Fiches de cours

Risk, rare events and extremes

MATH-447

Enseignant(s) :

Davison Anthony C.

Langue:

English

Remarque

Cous donné en alternance tous les deux ans (donné en 2018-19)

Summary

Modelling of rare events, such as stock market crashes, storms and catastrophic structural failures, is important. This course will describe the special models and methods that are relevant to such modelling, including the mathematical bases, statistical tools and applications.

Content

Learning Prerequisites

Important concepts to start the course

Probability and statistics at the level of second-year bachelor (mathematics), plus further knowledge of statistics and stochastic processes.

Learning Outcomes

By the end of the course, the student must be able to:

Teaching methods

Lectures, theoretical and computational exercises in class and at home.

Assessment methods

Mini-project, final exam.

Dans le cas de l'art. 3 al. 5 du Règlement de section, l'enseignant décide de la forme de l'examen qu'il communique aux étudiants concernés.

Supervision

Assistants Yes

Resources

Bibliography

Coles, S. G. (2001)  An Introduction to the Statistical Modelling of Extreme Values.  Springer.

Beirlant, J,  Goegebeur. Y., Teugels. J. and Segers. J. (2004) Statistics of Extremes: Theory and Applications.  Wiley.

Dans les plans d'études

Semaine de référence

 LuMaMeJeVe
8-9GCB330    
9-10    
10-11GCB330    
11-12    
12-13     
13-14     
14-15     
15-16     
16-17     
17-18     
18-19     
19-20     
20-21     
21-22     
 
      Cours
      Exercice, TP
      Projet, autre

légende

  • Semestre d'automne
  • Session d'hiver
  • Semestre de printemps
  • Session d'été
  • Cours en français
  • Cours en anglais
  • Cours en allemand