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https://uio.zoom.us/j/66645652531?pwd=MHJpaXlabElJWjZNZC8xVFB1QkgvQT09
2. June: https://uio.zoom.us/j/62010626071?pwd=TnNBRjdrQ3dnU1YzTmNadDJ1V3dFdz09
3. June: comes soon.
2. June, Wednesday:
09:00: Stefanie Pacher Bermejo
10:00: Laura Baumann
11:00: Benedikt Anton Geier
12:00: Eirik Elvebakk Kielland
3. June, Thursday:
09:00: Shuijing Liao
10:00: Simon Kudsk Skoffer
11:00: Amirkambiz Hamedani
12:00: Thomas L?land
The digital oral exam is distributed over 2 days (starting at 9:00 am), that is
2. June, Wednesday: 09:00-13:00 (4 students),
3. June, Thursday: 09:00-13:00 (4 students).
The exam procedure is as follows: The exam takes 45 min. and consists of two parts:
1. Talk/presentation of a topic of free choice about extreme value statistics. The title and topic of the presentation are supposed to be communicated to me (by e-mail) latest 3 days before the exam and approved by myself. The length of the talk is limited to 20 minutes and the form of the presentation is up to the candidate (whiteboard, beamer slides,...).
2. General questions about extreme value statistics.
The pensum of the course comprises the sections 1, 2, 3, 4 in my lecture notes. In addition, in section 5 (Weak convergence of point processes) only knowledge about basic notions are assumed (i....
Zoom: https://uio.zoom.us/j/62198920862?pwd=b1RLVDk1N3ZGZUE3V2UwVTJoQ2JzZz09
We are supposed to finish our discussion of the theory of point processes. The solutions to Exercises 10 will be posted on our website.
Zoom: https://uio.zoom.us/j/65306786754?pwd=cUx2dmdKenNVazBhc2ZjdXJ3N1FOdz09
Zoom: https://uio.zoom.us/j/61443563891?pwd=ZG5tMXliczVOdnZaUGJ5R0d0WjNBdz09
Our plan for the lesson on Friday is to continue with the study of the theory of point processes in the book of Embrechts. The discussion of exercises is (once again) postponed to next week.
Solutions
Plots: QQPlotProb1, MEPlotProb1, QQPlotProb2, RuinProbProb2
Zoom: https://uio.zoom.us/j/69652928017?pwd=Y3oyN0tyMktTaUVwNXg1UHovaWoyUT09
In the second hour we will discuss Exercises 8, Pob. 4 and Exercises 6, Prob. 4.
Here: MandatoryAssignment
Deadline: Thursday, 15. April, 14:30 (electronic submission via Canvas).
In our last lessons (26. Feb., 3./5./10./12. March) we discussed one of the main results of extreme value theory, that is the theorem of Fisher-Tippett-Gnedenko, which can be regarded as a central limit theorem for maximal claims (Ch. 3 in Embrechts). Further, we also started to address the problem of the characterization of the maximum domain of attraction of extreme value distributions by using methods from the theory of regularly varying functions.
In our next lessons, 17./19./24. March we aim at finishing our discussion of the characterization of the different maximum domain of attractions.
Our study plan for the next weeks is the following:
End of March: Discussion of convergence rates with respect to the Fisher-Tippett-Gnedenko theorem and statistical methods for extreme value distributions (Ch. 3 and 6 in Embrechts).
April/May: Study of extremal events from the viewpoint of point processes (Ch. 5 in Embrechts) and l...
Zoom: https://uio.zoom.us/j/66703351456?pwd=RXNBTlN2ZXRLN2VIVDF2MzNMWE5rdz09
In the second hour we are supposed to discuss Problem 1 of Exercises 5 (and if time permits Problem 2 of Exercises 5).
We are supposed to have a final oral exam in our course (May/June).
Zoom: https://uio.zoom.us/j/68062223783?pwd=dWI3NmlBdmg5VUIrUzRDdjIxLzQrUT09
In order to study the exact asymptotics of ruin probabilities in the case of large claim sizes (17./19. and 24. Feb.), we started in our last lesson (12. Feb.) with the discussion of some basic results from the theory of regularly varying functions, which are useful for the analysis of heavy-tailed claim size distributions. See Chapter 1 in the book of Embrechts.
Then we are planning to continue with Chapter 3 in the book of Embrechts, which is devoted to "central limit theorems" for maximal insurance claim sizes. The latter is important for the practical study of large claims, which may cause the spontaneous ruin of an insurance company.
Solutions to Exercises 2 and 3 will be presented after the first hour on Friday, 19. Feb., 11:15-12:00.
Studenrepresentanten for kurset er Benedikt Geier (bgeier[at]mail.uni-mannheim.de) !
Analytika (www.analytika.no) ?nsker ? knytte til seg en masterstudent innen statistikk som ?nsker ? jobbe med relevante arbeidsoppgaver p? siden av studiet. Vi s?ker prim?rt studenter som ?nsker ? g? i forsikrings-/finansretning og som kan tenke seg ? jobbe hos oss etter ferdig studie.
Vi tilbyr spennende og utviklende oppgaver innen reservering, prising og kapitalmodellering til riktig person
Ta kontakt med Sindre Ones (sindre@analytika.no) eller Lars Aga Reis?ter (lars@analytika.no) for ytterligere detaljer eller for ? avtale et m?te. Send gjerne ogs? med CV og karakterutskrift.
Zoom: https://uio.zoom.us/j/66651610843?pwd=TlFqalJPTDUzVVB2UWtXSG40WHpvQT09
Solutions to Exercises 1 and 2 will be presented after the first hour (11:15-12:00).
In our last lessons (29. Jan., 3. Feb.) we started with the study of ruin theory and discussed e.g. Lundberg’s inequality, which provides an upper bound for ruin probabilities in the case of small claims. On Friday, 5. Feb., 10:15-11:00 we will continue with our discussion of one of the most central results in risk theory, that is Cramer’s ruin bound (see Chapter 1 in the book of Embrechts).
Solutions to Exercises 1 will be presented in the second hour (11:15-12:00).
Vi startet opp kurset (20. jan.) med en kort innf?ring i ekstremverdistatistikk og i teori av store avvik og fikk et oversikt over emner vi kommer til ? studere. Dessuten begynte vi (20./22. jan.) med ? repitere grunnleggende begrep og resultater fra sannsynlighetsregning (f.eks. stokastisk prosess, (betinget) forventningsverdi,...) som vi f.eks. trenger til estimering av ekstremverdi-fordelinger.
Neste gang (27. jan.) skal vi bli ferdig med v?rt lynkurs om sannsynlighetsregning og fortsette med kap. 1 i boken til Embrechts og studere effektene av "sm?" og "store" forsikringskrav p? modeller fra risikoteori.
Regne?velser kommer jeg til ? legge ut p? fagsiden neste uke.
In our first lesson (20. Jan.) I gave a brief introduction to extreme value theory and the theory of large deviations and an overview of some central problems we want to study in this course. Fur...
The new infection control measures from the Government apply from 20. January and as long as there is a need for them.
Thus we will continue with digital teaching until further notice !
Lecture notes: Part0, Part1, Part2, Part3, Part4, Part5, Part6, Part7, Part8, Part9, Part10, Part11, Part12, Part13, Part14, Part15
Exercises: Exercises1, Exercises2, Exercises3, Exercises4, Exercises5, Exercises6, Exercises7, Exercises8, Exercises9, Exercises10
Solutions: Ex1Prob124, Ex1Prob3, Ex1Prob56, Ex2Prob1, Ex2Prob2, Ex2Prob3, Ex2Prob4, Ex3Prob12, Ex3Prob3, Ex3Prob4, Ex4Prob1, Ex4Prob2, Ex4Prob34, Ex5Prob12, Ex5Prob3, Ex6Prob13, Ex6Prob2, Ex6Prob4, Ex7Prob1i34, Ex7Prob1ii,iii2, Ex8Prob1, Ex8Prob23, Ex8Prob4, Ex9Prob12, Ex9Prob3, Ex10