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Seminar über Versicherungs- und Finanzmathematik
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Wahlfächer
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Versicherungs- und Finanzmathematik
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Dozenten
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Prof. Paul Embrechts, Dr. Johanna Neslehova
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Ort
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HG D7.2
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Zeit
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Mo 13:15-15:00
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beginnt am
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4.4.2005
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Vorbesprechung
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Mo 4.4.2005
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Kontakt
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Dr. Johanna Neslehova
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Voraussetzungen
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elementary knowledge of probability and statistics, S-PLUS skills welcomed.
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Beschreibung
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Recently, the study of extreme events, such as large losses or price fluctuations, became a subject of increasing importance in both insurance and finance. Extreme value theory provides a framework that enables necessary extrapolations in order to model events which are both rare and generaly outside the range of available data.
In the seminar, we will discuss the basics of EVT including generalized extreme value distributions and models for block maxima, threshold models, extensions to stationary and non-stationary sequences, point process approach and multivariate extremes. Focus will also be laid upon practical applications to real data.
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Literatur
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Stuart Coles: An Introduction to Statistical Modeling of Extreme Values, Springer Series in Statistics, 2001
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Weitere Informationen
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book contents and datasets
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