Subject:
Actuarial Science (ACTSC)
Catalog number:
965
Unit weight:
0.50
Meet type:
LEC
Grading basis:
NUM
Cross-listing(s):
N/A
Requisites:
N/A
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
