47 citations · 157 across the 29 of their papers we have counts for
3 papers · 1 filter
Dynamic tail risk forecasting: what do realized skewness and kurtosis add?
Giampiero Gallo, Ostap Okhrin, Giuseppe Storti
This paper compares the accuracy of tail risk forecasts with a focus on including realized skewness and kurtosis in "additive" and "multiplicative" models. Utilizing a panel of 960…
Infinitely Stochastic Micro Forecasting
Matúš Maciak, Ostap Okhrin, Michal Pešta
Forecasting costs is now a front burner in empirical economics. We propose an unconventional tool for stochastic prediction of future expenses based on the individual (micro) devel…
Dynamic and granular loss reserving with copulae
Matúš Maciak, Ostap Okhrin, Michal Pešta
An intensive research sprang up for stochastic methods in insurance during the past years. To meet all future claims rising from policies, it is requisite to quantify the outstandi…