Modul

The module will be completed by an oral exam (approx. 20 min).

Students are able to

   ·       name, explain, motivate and apply statistical methods for estimating risk measures,

   ·       model and quantify extreme events,

   ·       apply specific probabilistic techniques of extreme value theory,

•   master proof techniques,

    ·      work in a self-organised and reflective manner.

None

·         Theorem of Fisher and Tippett's

·         Generalised extreme value and Pareto distribution (GED and GPD)

·         Domain of attractions of generalised extreme value distributions

·         Theorem of Pickands-Balkema-de Haan

·         Estimation of risk measures

·         Hill estimator

·         Block maxima method

·         POT method

The content of the module "Probability theory" is recommended.

Total workload: 120 hours

Attendance: 45 hours

• lectures and problem classes including the examination.

Self studies: 75 hours

    ·      follow-up and deepening of the course content

    ·      work on problem sheets

    ·      literature and internet research on the course content

    ·      preparation for the module examination