Kristyna Vltavska | kristyna.vltavska@vse.cz | VSE | - | - | - | 29th August | 2nd September | Yes | Yes | No |
Samuel Flimmel | samuel.flimmel@vse.cz | University of Economics Prague | COMPARISON OF ROBUST MOMENT METHODS FOR PARAMATER ESTIMATION IN AUTOREGRESSIVE PROCESS | Autoregressive process AR(p) is very popular and frequently used when working with time series, especially in financial mathematics. One of the requirements for working with AR(p) is the ability to estimate parameters of the model correctly. However, we currently often deal with big data, which can lead, among others, to a higher probability of outlier presence. As it is known, standard methods for parameter estimation are often not able to work correctly with outliers, and, consequently, standard estimates are usually biased. Therefore, working with sufficiently robust methods has increased in importance. In this paper, we present several robust moment methods for parameter estimation in AR(p) and we compare them using a simulation study. Outliers in the simulations are modelled using two most frequently used outlier models: additive outlier (AO) and innovative outlier (IO). For the simulation study, we use the R statistical software. | Jan Fojtík, Ivana Malá, Jiří Procházka | 29th August | 2nd September | Yes | Yes | No |
Pavol Kráľ | pavol.kral@umb.sk | Faculty of Economics, Matej Bel University in Banská Bystrica, Slovakia | Application of cluster analysis to identification of innovation categories of Slovak small and medium enterprises | When studying key factors and barriers determining innovation activities of enterprises, we need to identify unique categories of enterprises which provides us with a good representation of innovation focused behavior of enterprises. Based on their innovation activities, enterprises are usually classified into two basic categories: innovative enterprises and non-innovative enterprises. Innovation activities of an enterprise could result in various types of innovations - product innovations, process innovations, organizational innovations and marketing innovations. These types of innovations could be combined for each enterprise in very different and unique way, which results in high variability of differences among enterprises. Consequently, standard classification into two groups seems to be unnecessary rough one. In our contribution, we aim to identify a more suitable set of innovation categories by applying various clustering methods to data of Slovak medium and small enterprises collected in the period November 2015 - January 2016. Identified innovation categories will be examined more closely via descriptive statistics and exploratory graphical techniques. | Ľubica Lesáková, Petra Gundová | 29th August | 1st September | Yes | No | No |
Hana Řezanková | rezanka@vse.cz | University of Economics, Prague | Different approaches to the silhouette coefficient calculation in cluster evaluation | Cluster analysis is a useful statistical tool for data exploration. It can help to identify groups of similar objects (e.g. countries) according to selected variables (e.g. economic indicators). The created groups (clusters) can be characterized based either on the variables used in clustering or on some other variables. The problem with using the methods of cluster analysis consists in that the analyst can obtain different results (assignments of objects into clusters) by different methods, and moreover, he needs to determine the number of clusters. Many coefficients for solving this problem have been proposed until now. However, the advice obtained by a certain coefficient can differ from another advice obtained by another coefficient. In addition, values of a certain coefficient can differ depending on the implementation in the software product. In this contribution, different approaches to the silhouette coefficient calculation are discussed. They concerns the implementations of calculations in the S-PLUS (or R) and IBM SPSS Statistics systems. It is analyzed how the different results influence decisions of the analyst in terms of both the choice of the suitable assignment of objects into clusters obtained by different algorithms, and the determination of the suitable number of clusters. Studied problems are illustrated using selected methods of cluster analysis applied to the EU countries characterized by the gender and economic indicators. | | 29th August | 2nd September | Yes | Yes | No |
Stanislava Hronová | hronova@vse.cz | University of Economics, Prague | xxxx | xxxx | xxxx | 29th August | 2nd September | Yes | Yes | No |
Richard Hindls | hindls@vse.cz | University of Economics, Prague | xxxx | xxxx | xxxx | 29th August | 2nd September | Yes | Yes | No |
Jaroslav Sixta | sixta@vse.cz | University of Economics in Prague | The Recovery of the Input-Output Analysis in the Czech Republic | The input-output analysis has a long tradition in the former Czechoslovakia starting in the 1960s. These models were originally used for central planning and price re-construction during socialism. Since 1970s, there were three sets of tables, for Czechoslovakia, Czech Republic and Slovak Republic. After 1989, input-output models gained a label of socialist planning instrument and they were mostly abandoned in Eastern countries. On the contrary, in the West sophisticated input-output models became accessible for the most researchers because of the common usage of personal computers. Matrix computations that took months in the past became available for everyone. Alongside with the supply of input-output tables of the EU countries, also researchers in the Central and East Europe became to use these sets of models. In the recent time, input-output models are widely used both on national and international level, ranging from private agencies to the OECD. Nowadays the recovery of Leontief models and theory has gone the Czech Republic, as well. Such models are a standard part of the research for macroeconomic, environmental, regional and similar analysis. | - | 29th August | 2nd September | Yes | Yes | No |
Prokop Závodský | prokop.zavodsky@vse.cz | University of Economics Prague | Scientific and publishing activities of the Land Statistical Office in Bohemia | The Land Statistical Office in Prague (LSO) started its activity 120 years ago, in 1898 and in 1919 it was taken over by the State Statistical Office of the new Czechoslovak State. During these two decades the number of staff of the Statistical Bureau of the LSO has increased to about four times and its professional and publishing activity has expanded considerably.
The LSO annually published several issues of Zprávy / Mittheilungen (in Czech and German), containing mainly the results of meteorological surveys and data on agricultural statistics, as well as results of self-government statistics, population statistics, education and some economic statistics (all for Bohemia).
Statistic practice in the LSO was attended by future university professors D. Krejčí, K. Engliš, V. Mildschuh, F. Weyr and W. Winkler, as well as the leaders of the Czechoslovak State Statistics D. Krejčí, F. Weyr, J. Auerhan, and J. Mráz. | Ondřej Šimpach | 29th August | 2nd September | Yes | Yes | No |
Ondřej Šimpach | ondrej.simpach@vse.cz | University of Economics Prague | Scientific and publishing activities of the Land Statistical Office in Bohemia | The Land Statistical Office in Prague (LSO) started its activity 120 years ago, in 1898 and in 1919 it was taken over by the State Statistical Office of the new Czechoslovak State. During these two decades the number of staff of the Statistical Bureau of the LSO has increased to about four times and its professional and publishing activity has expanded considerably.
The LSO annually published several issues of Zprávy / Mittheilungen (in Czech and German), containing mainly the results of meteorological surveys and data on agricultural statistics, as well as results of self-government statistics, population statistics, education and some economic statistics (all for Bohemia).
Statistic practice in the LSO was attended by future university professors D. Krejčí, K. Engliš, V. Mildschuh, F. Weyr and W. Winkler, as well as the leaders of the Czechoslovak State Statistics D. Krejčí, F. Weyr, J. Auerhan, and J. Mráz. | Prokop Závodský | 29th August | 2nd September | Yes | Yes | No |
Šárka Zívalová | zivalova@vse.cz | VŠE v Praze | xxx | xxxxx | xxxxx | 29th August | 2nd September | Yes | Yes | No |
Ivana Malá | malai@vse.cz | university teacher | xx | xx | xx | 29th August | 2nd September | Yes | Yes | No |
Dagmar Blatná | blatna@vse.cz | University of Economics, Prague | TIME SERIES ANALYSIS OF THE EMPLOYMENT RATE IN THE CZECH REPUBLIK IN THE PERIOD 2005–2016 | The employment rate is a key social indicator for analytical purposes when studying developments within labour market. An employment rate is defined as the ratio of the employed person in relation to the comparable total working age population. This indicator is one of the headline indicators in the Europe 2020 strategy for smart, sustainable and inclusive growth. The development of an employment rate both in the EU and in the Czech Republic in 2005 -2016 is analyzed in terms of reaching the objective setting in the Europe 2020 strategy. The Czech Republic already exceeded the 2020 national target.
The main aim of paper is to present the results of the regression analysis of an employment rate and set of socio-economic indicators ,such as real GDP per capita growth rate, inflation rate, educational attainment, level of lifelong learning, social benefits, etc. in the Czech Republik. The regression analysis of the employment rate was carried out applying multivariate non-stationary time series metodology. The analysis covers the period 2005-2016.
| - | 29th August | 2nd September | Yes | Yes | No |
Petr Sotona | petr.sotona@seznam.cz | FIS VSE Prague | Mortality risk assessment under IFRS 17 | The article focuses on the mortality risk assessment in insurance industry for the Czech Republic. New accounting standard IFRS 17 requires to disclose confidence level at which the insurance company assessed insurance risks from insurance contracts. Mortality risk can be split into four subrisks: volatility, catastrophic risk, level uncertainty and trend uncertainty. On the practical example of insurance portfolio with term insurance product I present the application of various statistical methods to assess mortality risk and estimate total risk adjustment for mortality risk on 90% confidence level. Final results are analyzed and commented with conclusions. | No | 29th August | 31th August | No | No | No |
Petr Musil | petr.musil@vse.cz | University of Economics in Prague | Estimates of regional capital matrices: A case study of of the Czech Republic | The paper is focused on the estimation of symmetric capital matrices by product in the Czech Republic. Symmetrisation is usually related to the intermediate consumption matrix which is transformed from the dimension product by industry to the product by product matrix that is the starting point for input-output analysis. However, symmetrisation of capital matrix is very rare and has not been done in the Czech Republic. It is a very complex task as it is in fact double symmetrisation as original matrix of stocks of fixed assets is in the dimension type od asset (AN) by industry (NACE). Several data sources were applied the most important are supply and use tables, estimated transformation matrices. The results enable sophisticated input-output analysis focused on capital and demand for capital which is caused by economic impulse or shock. Finally, regionalisation of the national results is performed using additional data and RAS. The regional results are compared with other regional economic indicators estimated with the previous research. It extends a list of regional indicators available for analysis and modelling. | Karel Šafr, Jaroslav Sixta | 29th August | 2nd September | Yes | Yes | No |
Karel Šafr | karelsafr@gmail.com | University of Economics, Prague | Estimates of regional capital matrices: A case study of of the Czech Republic | The paper is focused on the estimation of symmetric capital matrices by product in the Czech Republic. Symmetrisation is usually related to the intermediate consumption matrix which is transformed from the dimension product by industry to the product by product matrix that is the starting point for input-output analysis. However, symmetrisation of capital matrix is very rare and has not been done in the Czech Republic. It is a very complex task as it is in fact double symmetrisation as original matrix of stocks of fixed assets is in the dimension type od asset (AN) by industry (NACE). Several data sources were applied the most important are supply and use tables, estimated transformation matrices. The results enable sophisticated input-output analysis focused on capital and demand for capital which is caused by economic impulse or shock. Finally, regionalisation of the national results is performed using additional data and RAS. The regional results are compared with other regional economic indicators estimated with the previous research. It extends a list of regional indicators available for analysis and modelling. | Petr Musil, Jaroslav Sixta | 29th August | 2nd September | Yes | Yes | No |
Jiří Witzany | jiri.witzany@vse.cz | FFÚ VŠE | Particle Filters with Applications to Stochastic Volatility and Jump Estimations | Volatility estimations and forecasts are used in many areas of finance like asset pricing, portfolio optimization, VaR estimation, option valuation, quantitative trading. Volatility modeling is difficult because it is unobservable (latent) and exhibits complex dynamics. There is a number of empirically observed specific effects such as volatility clustering, long memory, correlation with returns, asymmetry, price jumps, volatility jumps, jump clustering, time-varying volatility of volatility, etc. In addition, volatility estimations and forecasts need to be augmented with jumps in diffusion and possibly in volatility. Our goal is to apply and optimize MCMC and Particle Filter Algorithms to estimate the discrete time Stochastic Volatility with Jumps in Diffusion and Volatility models on artificial (testing) and real datasets. We propose a novel Particle Filter algorithm where the unknown parameters are sampled in a Gibbs MCMC step and compare it to approaches recently proposed in relevant literature. | Milan Fičura | 29th August | 2nd September | Yes | Yes | No |
Miroslav Hužvár | miroslav.huzvar@umb.sk | Faculty of Economics, Matej Bel University in Banská Bystrica | The impact of competitive allocation of subsidies on productivity change of universities in Slovakia | The implementation of the Higher Education Act of 2002 in Slovakia has significantly changed the economic conditions for universities that were transformed to public higher education institutions. Subsidies from the state budget are allocated to individual universities based on their share on the total performance of all public higher education institutions in education and research. The competition for financial resources has greatly influenced the behaviour of universities. Although some effects of this system of financing are considered questionable, it is naturally expected that the increasing competition may have a positive impact on the productivity of universities in the transformation of input resources into desirable outputs. We study the productivity change of Slovakian universities over the period when the new legislation is applied. Malmquist index is used for the assessment of total productivity change, and data envelopment analysis for calculating efficiency scores to construct the index. | Mária Grausová, Zuzana Rigová | 29th August | 2nd September | Yes | Yes | No |
Mária Grausová | maria.grausova@umb.sk | Faculty of Economics, Matej Bel University in Banská Bystrica | The impact of competitive allocation of subsidies on productivity change of universities in Slovakia | The implementation of the Higher Education Act of 2002 in Slovakia has significantly changed the economic conditions for universities that were transformed to public higher education institutions. Subsidies from the state budget are allocated to individual universities based on their share on the total performance of all public higher education institutions in education and research. The competition for financial resources has greatly influenced the behaviour of universities. Although some effects of this system of financing are considered questionable, it is naturally expected that the increasing competition may have a positive impact on the productivity of universities in the transformation of input resources into desirable outputs. We study the productivity change of Slovakian universities over the period when the new legislation is applied. Malmquist index is used for the assessment of total productivity change, and data envelopment analysis for calculating efficiency scores to construct the index. | Miroslav Hužvár, Zuzana Rigová | 29th August | 2nd September | Yes | Yes | No |
Zuzana Rigová | zuzana.rigova@umb.sk | Faculty of Economics, Matej Bel University in Banská Bystrica | The impact of competitive allocation of subsidies on productivity change of universities in Slovakia | The implementation of the Higher Education Act of 2002 in Slovakia has significantly changed the economic conditions for universities that were transformed to public higher education institutions. Subsidies from the state budget are allocated to individual universities based on their share on the total performance of all public higher education institutions in education and research. The competition for financial resources has greatly influenced the behaviour of universities. Although some effects of this system of financing are considered questionable, it is naturally expected that the increasing competition may have a positive impact on the productivity of universities in the transformation of input resources into desirable outputs. We study the productivity change of Slovakian universities over the period when the new legislation is applied. Malmquist index is used for the assessment of total productivity change, and data envelopment analysis for calculating efficiency scores to construct the index. | Miroslav Hužvár, Mária Grausová | 29th August | 2nd September | Yes | Yes | No |
Pavel Zimmermann | zimmerp@vse.cz | VSE | XXX | XXX | XXX | 29th August | 2nd September | Yes | Yes | No |
Jan Fojtík | xfojj00@vse.cz | Statistics | Techniques of Asset Liability Managemt Using Faster Liability Estimation by Cluster Analysis | Accurate modelling of insurance liabilities which is able to reflect the time value of financial options and guarantees (FOGs) is one of the essential actuarial tasks required by Solvency II and IFRS. Liability modelling of large insurance portfolio that requires running thousands of economic scenarios is very demanding on computational time. In our previous research, we proved that the cluster analysis which limits the number of the modelpoints to be modelled is a good approximative method which can be used to speed up the liability estimation while preserving the accuracy. Using faster estimation of the liability value allows the actuaries to study more investment strategies and provide more complex analysis or sensitivities to understand market risk or manage proper investment strategies by asset liability management. In this paper, we present application of the dynamic asset liability management in life insurance business using the liability model based on lower number of modelpoints representing large volume of individual policies using the cluster analysis technique. | Jiří Procházka, Pavel Zimmermann, Markéta Švehláková, Simona Macková | 29th August | 2nd September | Yes | Yes | No |
Jana Cibulková | jana.cibulkova@vse.cz | University of Economics, Prague, Faculty of Informatics and Statistics, Department of Statistics and Probability | Customer segmentation with the use of hierarchical cluster analysis of categorical data | Cluster analysis is a multivariate statistical method with a wide range of possible applications. It is especially useful for market segmentation, in which objects are divided into homogenous segments (clusters) which are further analyzed to obtain segment-specific insights. This contribution presents an application of cluster analysis on multivariate data provided by a company from a field of tourism. The dataset contains information about 5,755 travels of its customers, such as the number of passengers traveling together, age, nationality, route details, price, number of destinations booked, etc. The goal of the analysis is to divide the customers into several distinct segments according to their profiles. The results of the analysis will help to develop a targeted marketing program for the company. Since the dataset contains categorical or categorized variables, hierarchical cluster analysis for categorical data is applied to perform the market segmentation. A clustering process is always strongly dependent on a similarity measure used and also on a linkage method. Therefore, the optimal cluster assignment is being chosen among five similarity measures for categorical data and three linkage methods. Clustering solutions corresponding to a specific similarity measure and a specific linkage method are compared and evaluated by internal evaluation indices, which allow finding the optimal number of segments, evaluate their internal consistency and determine the best clustering solution possible. | Zdeněk Šulc | 29th August | 2nd September | Yes | Yes | No |
Zdenek Sulc | zdenek.sulc@vse.cz | University of Economics, Prague, Faculty of Informatics and Statistics, Department of Statistics and Probability | Customer segmentation with the use of hierarchical cluster analysis of categorical data | Cluster analysis is a multivariate statistical method with a wide range of possible applications. It is especially useful for market segmentation, in which objects are divided into homogenous segments (clusters) which are further analyzed to obtain segment-specific insights. This contribution presents an application of cluster analysis on multivariate data provided by a company from a field of tourism. The dataset contains information about 5,755 travels of its customers, such as the number of passengers traveling together, age, nationality, route details, price, number of destinations booked, etc. The goal of the analysis is to divide the customers into several distinct segments according to their profiles. The results of the analysis will help to develop a targeted marketing program for the company. Since the dataset contains categorical or categorized variables, hierarchical cluster analysis for categorical data is applied to perform the market segmentation. A clustering process is always strongly dependent on a similarity measure used and also on a linkage method. Therefore, the optimal cluster assignment is being chosen among five similarity measures for categorical data and three linkage methods. Clustering solutions corresponding to a specific similarity measure and a specific linkage method are compared and evaluated by internal evaluation indices, which allow finding the optimal number of segments, evaluate their internal consistency and determine the best clustering solution possible. | Jana Cibulkova | 29th August | 2nd September | Yes | Yes | No |
Milan Bašta | milan.basta@vse.cz | Department of Statistics and Probability, Faculty of Informatics and Statistics, University of Economics in Prague | * | * (I register as a member of Organizing committee; I do NOT present any paper)
* (My dates of arrival and departure are preliminary, they can change according to my tasks as a member of Organizing committee) | * | 29th August | 1st September | Yes | No | No |
Heilpern Stanislaw | stanislaw.heilpern@ue.wroc.pl | Wroclaw University of Economics | Risk process with uncertain claims amount | The contribution is devoted to the risk process in which the claims amount are uncertain. The uncertainty is modeled using the randomness and fuzzines simultaneously and the claim amount are be treated as the fuzzy random variable. The definition of fuzzy random variables proposed by Kwakernaak is used in this contribution. The problem connected with the ruin of such process is investigated and some of numerical examples are presented. | no Co-authors | 29th August | 2nd September | Yes | Yes | No |
Martin Boďa | martin.boda@umb.sk | Matej Bel University in Banská Bystrica | Interval rebalancing based on polar investment styles | The paper investigates usefulness of a rebalancing strategy that conjoins
polar investment styles in both asset pre-selection and portfolio selection.
It is customary in investing to adhere to a particular investment style
defined on the basis of a measurable quantifiable characteristic (using
screening) and to invest into assets that have this characteristic high or
low, respectively. The strategy assumes that the portfolio is created by
investing into both such polar classes of assets in certain proportions and
these proportions would be maintained by interval rebalancing over the
investment horizon. The usefulness of the rebalancing strategy is evaluated by
a case study oriented on the US stock market. | Mária Kanderová | 29th August | 2nd September | Yes | Yes | Yes |
Mária Kanderová | maria.kanderova@umb.sk | Matej Bel University in Banská Bystrica | Interval rebalancing based on polar investment styles | The paper investigates usefulness of a rebalancing strategy that conjoins
polar investment styles in both asset pre-selection and portfolio selection.
It is customary in investing to adhere to a particular investment style
defined on the basis of a measurable quantifiable characteristic (using
screening) and to invest into assets that have this characteristic high or
low, respectively. The strategy assumes that the portfolio is created by
investing into both such polar classes of assets in certain proportions and
these proportions would be maintained by interval rebalancing over the
investment horizon. The usefulness of the rebalancing strategy is evaluated by
a case study oriented on the US stock market. | Martin Boďa | 29th August | 2nd September | Yes | Yes | No |
Veronika Ptáčková | xptav00@vse.cz | University of Economics, Prague, Faculty of Informatics and Statistics, Department of Economic Statistics | ARE INDUSTRIAL COMPANIES ABLE TO PREDICT THE FUTURE OF SHORT TERM ECONOMICS? | Prediction of gross domestic product and economic cycle is in the center of interest of economists for many decades. Studies proved that a system of individual business confidence indicators could serve as a promising indicator. However, the individual business confidence indicators do not take into consideration any individual impacts of participating legal entities which differ significantly in their predictive ability of a future progress.
The aim of this paper is to analyze the predictive accuracy of the legal entities such as entrepreneur subjects in the industrial sector, whom in Business Tendency Survey evaluate their future development in a short term. The results of surveys mentioned above are to be compared with the reported values from the Czech Statistical Office. Using the method of linear or quadratic programming, the optimal boundaries can be found in order to classify these legal entities into groups based on their predictive abilities.
Results of the analysis can help to update a following change of methodology, which is going to be used to assemble indicators of the trust. These indicators could possibly lead towards better predictions of national economics and application of a new weight scheme based on the computed boundaries with respect to predictive abilities of all legal entities.
| Lubomír Štěpánek, Vít Hanzal | 29th August | 2nd September | Yes | Yes | No |
Lubomír Štěpánek | stel04@vse.cz | Department of Statistics and Probability, Faculty of Informatics and Statistics, University of Economics, Prague | Are industrial companies able to predict the future of short term economics? | Prediction of gross domestic product and economic cycle is in the center of interest of economists for many decades. Studies proved that a system of individual business confidence indicators could serve as a promising indicator. However, the individual business confidence indicators do not take into consideration any individual impacts of participating legal entities which differ significantly in their predictive ability of a future progress.
The aim of this paper is to analyze the predictive accuracy of the legal entities such as entrepreneur subjects in the industrial sector, whom in Business Tendency Survey evaluate their future development in a short term. The results of surveys mentioned above are to be compared with the reported values from the Czech Statistical Office. Using the method of linear or quadratic programming, the optimal boundaries can be found in order to classify these legal entities into groups based on their predictive abilities.
Results of the analysis can help to update a following change of methodology, which is going to be used to assemble indicators of the trust. These indicators could possibly lead towards better predictions of national economics and application of a new weight scheme based on the computed boundaries with respect to predictive abilities of all legal entities.
| Veronika Ptáčková, Lubomír Štěpánek, Vít Hanzal | 29th August | 2nd September | Yes | Yes | No |
Vít Hanzal | xhanv16@vse.cz | Department of Statistics and Probability, Faculty of Informatics and Statistics, University of Economics, Prague | ARE INDUSTRIAL COMPANIES ABLE TO PREDICT THE FUTURE OF SHORT TERM ECONOMICS? | Prediction of gross domestic product and economic cycle is in the center of interest of economists for many decades. Studies proved that a system of individual business confidence indicators could serve as a promising indicator. However, the individual business confidence indicators do not take into consideration any individual impacts of participating legal entities which differ significantly in their predictive ability of a future progress.
The aim of this paper is to analyze the predictive accuracy of the legal entities such as entrepreneur subjects in the industrial sector, whom in Business Tendency Survey evaluate their future development in a short term. The results of surveys mentioned above are to be compared with the reported values from the Czech Statistical Office. Using the method of linear or quadratic programming, the optimal boundaries can be found in order to classify these legal entities into groups based on their predictive abilities.
Results of the analysis can help to update a following change of methodology, which is going to be used to assemble indicators of the trust. These indicators could possibly lead towards better predictions of national economics and application of a new weight scheme based on the computed boundaries with respect to predictive abilities of all legal entities.
| Veronika Ptáčková, Lubomír Štěpánek | 29th August | 2nd September | Yes | Yes | No |
Katarína Kyseľová | katarina.kyselova@tuzvo.sk | Technical University in Zvolen | On Dynamics in a Simple Central Bank Model | In the paper, a two-dimensional model of central banking describing the development of the nominal rate of interest and the expected rate of inflation is investigated. Conditions for the existence of its equilibrium are found. The dynamics of solutions around the equilibrium is studied especially with respect to the arising of business cycles. Gained results are illustrated by numerical simulations. | Rudolf Zimka | 29th August | 2nd September | Yes | Yes | No |
Ondřej Vozár | vozo01@vse.cz | University of Economics, Prague, Faculty of Informatics and Statistics, Department of Statistics and Probability | Randomised response techniques: Estimation of a finite population total of sensitive quantitative variable | Randomised response (RR) techniques are used to get reliable estimates on variables of sensitive nature.
Unlike of estimation of a population proportion there are just few RR techniques to estimate a population total.
Antoch et al. proposed a technique which provides high degree of protection of sensitive respondent characterics.
Instead of revealing true value of a sensitive variable surveyed, the respodent answers whether it is larger (smaller) than a number which he selects at random. The number is not known by interviewer. This technique can be applied in the most common sampling plans (s) to construct unbiased Horvitz-Thompson estimator of a finite population total.
We present two modifications of the technique by Antoch et. al. First we study case that interviewer knows the randomly selected number. The second case deals with situation, that it can be sensitive for respodent to report both small and large values of a sensitive variable (eg. income). Depending on the value of randomly selected number, respondent answer different questions to be embarassed as few as possible.
Results of simulation study illustrating the performance of proposed estimators is included. | x | 30th August | 31th August | Yes | No | No |
Rudolf Zimka | rudolf.zimka@umb.sk | Matej Bel University | On the Existence of Business Cycles in Slovak Economy | In the paper, a simple Asada´s macroeconomic model of monetary policy describing the development of the nominal rate of interest and the expected rate of inflation is investigated. The normal equilibrium point of the model is derived and its dynamic stability is studied in conditions of Slovak economy. Questions concerning the existence of business cycles are examined rigorously. The bifurcation equation is found. The formulae for the calculation of its coefficients are gained. A numerical example is presented by means of numerical simulations. | Petra Cisková | 29th August | 2nd September | Yes | Yes | Yes |
Radoslav Kovář | xkovr11@vse.cz | University of Economics in Prague, the Czech Republic | Survival analysis, multinomial regression and discriminant analysis in credit scoring | Various multivariate methods can be used to model the probability of default and the probability of early repayment of personal loans at the time of application. The goal of this paper is to compare the predictive performance of survival analysis, multinomial regression and discriminant analysis in the joint modelling of the two events. In the first part, several analytical relations among these methods are presented. We also propose a procedure of including qualitative explanatory variables into discriminant analysis. In the second part, the methods are applied on a subset of loan applicants on the peer-to-peer lending platform Bondora. Measures of calibration and discrimination for a multinomial explained variable are defined and used to evaluate the three models. Finally, we show a possible approach of accounting for time-changing effects within the survival analysis framework. | Adam Čabla | 29th August | 2nd September | Yes | Yes | No |
Adam Čabla | edcable@seznam.cz | University of Economics in Prague, the Czech Republic | Survival analysis, multinomial regression and discriminant analysis in credit scoring | Various multivariate methods can be used to model the probability of default and the probability of early repayment of personal loans at the time of application. The goal of this paper is to compare the predictive performance of survival analysis, multinomial regression and discriminant analysis in the joint modelling of the two events. In the first part, several analytical relations among these methods are presented. We also propose a procedure of including qualitative explanatory variables into discriminant analysis. In the second part, the methods are applied on a subset of loan applicants on the peer-to-peer lending platform Bondora. Measures of calibration and discrimination for a multinomial explained variable are defined and used to evaluate the three models. Finally, we show a possible approach of accounting for time-changing effects within the survival analysis framework. | Radoslav Kovář | 29th August | 2nd September | Yes | Yes | No |
Anna Sączewska-Piotrowska | anna.saczewska-piotrowska@ue.katowice.pl | University of Economics in Katowice | Overweight and obesity dynamics among poor and rich people | One of the unhealthy lifestyle characteristics is overweight and obesity. The lifestyle varies depending on some characteristics of people such as sex, age, education, material situation etc. The aim of the paper is to investigate overweight and obesity dynamics among poor and rich people and to determine whether the economic situation is one of the factors affecting the persistence of overweight and obesity. To study this unhealthy characteristic among poor and rich people several methods there were used. The simple „x out of n” approach were used (the proportion of people who are overweight and obese in x out of n periods). There were estimated transition matrices among poor and rich people between two states: BMI greater or equal to 25 kg per square meter (overweight and obesity) and BMI lower than 25 (not overweight nor obesity). Nonparametric and discrete-time event history methods were also used to study overweight and obesity survival time. The study is based on panel research conducted in Poland between 2003 and 2015 in the frame of “Social Diagnosis” project. | Damian Piotrowski | 29th August | 31th August | No | No | No |
Biernacki Marek | marek.biernacki@ue.wroc.pl | Wroclaw University of Economics | Relative assessment of the healthcare quality system in selected countries | The article is a continuation of the analysis presented in the „Comparison of selected national Healthcare Systems’efficiency” (20th Conference AMSE) article. The evaluation of national health care systems will be extended by two additional dimensions: treatment effectiveness and patient satisfaction. In addition, the dynamics of national health care systems quality will be analyzed. | - | 29th August | 2nd September | Yes | Yes | No |
Albert Gardoń | Albert.Gardon@ue.wroc.pl | Wrocław University of Economics | The Impact of the Relative Jump Size Distribution on the Option Net Premium on the Net Freight in Container Shipping | As it was proved in our previous investigations a weekly average net freight in container shipping may be modeled by means of the jump-diffusive process with homogeneous Poissonian jumps. The relative jump size distribution, when devided into the positive and the negative parts, seems to be close to two typical distributions: the log-normal or the gamma distribution.
The main purpose for the construction of a model for the net freight is the evaluation of derivatives net premiums. The evaluation should be different when the relative jump size distribution is approximated by known typical statistically tested distributions in comparison to the empyrical distribution. In this paper we compare the impact of both approaches on the final net premium of the European Call option on the net freight. | Albert Gardoń | 29th August | 2nd September | Yes | Yes | No |
Albert Gardoń | Albert.Gardon@ue.wroc.pl | Wrocław University of Economics | The Impact of the Relative Jump Size Distribution on the Net Premium of the Option on the Net Freight in Container Shipping | As it was proved in our previous investigations a weekly average net freight in container shipping may be modeled by means of the jump-diffusive process with homogeneous Poissonian jumps. The relative jump size distribution, when devided into the positive and the negative parts, seems to be close to two typical distributions: the log-normal or the gamma distribution.
The main purpose for the construction of a model for the net freight is the evaluation of derivatives net premiums. The evaluation should be different when the relative jump size distribution is approximated by known typical statistically tested distributions in comparison to the empyrical distribution. In this paper we compare the impact of both approaches on the final net premium of the European Call option on the net freight. | Albert Gardoń | 29th August | 2nd September | Yes | Yes | No |
Agnieszka Marciniuk | agnieszka.marciniuk@ue.wroc.pl | Wroclaw University of Economics | MARRIAGE REVERSE ANNUITY CONTRACTS IN POLAND AND SLOVAK REPUBLIC: COMPARATIVE ANALYSIS | The European elderly population is increasing and will exceed 120 million by 2030. This population group will probably not have enough income to cover their retirement needs. It comes out that the pension funding gap will become one of the key social issues facing Europe. However, many of these people hold a large amount of wealth in their property which, being reasonably utilized by equity release products, could help them to cover their needs. People can surrender their real estate to a company interested in the acquisition of their property in exchange for the whole life monthly benefits. The aim of the contribution is to compare benefits of marriage reverse annuity contracts in Poland and the potential benefits of such products in the Slovak Republic by the use of the Svenson model function. While in Poland the equity release products have been offered to client already for several years, in the Slovak Republic there is no product of this nature so far. Therefore we assume that this contribution might initiate discussions on the introduction of similar equity release products market also in the Slovak Republic. | Emilia Zimkova | 29th August | 2nd September | Yes | Yes | No |
Edyta Mazurek | edyta.mazurek@ue.wroc.pl | Wroclaw University of Economics | PERSONS WITH DISABILITIES IN POLAND – STATISTICAL ANALYSIS OF DATA PROVIDED BY THE CENTRAL STATISTICAL OFFICE | Cohesion policy pursued by the EU deals with an important issue of improving the quality of life of persons with disabilities, and above all, working against their social exclusion and discrimination. Activities supporting this direction are pointed out in many strategic documents, among others, Europe 2020 and Strategy for Accountable Development until 2020. This paper aims at assessing the situation of persons with disabilities by selected socio-economic variables based on the real data provided by the 2011 General Population and Housing Census. The analysis of persons with disabilities was conducted by means of statistical methods employing indexes of similarity of structures, the Gini coefficient, correspondence analysis and chi-squared statistic. | Agata Girul | 29th August | 2nd September | Yes | Yes | No |
Beata Zmyślona | beata.zmyslona@ue.wroc.pl | Wrocław University of Economics | Financial and insurance products protecting against longevity | European societies are affected by the aging of society. Pensioners in post-communist countries constitute a significant percentage of people at risk of poverty. In addition, such people more often than others suffer from chronic diseases. These phenomena cause a significant decrease in the quality of life of these people. The article considers a proposal for financial and insurance products that can increase the financial security of pensioners. These products can provide an additional source of pensioners\' income. In addition, funds obtained through the new products can be used to subsidize the costs of treatment. Co-payment in case of chronic diseases can significantly improve the quality and effectiveness of treatment.
In our paper, we propose a new combined financial and insurance product which consists of marriage reverse annuity contract and dread disease insurance for a husband and for a wife. Marriage reverse annuity contract is an equity release products offered to elderly spouses. Owners receive annuity-due benefits in return for the transfer of the ownership onto the company (mortgage fund) and they have an ensured right to live in property until their death. The analyzes connected with dread disease insurance are carried out on the basis of data from Lower Silesia regarding lung cancer, in particular morbidity, course of disease and mortality.
| Agnieszka Marciniuk | 29th August | 2nd September | Yes | Yes | No |
Emília Zimková | emilia.zimkova@umb.sk | Matej Bel University in Banská Bystrica, Faculty of Economics, Department of Finance and Accounting, Tajovského 10, Banská Bystrica, Slovak Republic | MARRIAGE REVERSE ANNUITY CONTRACTS IN POLAND AND SLOVAK REPUBLIC: COMPARATIVE ANALYSIS | The European elderly population is increasing and will exceed 120 million by 2030. This population group will probably not have enough income to cover their retirement needs. It comes out that the pension funding gap will become one of the key social issues facing Europe. However, many of these people hold a large amount of wealth in their property which, being reasonably utilized by equity release products, could help them to cover their needs. People can surrender their real estate to a company interested in the acquisition of their property in exchange for the whole life monthly benefits. The aim of the contribution is to compare benefits of marriage reverse annuity contracts in Poland and the potential benefits of such products in the Slovak Republic by the Svenson model function. While in Poland the equity release products have been offered to client already for several years, in the Slovak Republic there is no product of this nature so far. Therefore we assume that this contribution might initiate discussions on the introduction of similar equity release products market also in the Slovak Republic. | Agnieszka Marciniuk | 29th August | 2nd September | Yes | Yes | Yes |
Agnieszka Marciniuk | agnieszka.marciniuk@ue.wroc.pl | Wrocław University of Economics | Financial and insurance products protecting against longevity | European societies are affected by the aging of society. Pensioners in post-communist countries constitute a significant percentage of people at risk of poverty. In addition, such people more often than others suffer from chronic diseases. These phenomena cause a significant decrease in the quality of life of these people. The article considers a proposal for financial and insurance products that can increase the financial security of pensioners. These products can provide an additional source of pensioners\' income. In addition, funds obtained through the new products can be used to subsidize the costs of treatment. Co-payment in case of chronic diseases can significantly improve the quality and effectiveness of treatment.
In our paper, we propose a new combined financial and insurance product which consists of marriage reverse annuity contract and dread disease insurance for a husband and for a wife. Marriage reverse annuity contract is an equity release products offered to elderly spouses. Owners receive annuity-due benefits in return for the transfer of the ownership onto the company (mortgage fund) and they have an ensured right to live in property until their death. The analyzes connected with dread disease insurance are carried out on the basis of data from Lower Silesia regarding lung cancer, in particular morbidity, course of disease and mortality.
| Beata Zmyślona | 29th August | 2nd September | Yes | Yes | No |
Cyprian Kozyra | cyprian.kozyra@ue.wroc.pl | Wrocław University of Economics; Faculty of Management, Computer Science and Finance; Department of Statistics | Relationship between economic growth and Gini inequality index after transition in Central and Eastern European Countries | Transition to democracy and market economy changed the social situation in Central and Eastern European countries after year 1989. After several years economic growth compensated these countries for Initial recession, but growing inequality was observed, dramatically greater than in the socialistic states. Relationship between economic growth and inequality was analyzed in many studies, but there are different theories, models and conclusions about inequality as the condition and result of economic growth. This analysis aims to is based mainly on time series from OECD databank, but also on World Bank datasets, because not all countries in Central and Eastern Europe belong to the OECD. Comparison of social welfare level is made with the Sen Index, product of mean income and equality measure. | - | 29th August | 2nd September | Yes | Yes | No |
Alena Kaščáková | alena.kascakova@umb.sk | EF UMB Banská Bystrica | Using of composite index in measuring of well-being | Measuring the well-being of people and the progress of societies should be a key priority for development and policy making. Better Life Index is a newly designed tool which provides a comprehensive picture of well-being in OECD countries and other major economies, by looking at people’s material conditions and quality of life across the population. The index is based on twenty-four indicators grouped in eleven topics concerning housing, income, jobs, community, education, environment, civic engagement, health, life satisfaction, safety and work-life balance. However, the OECD does not rank countries by the Better Life Index. Instead, users are encouraged to assign and share their own weights for the topics to design a composite indicator that can express their preferences on the contribution of each topic to well-being. The aim of this paper is to present and discuss the “benefit of doubt” approach to the construction of a composite index of well-being based on the eleven topics. By this approach, we assign to each country individual weights for the topics that can emphasize the strengths of the country in people’s material conditions and quality of life. We show that such composite index is capable to provide policy makers with additional valuable information on untapped potential of individual countries in well-being. | Miroslav Hužvár | 29th August | 2nd September | Yes | Yes | No |
Tomáš Fiala | fiala@vse.cz | Department of Demography, Faculty of Informatics and Stastics, University of Economics, Prague | Pension age based on relative prospective age concept | A very important indicator of the burden of pension system based on PAYG principle is the old age dependency ratio. Values this and other indicators and measures of population ageing depend first of all on the defined threshold of pension age. For a long time the standard threshold based on reaching some age limit (usually 65 years) has been used. This threshold does not reflect the continuing permanent increase of life span. Alternative threshold based on so-called prospective age, i.e. on the expected remaining years of life, were proposed (e.g. the threshold of pension age would be defined as the age when the life expectancy drops to 15 years) or 20 years). But this threshold does not reflect well the actual age of the person and it would cause that the period of expected economic activity would rise while the period of pension receipt would remain constant. A possible compromise of these both definitions may be the concept of so-called “relative” prospective pension age based on the ratio of the life expectancy and the total expected life span (the sum of age reached and life expectancy at this age). The pension age can be defined e.g. as the age when the value of expected life remaining (life expectancy) equals to 25 % of the total life span. The paper presents the comparison of development of relative prospective pension age in the Czech Republic, Slovakia and Poland and corresponding old age dependency ratios. | Jitka Langhamrová | 29th August | 2nd September | Yes | Yes | Yes |
Jitka Langhamrová | langhamj@vse.cz | Department of Demography, Faculty of Informatics and Stastics, University of Economics, Prague | Pension age based on relative prospective age concept | A very important indicator of the burden of pension system based on PAYG principle is the old age dependency ratio. Values this and other indicators and measures of population ageing depend first of all on the defined threshold of pension age. For a long time the standard threshold based on reaching some age limit (usually 65 years) has been used. This threshold does not reflect the continuing permanent increase of life span. Alternative threshold based on so-called prospective age, i.e. on the expected remaining years of life, were proposed (e.g. the threshold of pension age would be defined as the age when the life expectancy drops to 15 years) or 20 years). But this threshold does not reflect well the actual age of the person and it would cause that the period of expected economic activity would rise while the period of pension receipt would remain constant. A possible compromise of these both definitions may be the concept of so-called “relative” prospective pension age based on the ratio of the life expectancy and the total expected life span (the sum of age reached and life expectancy at this age). The pension age can be defined e.g. as the age when the value of expected life remaining (life expectancy) equals to 25 % of the total life span. The paper presents the comparison of development of relative prospective pension age in the Czech Republic, Slovakia and Poland and corresponding old age dependency ratios. | Tomáš Fiala | 29th August | 2nd September | Yes | Yes | No |
Joanna Dębicka | joanna.debicka@ue.wroc.pl | Wrocław University of Economics | Net premium decomposition for critical illness insurances | The insurance premium can be decomposed into the savings premium and the risk premium. The savings premium represents the increment in the reserve, that is a fund covering the increased risk of the insured event in the future. Whereas, the risk premium represents the expected cost which is related to the actual chance of an insurance event occurring in the future. A critical illness insurance allowing period premiums paid by both healthy and ill person (e.g. not terminally yet) is considered. The aim of the paper is to analyze the influence of different kind of premiums on the value of net premium components for each year of the insurance period. | no co-authors | 29th August | 2nd September | Yes | Yes | No |
Michal Vrabec | vrabec@vse.cz | Department of Statistics and Probability | Backward verification of probabilistic models of wage distributions | Our paper deals with the backward verification of models of wage distributions designed to predict wage distributions in the last three years. We will use the prediction results of Lognormal, Lognormal (3p), Johnson SB, Johnson SU, Log-Logistic, Log-Logistic (3p) and Normal Mixture distributions and compare them with the empirical distribution from the period 2015-2017. | prof. Petr Berka, doc. Luboš Marek | 30th August | 2nd September | Yes | Yes | No |
Luboš Marek | marek@vse.cz | University of Economics Prague | Backward verification of probabilistic models of wage distributions | Our paper deals with the backward verification of models of wage distributions designed to predict wage distributions in the last three years. We will use the prediction results of Lognormal, Lognormal (3p), Johnson SB, Johnson SU, Log-Logistic, Log-Logistic (3p) and Normal Mixture distributions and compare them with the empirical distribution from the period 2015-2017. | Petr Berka, Michal Vrabec | 29th August | 2nd September | Yes | Yes | No |
Petr Berka | berka@vse.cz | University of Economics, Prague | Backward verification of probabilistic models of wage distributions | Our paper deals with the backward verification of models of wage distributions designed to predict wage distributions in the last three years. We will use the prediction results of Lognormal, Lognormal (3p), Johnson SB, Johnson SU, Log-Logistic, Log-Logistic (3p) and Normal Mixture distributions and compare them with the empirical distribution from the period 2015-2017. | Lubos Marek, Michal Vrabec | 29th August | 2nd September | Yes | Yes | No |
Mária Stachová | maria.stachova@umb.sk | Faculty of Economics, Matej Bel University | Can longitudinal clustering help to define financial distress criteria? | One of a main task in each analysis of companies’ financial status is to correctly define the criteria that can describe financial health or financial distress of enterprises. In general, financial distress is a situation in which company cannot pay or has difficulty to reach its financial obligations. We follow our previous study about Slovak companies and, in our current analysis we consider three criteria to define this situation: the equity, the earnings after taxes and the current ratio value. In this study, our data set consists of financial indicators of Czech enterprises. These longitudinal data are collected over a few consecutive years. We applied a model-based partitioning and k-means partitioning to these longitudinal data to cluster the time trajectories of three criteria mentioned above and subsequently we compare the accuracy of these algorithms. In our analysis we use packages “mixAK” and “kml” of the statistical system R. | Lukáš Sobíšek | 29th August | 2nd September | Yes | Yes | No |
Lukáš Sobíšek | lukas.sobisek@vse.cz | Faculty of Informatics and Statistics, University of Economics, Prague | Can longitudinal clustering help to define financial distress criteria? | One of a main task in each analysis of companies’ financial status is to correctly define the criteria that can describe financial health or financial distress of enterprises. In general, financial distress is a situation in which company cannot pay or has difficulty to reach its financial obligations. We follow our previous study about Slovak companies and, in our current analysis we consider three criteria to define this situation: the equity, the earnings after taxes and the current ratio value. In this study, our data set consists of financial indicators of Czech enterprises. These longitudinal data are collected over a few consecutive years. We applied a model-based partitioning and k-means partitioning to these longitudinal data to cluster the time trajectories of three criteria mentioned above and subsequently we compare the accuracy of these algorithms. In our analysis we use packages “mixAK” and “kml” of the statistical system R. | Mária Stachová | 29th August | 2nd September | Yes | Yes | No |
Martin 27-3 | vold4@seznam.cz | adsasd | | | | 30th August | 30th August | Yes | Yes | Yes |
Jakub Fischer | fischerj@vse.cz | VŠE | | | | 29th August | 2nd September | Yes | Yes | No |
Petr Mazouch | mazouchp@vse.cz | VŠE | | | | 29th August | 2nd September | Yes | Yes | No |
Jana Špirková | jana.spirkova@umb.sk | Faculty of Economics, Matej Bel University, Slovakia | | | | 29th August | 2nd September | Yes | Yes | No |
Jiří Procházka | prochazjiri@gmail.com | Samuel Flimmel, Jan Fojtík, Václav Sládek | | | | 29th August | 2nd September | Yes | Yes | No |
Václav Sládek | xslav20@vse.cz | Jan Fojtík, Jiří Procházka | | | | 29th August | 2nd September | Yes | Yes | No |
Peter Laco | peter.laco@umb.sk | Matej Bel University, Banská Bystrica | | | | 29th August | 2nd September | Yes | Yes | No |
Jitka Bartosova | bartosov@fm.vse.cz | Faculty of Management, University of Economics, Prague | | | | 29th August | 2nd September | Yes | Yes | No |
Alžběta Zíková | alzbeta.zikova@mup.cz | Metropolitan University Prague | | | | 29th August | 2nd September | Yes | Yes | No |