This entry is from Winter semester 2018/19 and might be obsolete. No current equivalent could be found.

# Extreme Value Theory (dt. Extremwerttheorie)

 Level, degree of commitment Specialization module, compulsory elective module Forms of teaching and learning,workload Lecture (3 SWS), recitation class (1 SWS), 180 hours (60 h attendance, 120 h private study) Credit points,formal requirements 6 CP Course requirement(s): Written or oral examination Examination type: Successful completion of at least 50 percent of the points from the weekly exercises. Language,Grading German,The grading is done with 0 to 15 points according to the examination regulations for the degree program M.Sc. Business Mathematics. Duration,frequency One semester, Regularly alternating with other specialization modules Person in charge of the module's outline Prof. Dr. Markus Bibinger

## Contents

We introduce the basic stochastic extreme value theory, which investigates the behavior of extreme values (so-called ''outliers''), especially their asymptotic distributions. Important aspects will be extreme value distributions, the theorem by Fisher-Tippett, ''domain of attraction'', order statistics and point processes. Methods for statistical inference are discussed. In addition, applications of extreme value theory in financial risk management and for climate data are given as examples.

## Qualification Goals

The students shall

• acquire knowledge in the field of specialization of extreme value theory as a subfield of stochastics,
• understand the differences between methods based on mean values or order statistics,
• learn techniques for statistical analysis,
• learn about interdisciplinary application possibilities, especially in risk management,
• improve their communication skills in the recitation class.

## Prerequisites

Translation is missing. Here is the German original:

Keine. Empfohlen werden die Kompetenzen, die in den Basismodulen, im Vertiefungsmodul Wahrscheinlichkeitstheorie und im Praktikum zur Stochastik vermittelt werden.

## Applicability

Module imported from M.Sc. Business Mathematics.

It can be attended at FB12 in study program(s)

• B.Sc. Mathematics
• M.Sc. Data Science
• M.Sc. Mathematics

When studying B.Sc. Mathematics, this module can be attended in the study area Compulsory Elective Modules in Mathematics.

Die Wahlmöglichkeit des Moduls ist dadurch beschränkt, dass es der Angewandten Mathematics zugeordnet ist.