3 papers
econ.EM2019
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…
math.ST2019
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…
econ.EM2018
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…