022.6~ 경제분석 편집위원 2022.4~ 한국리스크관리학회 이사, 2022.4~ 우체국보험 분쟁조정위원회 위원, 2023.4~ 한국거래소 CCP리스크관리위원회 위원, 2021.11~ 한국보험학회 이사, 2019.6~ 한국보험학회 상임이사, 2022.6~ 2023.5 Communications for Statistical Applications and Methods 편집위원장, 2018.1~ 2022.12 한국통계학회 편집이사, 2018.1~ 2022.12 한국리스크관리학회 보험데이터위원장, 2022.4~2023.3 한국보험학회 손해보험위원장, 2021.6~ 2022.5 한국보험학회 YIS위원장, 2019.6~ 2021.5 한국은행 경제통계국 자문교수, 2018.6~ 2021.5 고려대학교 통계연구소장, 2018.8~ 2020.7 고려대학교 정책대학원 데이터통계학과 주임교수, 2018.8~ 2020.7 고려대학교 통계학과장, 2016.8~ 2018.7 응용통계연구 편집위원, 2014~2018
단행본
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• 수리통계학 5판 (2020, 송성주, 전명식) 자유아카데미 • 기초통계학 (2017, 송성주, 전명식) 자유아카데미 • 수리통계학 4판 (2015, 송성주, 전명식) 자유아카데미 • (번역) 수리금융: 금융공학의 이해 (2014, 송종우, 송성주) 자유아카데미
연구논문
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국제 학술지 • W. Choi, S.Jang, C., Kim, S., Park, C., Park, S., and Song, S. (2023)+, "Return prediction by machine learning for the Korean stock market", accepted for the publication in the Journal of the Korean Statistical Society. • Lee, H., Lee, G., and Song, S. (2023), "Min-max multi-step barrier options and their variants", North American Journal of Economics and Finance, vol. 67, 101944. • Kim, S. and Song, S. (2023), "Cyber risk measurement via Loss Distribution Approach and GARCH model", Communications of Statistical Application and Methods, vol. 30, No. 1, pp 75--94. • Lee, H., Song, S., and Lee, G. (2023), "Insurance guaranty premiums and exchange options", Mathematics and Financial Economics, vol. 17, pp 49--77. • Lee, H., Lee, G., and Song, S. (2022), "Multi-step reflection principle and barrier options", Journal of Futures Markets, vol. 42, No. 4, pp 692-721. • Kim, M., and Song, S. (2022), "Evaluation of interest rate-linked DLSs", Communications of Statistical Application and Methods, vol. 29, No. 1, pp 85--101. • Byun, K., and Song, S. (2021), "Value at Risk of portfolios using copulas", Communications of Statistical Application and Methods, vol. 28, No. 1, pp 59--79. • Lee, H., Kim, E., and Song, S. (2020), "Pricing two-asset alternating barrier options with icicles and their variations", Journal of the Korean Statistical Society, vol. 49, No. 2, pp 626--672. • Yoon, J., Kim, J., and Song, S. (2020), "Comparison of parameter estimation methods for normal inverse Gaussian distribution", Communications of Statistical Application and Methods, vol. 27, No. 1, pp 97--108. • Lee, H., Ko, B., and Song, S.(2019), "Valuing step barrier options and their icicled variations", North American Journal of Economics and Finance, Vol. 49, pp 396--411. • Lee, Y., Song, S., and Lee, E-K.(2014), “The delta expansion for the transition density of diffusion models”, Journal of Econometrics, Vol. 178, pp 694-705. • Song, S. and Song, J. (2013), “A Note on the History of the Gambler’s Ruin Problem”, Communications for Statistical Applications and Methods, Vol. 20, No. 2, pp157-168. • Song, S., Jeong, J. and Song, J.(2012), "Asymptotic option pricing under pure-jump Levy processes via nonlinear regression", Journal of the Korean Statistical Society, Vol. 40, pp 227-238. • Song, J. and Song, S.(2011), "A quantile estimation for massive data with generalized Pareto distribution", Computational Statistics and Data Analysis, Vol. 56, pp 143-150. • Song, S. (2010), "Levy density estimation via information projection onto wavelet subspaces", Statistics and Probability Letters, Vol. 80, pp 1623-1632. • Song, S, Nicolae, D. and Song, J. (2010), "Estimating the mixing proportion in a semiparametric mixture model", Computational Statistics and Data Analysis, Vol. 54, pp 2276-2283. • Song, S, and Song, J. (2008), "Asymptotic Option Price with Bounded Loss", Journal of the Korean Statistical Society, Vol. 37, No. 4, pp 323-334. • Lee, K., and Song, S. (2007), "Insiders' hedging in a jump-diffusion model", Quantitative Finance, Vol. 7, No. 5, pp 537-545. • Gill, R., Lee, K., and Song, S. (2007), "Computation of estimates in segmented regression and a liquidity effect model", Computational Statistics and Data Analysis, Vol. 51, No. 12, pp 6459-6475. • Song, S., and Lee, K. (2007), "A Note on convergence of an approximate hedging portfolio with liquidity risk", Stochastics : An international journal of probability and stochastic processes, (formerly stochastics and stochastics reports) Vol. 79, No. 5, pp 419-429. • Song, S. (2007), "Asymptotic Option Pricing Under a Pure Jump Process", Journal of the Korean Statistical Society, Vol. 36, No. 2, pp237-256. • Song, S., and Mykland, P. A. (2006), "An Asymptotic Decomposition of Hedging Errors", Journal of the Korean Statistical Society, Vol, 35, No. 2, pp115-142. 국내 학술지 • 김용환, 송성주 (2021), “기계학습을 활용한 주식 가격의 이동 방향 예측", 응용통계연구, 34(5), pp 1-15. • 이명준, 조경상, 송성주 (2021), “예측모형 잔차의 다변량 분포 적합을 통한 미세먼지 리스크 관리", 리스크관리연구, 32(3), pp 147-190. • 박상균, 송성주 (2019), “손해보험사의 재보험료 산출을 위한 손해분포의 적합", 보험학회지, 119, pp 101-138. • 선제우, 윤정연, 송성주 (2018), “포트폴리오 리스크 측정을 위한 Copula-normal inverse Gaussian 모형", 리스크관리연구, 29(1), pp 113-148. • 윤정연, 승지수, 송성주 (2017), “Numerical studies on approximate option prices", the Korean Journal of Applied Statistics, vol. 30(2), pp 243-257. • 윤정연, 송성주 (2016), “A numerical study of adjusted parameter estimation in normal inverse Gaussian distribution”, The Korean Journal of Applied Statistics, 29(4), pp 741-752. • 이재중, 송성주 (2016), “Comparison of methods of approximating option prices with Variance gamma processes”, The Korean Journal of Applied Statistics, 29(1), pp 1-12. • 이지은, 송성주 (2016), “모의실험을 통한 2015년 공무원 연금제도 개정안의 효과분석”, Journal of the Korean Data and Information Science Society, 27(1), pp 19-32. • 장철원, 송성주 (2015), “공무원 연금재정의 파산확률과 임금피크제”, Journal of the Korean Data Analysis Society, Vol. 17, No. 2, pp 687-695. • Kang, M., Kim, J., Song, J., and Song, S. (2013), “Value at Risk with Peaks over Threshold: Comparison Study of Parameter Estimation”, The Korean Journal of Applied Statistics, Vol. 26, No. 3, pp 483-494. • 김치훈, 송성주 (2012), “블랙-숄즈 모형과 Variance Gamma 모형을 이용한 지수연동예금 수익률 예상”, Journal of the Korean Data Analysis Society, Vol. 14, No. 5, pp 2463-2475. • 이현의, 송성주 (2012), “Variance Gamma과정을 이용한 옵션 가격의 결정 연구", 응용통계연구, Vol. 25, No. 1, pp 55-66. • 김태우, 송성주 (2011), “NIG분포와 VG분포를 이용한 Value-at-Risk의 추정”, Journal of the Korean Data Analysis Society, Vol. 13, No. 4, pp 1775-1788. • 이대수, 송성주 (2011), "Value at Risk의 사후검증을 통한 다변량시계열자료의 차원축소 방법의 비교: 사례분석", 응용통계연구, Vol. 24, No. 4, pp 1-11. • 권인영, 송성주 (2010), "수익률 기반 스타일 분석을 이용한 국내 주식형 펀드의 스타일 지속성 검증", 응용통계연구, Vol. 23, No. 5, pp 783-797. • Song, S. and Song, J. (2010), "Option pricing with Bounded expected loss under Variance-gamma processes", 한국통계학회 논문집, Vol. 17, No. 4, pp 575-589. • 김건소, 송성주(2010), "최신 개정안을 적용한 공무원연금의 파산확률 고찰'', Journal of the Korean Data Analysis Society, Vol. 12, No.1, pp319-332. • 김주유, 송성주(2009), "공무원 연금제도에 대한 확률적 고찰", 한국통계학회 논문집, Vol. 16, No.4, pp557-572 • Song, S., and Song, J. (2008), "Nonlinear regression for an asymptotic option price", the Korean Journal of Applied Statistics, Vol.21, No. 5, pp755-763.