STK9550 – Extreme value statistics and large devia-tions
Course description
Course content
Extreme outcomes appear in many different situations and are important within, for instance, insurance, finance, etc. This course offers an introduction to basic concepts about extreme value theory and the theory of large deviations, and the estimation of tails of probability distribution for actuarial reserves.
Learning outcome
After completing the course you have
- learned about classical limit theorems, extreme value distributions and distributions for the maxima of random variables
- learned how to estimate the probability of extremely rare events and rate of exceedance
- learned to find reasonable bounds for tails of distributions and higher order quantiles
- become familiar with applications of the theory of extreme values such the estimation of distributions of, e.g., flood, earthquakes, big insurance losses, equity risk, etc.
- received an introduction to the theory of large deviations and its applications to risk management.
Admission to the course
PhD candidates from the Faculty of Mathematics and Natural Sciences at the University of Oslo should apply for classes and register for examinations through Studentweb.
If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.
PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.
Recommended previous knowledge
Overlapping courses
- 10 credits overlap with STK4550 – Extreme value statistics and large devia-tions.
Teaching
4 hours of lectures/exercises per week throughout the semester.
The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.
Upon the attendance of three or fewer students, the lecturer may, in conjunction with the Head of Teaching, change the course to self-study with supervision.
Examination
Final written exam or final oral exam, which counts 100 % towards the final grade.
The form of examination will be announced by the lecturer by 15 October/15 March for the autumn semester and the spring semester respectively.
This course has 1 mandatory assignment that must be approved before you can sit the final exam.
In addition, each PhD candidate is expected to give an oral presentation on a topic of relevance chosen in cooperation with the lecturer. The presentation has to be approved by the lecturer before you can sit the final exam.
It will also be counted as one of the three attempts to sit the exam for this course, if you sit the exam for one of the following courses: STK4550 – Extreme value statistics and large devia-tions
Examination support material
No examination support material is allowed.
Language of examination
Courses taught in English will only offer the exam paper in English. You may write your examination paper in Norwegian, Swedish, Danish or English.
Grading scale
Grades are awarded on a pass/fail scale. Read more about the grading system.
Resit an examination
This course offers both postponed and resit of examination. Read more:
More about examinations at UiO
- Use of sources and citations
- Special exam arrangements due to individual needs
- Withdrawal from an exam
- Illness at exams / postponed exams
- Explanation of grades and appeals
- Resitting an exam
- Cheating/attempted cheating
You will find further guides and resources at the web page on examinations at UiO.