STK4550 – Extreme value statistics and large devia-tions

Schedule, syllabus and examination date

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

Students admitted at UiO must?apply for courses?in Studentweb. Students enrolled in other Master's Degree Programmes can, on application, be admitted to the course if this is cleared by their own study programme.

Nordic citizens and applicants residing in the Nordic countries may?apply to take this course as a single course student.

If you are not already enrolled as a student at UiO, please see our information about?admission requirements and procedures for international applicants.