Messages
Place: Room 723, NHA
Time: Friday, 27. May:
09:00 Jardar Johannes Reigstad
10:00 Amund Bjørnevik
11:00 Juan Pablo Villa Jimenez
13:00 Ayanthan Sivalingam Alvapillai
14:00 Truls Georg Hermansen
15:00 Amir Ibrahim Said
Remember (!) to inform me about the topic of your presentation latest 3 days before the exam (i.e. on Tuesday, 24. May)!
The (non-digital!) oral exam is supposed to be on Friday, 27. May, 2022 (starting at 9:00 am), that is
27. May, Friday: 09:00-16:00 (6 students, place and time will be announced, soon).
The exam procedure is as follows: The exam takes 45 min. and consists of two parts:
1. Talk/presentation of a topic of free choice about extreme value statistics. The title and topic of the presentation are supposed to be communicated to me (by e-mail) latest 3 days before the exam and approved by myself. The length of the talk is limited to 20 minutes and the form of the presentation is up to the candidate (blackboard, beamer slides,...).
2. General questions about extreme value statistics.
The pensum of the course comprises the sections 1, 2, 3, 4, 5 in my lecture notes.
Regarding section 5 (Weak convergence of point processes) knowledge about basic notions is assumed (i.e. d...
Wednesday, 11. May was our last lesson!
The oral exam in STK4550 is supposed to be on Friday, 27. May (starting from 09:00).
More details about the exam will be posted, soon.
Because of the "Insurance Day" there will be no lecture on Tuesday, 26. April. We are supposed to continue with our course on Wednesday, 27. April.
The Department of Mathematics at the University of Oslo has again the pleasure to invite you to an Insurance Day! We offer a schedule with interesting topics within finance and insurance. This event brings industry and academia together and it is also a good chance for students to come in touch with our industrial partners! Among other topics we have:
- Reserving models and the use of new technology,
- Market valuat...
Here: MandatoryAssignment
Deadline: Thursday, 21. April, 14:30 (electronic submission via Canvas).
Studenrepresentanten for kurset er Amund Bjørnevik (amunbj(at)math.uio.no).
In our last lessons (8. Feb.-1. March) we studied the exact asymptotics of ruin probabilities in the case of small and large claim sizes, by using Smith´s key renewal theorem and the theory of regularly varying functions. See Chapter 1 in the book of Embrechts.
Further (2.-9. March) we discussed one of the main results of extreme value theory, that is the theorem of Fisher-Tippett-Gnedenko, which can be regarded as a central limit theorem for maximal claims (Ch. 3 in Embrechts). The latter result is also important for the practical study of large claims, which may cause the spontaneous ruin of an insurance company.
Next time (15./16. March) we want to address the problem of the characterization of the maximum domain of attraction of extreme value distributions.
Our study plan for the next weeks is the following:
End of March: Discussion of convergence rates with respect to the Fisher-Tippett-Gnedenko theorem and s...
Apply for a summer research project within the field of sustainable energy - UiO:Energy
www.uio.no
UiO:Energy  will fund a number of summer research projects within the field of sustainable energy. Students currently enrolled in their last year of a bachelor program, master program or a relevant professional degree program
Vi startet opp kurset vårt med en kort innføring i ekstremverdistatistikk og teori av store avvik og skaffet oss oversikt over emner vi kommer til å studere. Dessuten repeterte vi (27. jan./2. feb.) grunnleggende begrep og resultater fra sannsynlighetsregning (f.eks. stokastisk prosess, (betinget) forventningsverdi,...) som vi f.eks. trenger til estimering av ekstremverdi-fordelinger.
Neste gang (8. feb.) skal vi fortsette med kap. 1 i boken til Embrechts og studere effektene av "små" og "store" forsikringskrav på modeller fra risikoteori.
In our first lesson I gave a brief introduction to extreme value theory and the theory of large deviations and an overview of some central problems we want to study in this course. Further, in our last lessons (27. Jan./1. Feb.) we finished our crash course on basic concepts and results from&nb...
Lecture notes: Part0, Part1, Part2, Part3, Part4, Part5, Part6, Part7, Part8, Part9, Part10, Part11, Part12, Part13, Part14, Part15
Exercises: Ex1, Ex2, Ex3, Ex4, Ex5, Ex6, Ex7, Ex8, Ex9, Ex10
Solutions: Ex1Prob124, Ex1Prob3,Ex1Prob56, Ex2Prob1, Ex2Prob2, Ex2Prob3, Ex2Prob4, Ex3Prob12, Ex3Prob3, Ex3Prob4, Ex4Prob1, Ex4Prob2, Ex4Prob34, Ex5Prob12, Ex5Prob3, Ex6Prob13, Ex6Prob2, Ex6Prob4, Ex7Prob1ii,iii2, Ex7Prob1i34, Ex8Prob1, Ex8Prob23, Ex8Prob4, Ex9Prob12, Ex9Prob3, Ex10
Den Norske Aktuarforening (DNA) inviterer til det årlige seminaret Aktuarfokus. Aktuarfokus 2022 avholdes som et digitalt seminar.
Studentene er velkommen til Aktuarfokus 14. februar.
Møtet skal være på teams og er gratis for studenter.
Påmelding er bindende og gjøres på aktuarforeningens hjemmeside:
www.aktfor.no senest 10. februar 2021 kl 12.00.
Ved spørsmål kontakt admin@aktfor.no
I forkant av arrangementet vil du motta informasjon om pålogging
From next week on, there will be on-campus teaching at the Department of Mathematics.
- We encourage the students to follow normal infection control measures during the lectures, i.e. distance, mask, absence in case of respiratory infections
- There will be a digital alternative to the ordinary teaching, at least a scanned version of lecture notes that are posted on the semester page
- Details about exam will be presented later
Prof. Colin Ramsay (University of Nebraska-Lincoln) will give a mini course on "Pension Mathematics for Single Employer Defined Benefit (DB) Plans" in February (01.02.22-24.02.22). The course is strongly recommended to master and bachelor students in insurance and financial mathematics. Some background knowledge on insurance mathematics (based e.g. on STK3505) would be desirable for this course.
See the file for a more detailed course description.
Time: Every Tuesday, 10:15-12:00 in the time period 01.02.2022-22.02.2022
Every Thursday,10:15-12:00 in the time period 03.02.2022-24.02.2022
Place: room 1000, NHA.
You are welcome to this course!
Vi starter opp med kurset (ikke digitalt) på tirsdag, 25. januar, 12:15-14:00, NHA undervisningsrom 107 (dvs. det blir ikke (!) undervisning på onsdag, 19. januar pga sykdom).
Our first lesson (not online) is supposed to be on Tuesday, 25. January, 12:15-14:00, NHA, room 107 (so there is no (!) lesson on Wednesday, 19. Jan. because of illness).
Vi starter opp med kurset på onsdag, 19. januar, 10:15-12:00, NHA Seminarrom 126 (det blir ikke (!) undervisning på tirsdag, 18. januar pga sykdom).
Our first lesson is supposed to be on Wednesday, 19. January, 10:15-12:00, NHA Seminarrom 126 (there is no (!) lesson on Tuesday, 18. Jan.).
Det er planlagt å bruke følgende pensumsbøker i forbindelse med kurset vårt:
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).
Støttelitteraturen vi trenger er:
3. A. McNeil, R. Frey, P. Embrechts: Quantitative Risk Management. Princeton Series in Finance (2015).
Pensum:
Det er planlagt å gjennomgå følgende kapitler i boken til Embrechts, Klüppelberg, Mikosch om modellering av ekstreme hendelser:
1. Risk Theory (som innføring 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
...