Pensum/Syllabus_澳门葡京手机版app下载

proske
2023-01-02T07:37:47.635Z
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Det er planlagt ? bruke f?lgende pensumsb?ker i forbindelse med kurset v?rt:

1. P. Embrechts, C. Klüppelberg, 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, Klüppelberg, 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
...