8 citations · 8 across the 5 of their papers we have counts for
6 papers
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…
Changepoint in Linear Relations
Michal Pešta
Linear relations, containing measurement errors in input and output data, are considered. Parameters of these so-called errors-in-variables models can change at some unknown moment…
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…
Change Point in Panel Data with Small Fixed Panel Size: Ratio and Non-Ratio Test Statistics
Barbora Peštová, Michal Pešta
The main goal is to develop and, consequently, compare stochastic methods for detection whether a structural change in panel data occurred at some unknown time or not. Panel data o…
Asymptotics for weakly dependent errors-in-variables
Michal Pešta
Linear relations, containing measurement errors in input and output data, are taken into account in this paper. Parameters of these so-called errors-in-variables (EIV) models can b…
Modeling Dependencies in Claims Reserving with GEE
Šárka Hudecová, Michal Pešta
A common approach to the claims reserving problem is based on generalized linear models (GLM). Within this framework, the claims in different origin and development years are assum…