STK4550 – Extreme value statistics and large devia-tions
Changes in the course due to coronavirus
Spring 2021 the exams of most courses at the MN Faculty will be conducted as digital home exams or oral exams, using the normal grading scale. The semester page for your course will be updated with any changes in the form of examination.
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.
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.
Recommended previous knowledge
- STK1100 – Probability and Statistical Modelling
- emne: STK1110
- STK2130 – Modelling by Stochastic Processes
- STK3505 – Problems and Methods in Actuarial Science
- STK-MAT3710 – Probability Theory
- 10 credits overlap with STK9550 – Extreme value statistics and large devia-tions.
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.
Final written exam 4 hours 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.
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: STK9550 – 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.
Grades are awarded on a scale from A to F, where A is the best grade and F is a fail. Read more about the grading system.
Resit an examination
This course offers both postponed and resit of examination. Read more: