Title: Micro forecasting
Authors: Matus Maciak - Charles University (Czech Republic)
Ostap Okhrin - Technical University Dresden (Germany)
Michal Pesta - Charles University, Faculty of Mathematics and Physics (Czech Republic) [presenting]
Abstract: Forecasting costs is now a front burner in empirical economics. We propose an unconventional tool for stochastic prediction of future expenses based on the individual (micro) developments of recorded events. Let us think of a firm, enterprise, institution, or state, which possesses knowledge about particular historical events. For each event, there are several related payments or losses spread over time. Nevertheless, the issue is that some already occurred events do not have to be necessarily reported. The aim lies in forecasting future cash flows coming from already reported, occurred but not reported, and yet not occurred events. Our methodology is illustrated on quantitative risk assessment, however, it can be applied to other areas such as startups, epidemics, war damages, advertising and commercials, digital payments, or drug prescription as discussed in the paper. As a theoretical contribution, stochastic inference for marked non-homogeneous Poisson process with non-homogeneous Poisson processes as marks is developed.