Modeling of complex data sets and risk analysis

Grażyna Trzpiot

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ISBN/ISSN:

978-83-7875-702-3

DOI:

Wydawnictwo:

Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach

Rok wydania:

2021

Liczba stron:

149

XML:ISBN/ISSN:

ONIX MARC21

Bibliografia:

. Modeling of complex data sets and risk analysis. Red. Trzpiot, Grażyna . Katowice: Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach, 2021, 149 s. ISBN 978-83-7875-702-3

Bibliografia refWorks:

RT Book, Whole

SR Electronic(1)

A2 Trzpiot, G.

T1 Modeling of complex data sets and risk analysis

PB Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach

PP Katowice

YR 2021

SN 978-83-7875-702-3

Bibliografia BibTex:

@Book{ 249388, author = "", editor = "Trzpiot, Grażyna", title = "Modeling of complex data sets and risk analysis", publisher = "Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach", year = "2021", address = "Katowice", isbn = "978-83-7875-702-3" }

Bibliografia endNote:

TY - BOOK

AU -

ED - Trzpiot, Grażyna

TI - Modeling of complex data sets and risk analysis

PB - Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach

CY - Katowice

PY - 2021

SN - 978-83-7875-702-3

ER -

Netografia (standard APA):

. Red. Trzpiot, Grażyna. Modeling of complex data sets and risk analysis [baza danych online] Katowice: Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach, 2021 [dostęp: 04 05 2024]. Dostęp w Ibuk Libra: https://libra.ibuk.pl/reader/modeling-of-complex-data-sets-and-risk-analysis-grazyna-trzpiot-249388.

This monograph is the result of research conducted by employees and doctoral students at the Department of Demography and Economics Statistics. The subject of research, according to the title, focuses on modeling of complex data sets and risk anal...

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ISBN/ISSN:

978-83-7875-702-3

DOI:

Wydawnictwo:

Wydawnictwo Uniwersytetu Ekonomicznego w Katowicach

Rok wydania:

2021

Liczba stron:

149

XML:ISBN/ISSN:

ONIX MARC21

Modeling of complex data setsChapter1
Chapter2
Chapter3
Risk analysisChapter4
Chapter5
Chapter6
Chapter7
Preface7
Modeling socio-economic factors of life expectancy in Poland using panel data (Agnieszka Orwat-Acedańska)11
A coherent mortality and life expectancy forecasting – a comparison of frequentist and Bayesian approaches (Justyna Majewska)30
Evaluation of the labor market status of young people in selected countries of the European Union – the multiple regression approach (Grażyna Trzpiot, Magdalena Kawecka)46
Quantile and expectile regression in risk measurement – downside risk measures approach (Grażyna Trzpiot)77
EVT in risk estimation on commodities exchanges (Alicja Ganczarek-Gamrot, Dominik Krężołek, Grażyna Trzpiot)95
Backtesting Expected Shortfall using extreme value theory on the metals market (Dominik Krężołek)109
Quantile-based CAPM model – the application on Polish capital market during COVID-19 pandemic (Tomasz Stachurski, Dominik Krężołek)133

Preface

Thismonographistheresultofresearchconductedbyemployeesanddoc-

toralstudentsattheDepartmentofDemographyandEconomicStatistics.The

subjectofresearch,accordingtothetitle,focusesonmodelingofcomplexdata

setsandriskanalysis.

Theauthorsuseinnovativeandappropriateresearchapproaches,thatallows

toconductanalyzesandformulateassessmentsandconclusionsresultingfrom

theresearch.Wecanexplainedthatdatacomplexityandthedevelopmentof

predictiveanalyticsofoftencomesaboutwhentryingtodeveloparoundthe

informationbottlenecksthatwecomeupagainst.Thismeansthatthereisalot

ofprogrammeralchemyinvolvedand,essentially,thatthealgorithmsthem-

selvesarebecomingmorecomplex.Patterns,trendsandcorrelationsthatmight

goundetectedintext-baseddatacanbeexposedandrecognizedadditionally

withdatavisualizations.

Firstpartofthisbookconsistsofdemographicandeconomicanalyzesus-

ingavailabledatabases.Chapteroneisconcentratedontheaveragelifeexpec-

tancygivencurrentmortalityconditionsofpopulationwhichsummarizesthe

mortalitypatternthatprevailsacrossallagegroupsinagivenyear–children

andadolescents,adultsandtheelderly.Theproblemofempiricalidentification

ofsocio-economicdeterminantsoflifeexpectancyusingcause-and-effectmod-

elsisanalyzedinPolandusingpaneldata

Nextchapterfollowtheproblemofforecastinglifeexpectancyusingjoint

female-malemodelinsteadofone-sex(independently),presentedontheexam-

pleofPoland.Themodelhasatwo-levelBayesianhierarchicalstructure,which

isknownfrommostothermodelsandhasbeensuccessfullyestablishedinmod-

ernstochasticmortalityforecasting.Amongmanyvariationsofmortalitymodels

thefollowingmodelsarecomparedclassicalmodelforforecastingmortalityfor

singlepopulationPoissonlog-bilinearLee–Carter,analternativetotheconcept

ofLCmethodbasedonthefunctionaldataanalysisusedforboth:projectionof

mortalityforsinglepopulationandtwo-populationanalternativeapproachto

lifeexpectancyforecastingthatusestheconceptofdirectmodeling,ratherthan

viamortalityforecasts,andisbasedonuseaBayesianhierarchicalmodelfor

lifeexpectancy.Thelastchapterofthispartfocusesonthegoalitistheevalua-

tionthelabourmarketstatusofyoungpeople,aged20-24,inselectedcountries

oftheEuropeanUnion.Theresearchwascarriedouttoassesschangesinthe

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Modeling of complex data sets and risk analysis

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