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Vi starter opp med kurset (Zoom) p? onsdag, 20. januar, 12:15-14:00 (dvs. det blir ikke (!) undervisning p? 15. januar pga sykdom).

Our first lesson is supposed to be on Wednesday, 20. January, 12:15-14:00 (so there is no (!) lesson on Friday, 15. Jan. because of illness).

Vi starter opp med kurset p? fredag, 15. januar, 10:15-12:00 (dvs. det blir ikke (!) undervisning p? onsdag, 13. januar pga sykdom).

Vi skal bruke f?lgende pensumsb?ker i forbindelse med kurset v?rt:

1. P. Embrechts, C. Kl¨¹ppelberg, T. Mikosch: Modelling Extremal Events: for Insurance and Finance. Springer (2012).

2. S.R.S. Varadhan: Large Deviations and Applications. Courant Institute of Mathematical Sciences (1994/2016).

St?ttelitteraturen vi trenger er:

3. A. McNeil, R. Frey, P. Embrechts: Quantitative Risk Management. Princeton Series in Finance (2015).

Pensum:

Det er planlagt ? gjennomg? f?lgende kapitler i boken til Embrechts, Kl¨¹ppelberg, Mikosch om modellering av ekstreme hendelser:

1. Risk Theory (som innf?ring i subeksponentielle fordelinger)

2. Fluctuations of Sums

3. Fluctuations of Maxima

4. Fluctuations of Upper Order Statistics

5. An Approach to Extremes via Point Processes

6. Statistical Methods for Extremal Events

7. Time Seri...