Department of Mathematics

Seminar über Versicherungs- und Finanzmathematik

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Wahlfächer Versicherungs- und Finanzmathematik
Dozenten Prof. Paul Embrechts, Dr. Johanna Neslehova
Ort HG D7.2
Zeit Mo 13:15-15:00
beginnt am 4.4.2005
Vorbesprechung Mo 4.4.2005
Kontakt Dr. Johanna Neslehova
Voraussetzungen elementary knowledge of probability and statistics, S-PLUS skills welcomed.
Beschreibung 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.
Literatur Stuart Coles: An Introduction to Statistical Modeling of Extreme Values, Springer Series in Statistics, 2001
Weitere Informationen book contents and datasets

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