Extreme Value Theory

Subject: 
Actuarial Science (ACTSC)
Catalog number: 
965
Unit weight: 
0.50
Meet type: 
LEC
Grading basis: 
NUM
Cross-listing(s): 
N/A
Requisites: 
Description: 
Ruin Theory for heavy-tailed distributions. Fluctuation of maxima and upper order statistics. Extreme value distributions: Weibull, Frechet, Gumbel and generalized Pareto. Mean excess function. Statistical methods for external events. Estimation of parameters of extreme value and excess distributions. Applications in finance and insurance.
Topic titles: 
N/A
Faculty: 
Mathematics (MAT)
Academic level: 
GRD
Course ID: 
011276