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The Analysis of Mortality Changes in Selected European Countries in The Period 1960-2006

100%
Denkowska S., Papież M.
Statistics in Transition new series
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2010
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vol. 11
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issue 3
136-157
EN
Demographic changes which took place in the 20th century clearly reveal progressive ageing of whole societies. This phenomenon influences the risk connected with calculating the products of insurance companies and pension funds, where calculated mortality is one of the most important factors. The paper presents the analysis of mortality changes in male and female populations in selected countries from Central Europe (the Czech Republic, Hungary, Poland and Slovakia) and from Western Europe (France, Italy, Spain and Sweden) in the period 1960-2006. The analysis of the mortality changes has been carried out with the use of variables proposed in 2007 by J. P. Morgan in his work Life Metrics - A toolkit for measuring and managing longevity and mortality risks. The data used for the analysis have been obtained from www.mortality.org. The van Broekhoven algorithm has been applied for smoothing crude mortality rates across different ages. The analysis of mortality changes in selected European countries in the period 1960-2006 has shown considerable differences in the changes of initial mortality rate. Apart from obvious differences in male and female mortality, significant differences in the dynamics of mortality between Western and Central European countries were revealed. The most significant differences in the change of graduated initial mortality rate have been observed for people above 40-45 from Central and Western European countries. The period of most striking disproportions in the change of graduated initial mortality rate were the years 1970-1990, which seems to be the result of the socioeconomic policy in Central European countries.
2
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Efektywność inwestycji w energię wiatrową w krajach UE

81%
Frodyma K., Papież M., Śmiech S.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
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2018
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issue 507
63-74
PL
Celem pracy jest ocena efektywności inwestycji w energię wiatrową w krajach Unii Europejskiej. Wnioskowanie oparto na modelu BCC (dopuszczający zmienne korzyści skali) metody Data Envelopment Analysis (DEA), zorientowanym na nakłady. W podstawowym wariancie jako zmienną wejścia przyjęto zainstalowaną moc elektrowni wiatrowych, zmienną wyjściową jest zaś produkcja energii elektrycznej. Kolejne warianty analizy biorą pod uwagę oprócz produkcji energii elektrycznej także czynnik środowiskowy oraz ekonomiczny. Trzy kraje: Dania, Wielka Brytania oraz Słowacja, okazały się efektywne. W przypadku wzięcia pod uwagę efektu środowiskowego największy przyrost efektywności obserwowano w krajach mających duży udział węgla w produkcji energii elektrycznej. W przypadku efektu ekonomicznego najwięcej zyskiwały kraje z dużym udziałem gazu oraz ropy naftowej.
3
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In Search of Hedges and Safe Havens in Global Financial Markets

81%
Wanat S., Śmiech S., Papież M.
Statistics in Transition new series
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2016
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vol. 17
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issue 3
557-574
EN
The aim of the paper is to search for hedges and safe havens within three instrument classes: assets (represented by the S&P500 index), gold and oil prices, and dollar exchange rates. Weekly series of returns of all the instruments from the period January 1995 – June 2015 are analysed. The study is based on conditional correlations between the instruments in different market regimes obtained with the use of copula-DCC GARCH models. It is assumed that different market regimes will be identified by statistical clustering techniques; however, only conditional variances (without conditional covariances) will be taken into account. The reason for this assumption is connected with the fact that variances can be understood as market risk, and, as such, are a good indicator of market conditions. A considerable advantage of such an approach is the lack of need to determine the number of market regimes, as it is established by clustering quality measures. What is more, the methodology used in the paper makes it possible to treat the relations between instruments symmetrically. The results obtained in the study reveal that only dollar exchange rates can be treated as a (strong) hedge and a (strong) safe haven for other instruments, while gold and oil are a hedge for assets.
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