Zobrazeno 1 - 10
of 65
pro vyhledávání: '"Tomáš Cipra"'
Autor:
Petr Vejmělka, Tomáš Cipra
Publikováno v:
Statistika: Statistics and Economy Journal, Vol 101, Iss 3, Pp 296-311 (2021)
The paper deals with recursive estimation of financial time series with conditional volatility. It surveys the recursive methodology suggested in Hendrych and Cipra (2018) and adjusts it for various alternatives of GARCH models which are usual in fin
Externí odkaz:
https://doaj.org/article/cc649e28c1294e7aa2cea380ce34f4d9
Autor:
Tomáš Cipra, Radek Henych
Publikováno v:
Statistika: Statistics and Economy Journal, Vol 99, Iss 3, Pp 259-271 (2019)
The paper deals with dynamic modeling of currency portfolios. In contrast to univariate models of exchange rates and their returns one applies multivariate time series models of the type GARCH that are capable of capturing not only conditional hetero
Externí odkaz:
https://doaj.org/article/e90c0db4ba5d4f4abd4065931aaf03cc
Autor:
Tomáš Cipra, Radek Hendrych
Publikováno v:
European Actuarial Journal.
Run-off triangles present usual instruments for claims reserve predictions. The paper suggests a relatively simple method of such predictions based on the Holt–Winters recursive formulas modified for missing data. The technique explicitly calculate
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::223031f7a24e62631a34cc4d95df5ed0
https://doi.org/10.1007/s13385-023-00348-2
https://doi.org/10.1007/s13385-023-00348-2
Autor:
Tomáš Cipra, Radek Hendrych
Publikováno v:
ASTIN Bulletin. 51:267-301
The paper solves the loss reserving problem using Kalman recursions in linear statespace models. In particular, if one orders claims data from run-off triangles to time series with missing observations, then state space formulation can be applied for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0bd690ebbc3798da1e98f1d7cac146a6
https://doi.org/10.1017/asb.2020.38
https://doi.org/10.1017/asb.2020.38
Autor:
Tomáš Cipra
Publikováno v:
Time Series in Economics and Finance ISBN: 9783030463465
Methodology VaR (value at risk) and its modifications are usual measures of risk in practice (e.g., it is one of the best used approaches to set up capital requirements when regulating capital adequacy in so-called internal models of banks). More gen
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ae9b61c72ad3300fbfe7ef09c5f0e8de
https://doi.org/10.1007/978-3-030-46347-2_11
https://doi.org/10.1007/978-3-030-46347-2_11
Autor:
Tomáš Cipra, Radek Hendrych
Publikováno v:
Kybernetika. :1138-1155
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d4421f703114daa134c187baecb3d22c
https://doi.org/10.14736/kyb-2018-6-1138
https://doi.org/10.14736/kyb-2018-6-1138
Autor:
Tomáš Cipra, Radek Hendrych
Publikováno v:
Risk Management. 21:123-151
The paper deals with the construction of required capital to cover the default risk in portfolios with a smaller number of heterogeneous counterparties. The typical application is counterparty default risk of reinsurance (e.g., in Solvency II), but o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ae3bb5970500c9221575e57979f94b39
https://doi.org/10.1057/s41283-018-0045-0
https://doi.org/10.1057/s41283-018-0045-0
Autor:
Tomáš Cipra, Radek Hendrych
Publikováno v:
Communications in Statistics - Simulation and Computation. 47:315-328
The generalized autoregressive conditional heteroscedasticity (GARCH) processes are frequently used to investigate and model financial returns. They are routinely estimated by computationally compl...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b9338eeb445085368fc2b047b7a47623
https://doi.org/10.1080/03610918.2015.1053924
https://doi.org/10.1080/03610918.2015.1053924
Autor:
Tomáš Cipra, Radek Hendrych
Publikováno v:
Prague Economic Papers. 26:722-743
The contribution deals with the risk regulation in the framework of Solvency II, which is the new regulatory system in insurance valid in majority of the EU countries since 2016. It concentrates on the underwriting risk (in particular, on the reserve
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b5257ec3462134a99baa57ef92af47da
https://doi.org/10.18267/j.pep.638
https://doi.org/10.18267/j.pep.638
Autor:
Tomáš Cipra, Radek Hendrych
Publikováno v:
European Actuarial Journal. 7:257-276
The paper introduces and discusses a complex econometric model of non-life technical provisions based on the Czech non-life insurance market data. Selected economic-actuarial relations among given insurance variables are described by means of the dyn
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2ce712834f05af22ee1dedad9062ccc7
https://doi.org/10.1007/s13385-017-0148-0
https://doi.org/10.1007/s13385-017-0148-0