IAM782 SPECIAL TOPICS: EXTREME VALUES IN INSURANCE AND FINANCE
| Course Code: |
9700782 |
| METU Credit (Theoretical-Laboratory hours/week): |
3(0-0) |
| ECTS Credit: |
8.0 |
| Department: |
Institute Of Applied Mathematics |
| Language of Instruction: |
English |
| Level of Study: |
Graduate |
| Course Coordinator: |
Prof.Dr. ALÝ DEVÝN SEZER |
| Offered Semester: |
Fall and Spring Semesters. |
Course Content
Weak convergence of distributions and its characterization. Regular variation. Stable distributions and their domains of attraction. Extreme value distributions and their domains of attraction. Applications in insurance and finance such as the computation of tail risk and ruin probabilities.
