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:

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