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MODEL OF THE NUMBER OF LOSSES IN AUTOMOBILE INSURANCE - EMPIRICAL ANALYSIS WITH PANEL DATA FROM POLISH MARKET

100%
Witkowski B.
Roczniki Kolegium Analiz Ekonomicznych
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2008
|
vol. 18
147-164
EN
The aim of the article is to discuss a model used to determine the number of losses in automobile insurance. The model is based on panel data. Although the aim is to model the number of losses, due to hunger for bonus not all the losses are revealed. Thus the data on the number and also the value of claims are used. Common use of these two types of data enables estimation of the true number of losses that occur (not just those that are claimed). This is done with the use of true data from the Polish market. The discussion of particular factors that influence the severity of losses (moral hazard, hunger for bonus, observed and unobserved characteristics of the insured) is included.
2
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Failure and insolvency. A proposal for Polish prediction models

63%
Staszkiewicz P., Witkowski B.
Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu
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2018
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issue 519
160-172
EN
This paper discusses the problem of mutual use of the insolvency and bankruptcy variable for business failure modelling. The prior Polish literature on insolvency tends to focus on the qualitative research. This research shows how the terms bankruptcy and insolvency modelling on the informal dataset might result in different fits of the models. Models were estimated based on 17,024 firm’s yearly observations from the 2004 to 2014 for the Polish financial market. Following prior research, the models were developed with application of the logit regression. The evidence gathered during the study supports the conclusion that the use of the legal definition of insolvency is a weak instrument for bankruptcy modelling.
3
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O wpływie metod ważenia na własności szeregów czasowych statystyk bilansowych IRG

63%
Kowalczyk B., Witkowski B.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2011
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vol. 87: Zmiany aktywności gospodarczej w świetle wyników badań koniunktury
65-85
PL
W artykule przeanalizowano wpływ metod ważenia na własności szeregów czasowych statystyk bilansowych otrzymanych na podstawie badania koniunktury w przemyśle prowadzonego przez IRG SGH. Analizie poddano wszystkie zmienne o trzech wariantach odpowiedzi testowane w badaniu IRG z częstotliwością miesięczną. W przypadku każdego z szeregów przedmiotem analiz był zarówno raportowany stan obecny, jak i prognozy. Zbadano m. in. statystyki opisowe, punkty zwrotne oraz stacjonarność otrzymanych różnymi metodami szeregów sald. Otrzymane wyniki wskazują, że wnioski, jakich dostarcza analiza szeregów uzyskanych różnymi metodami są zbieżne. Przeprowadzone na szerokim zbiorze zmiennych badanie pozwala na stwierdzenie adekwatności zastosowanych przez IRG metod ważenia szeregów, pomimo arbitralności stosowanych wag.
EN
The article examines the impact of weighting methods on the properties of balance series obtained on the basis of business tendency surveys, conducted by RIED WSE. We analyzed all variables with three available variants of answers which are tested in the RIED survey regularly every month. For each variable, both state and expectations were studied. We analyzed, among others, descriptive statistics, turning points and stationarity of the obtained by different methods series. The conclusions that could be drawn from the analysis of balance series obtained with the use of different methods coincide. The analysis that has been carried out with the use of a broad set of variables allows to conclude that despite the arbitrary weights used, series provided by RIED WSE are adequate. Key words: weighting methods, sample structure, tendency surveys, turning points, stationarity, KPSS test.
4

USING PANEL DATA ANALYSES IN PSYCHOLOGICAL LONGITUDINAL RESEARCH: DYNAMICS OF PTSD SYMPTOMS DETERMINANTS (Wykorzystanie danych panelowych w psychologicznych badaniach podluznych na przykladzie oceny dynamiki uwarunkowan objawow PTSD)

63%
Witkowska E., Witkowski B.
Psychologia-Etologia-Genetyka
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2010
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vol. 22
63-77
EN
The main aim of this paper is to demonstrate how psychological longitudinal research data can be analysed using panel data methods. The determinants of dynamics of PTSD symptoms are used as an example. The approach used here allows for treating data from three measures as unity and incorporating them into one model, instead of estimating three independent data sets. It enables for formal verification of the independent variables – temperamental traits and trauma characteristics – influence on the dependent variable – dimensionally expressed PTSD symptoms intensity. As a result it is possible to verify the hypothesis of different influence of trauma intensity on PTSD symptoms in different family members by comparing parametres' estimates in one model encorporating group of interactive variables. Such approach seems to be an interesting option, contrary to comparisons of parametres' estimates derived from different models.
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ON THE USE OF PANEL STATIONARITY TESTS IN CONVERGENCE ANALYSIS: EMPIRICAL EVIDENCE FOR THE EU COUNTRIES

63%
Próchniak M., Witkowski B.
Equilibrium. Quarterly Journal of Economics and Economic Policy
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2016
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vol. 11
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issue 1
77-96
EN
The study examines the concept of stochastic convergence in the EU28 countries over the 1994–2013 period. The convergence of individual countries’ GDP per capita towards the EU28 average per capita income level and the pair-wise convergence between the GDP of individual countries are both analyzed. Additionally, we introduce our own concept of conditional stochastic convergence which is based on adjusted GDP per capita series in order to account for the impact of other growth factors on GDP. The analysis is based on time series techniques. To assess stationarity, ADF tests are used. The study shows that the process of stochastic convergence in the EU countries is not as widespread as the cross-sectional studies on b or s convergence indicate. Even if we extend the analysis to examine conditional stochastic convergence, the number of converging economies or pairs of countries rises, but not as much as it could be expected from the cross-sectional studies.
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Prognozy kombinowane wskaznikow makroekonomicznych z uzyciem danych z testow koniunktury

51%
Bialowolski P., Kuszewski T., Witkowski B.
Contemporary Economics
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2010
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issue 4(16)
41-58
EN
Current economic crisis shed dark light on the possibilities of creating a valuable and reliable short and medium term forecasts with the use of the most commonly applied econometric models in the structural or autoregressive form (SVAR, VAR), but also models of the general equilibrium (CGE, DSGE). The models failed to forecast especially at the verge of the crisis when the information on upcoming peak in the business cycle would be of the highest value. This situation was a stimulus to undertake research oriented at creating a family of models that would react faster and with higher precision to dynamic changes in the economic environment. As a result it is expected that a family of models will be specified, identified and estimated. They should provide leading and more accurate information on basic macroeconomic variables - GDP, unemployment and inflation. Each of the specifications will be subject to two objectives: (1) the minimum ex-ante forecast error and (2) immediate and reliable accessibility of data. The database applied in the procedure will comprise of time series from the Research Institute of Economic Development (RIED) on sentiment in manufacturing industry, households, trade and construction. The series on economic activity in Poland cover the period of 1995-2009.
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Bayesowskie uśrednianie klasycznych oszacowań w prognozowaniu wskaźników makroekonomicznych z użyciem danych z testów koniunktury

51%
Białowolski P., Kuszewski T., Witkowski B.
Prace i Materiały Instytutu Rozwoju Gospodarczego SGH
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2013
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vol. 91: Badania koniunktury - zwierciadło gospodarki. Część II
121-144
PL
W niniejszej pracy przedstawiono kolejną wersję modelu dla prognozowania podstawowych wskaźników makroekonomicznych z wykorzystaniem danych z testów koniunktury. W pracach Białowolskiego, Kuszewskiego i Witkowskiego (2010a, 2010b, 2011, 2012a, 2012b) rozwijano metodykę budowy modeli dla prognozowania tempa zmian produktu krajowego brutto, stopy bezrobocia i wskaźnika cen towarów konsumpcyjnych. W zbiorze regresorów tych modeli, oprócz opóźnionych w czasie zmiennych endogenicznych, uwzględnia się wyłącznie wyniki różnych testów koniunktury. Badanie dotyczy specyfikacji modelu prognostycznego metodą bayesowskiego uśredniania klasycznych oszacowań (Bayesian averaging of classical estimates, BACE). Przyjęte rozwiązanie umożliwia automatyzację proces doboru postaci modelu. W kolejnym etapie postępowania jest rozważany wpływ sezonowości deterministycznej i stochastycznej szeregów czasowych na wynik procesu prognozowania. Zaproponowano intuicyjną procedurę uwzględniania obu rodzajów sezonowości w procesie prognozowania. Po zakończeniu procesu estymacji i doboru modeli weryfikowano ich możliwości prognostyczne.
EN
This paper presents another version of model designed to forecast main macroeconomic indicators with the use of economic survey data. In previous papers (Białowolski, Kuszewski, Witkowski, 2010a, 2010b, 2011, 2012a, 2012b) methods for developing models used for forecasting GDP growth rate, unemployment rate and CPI were proposed. The set of regressors in those models included only lagged dependent variables and indices based on various survey data. In this paper the specification of the forecasting model is selected with the use of Bayesian averaging of classical estimates (BACE). This algorithm enables an automatic process of selection of functional form of the model. Next the influence of deterministic and stochastic seasonality in time series on forecasting process is concerned. An intuitive procedure of applying and selecting among both types of seasonality in the forecasting process is discussed. Afterwards their forecasting capabilities are considered.
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