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Dependence & Extremes in Risk Management
| Faculteit | Economie en Bedrijfskunde |
| Jaar | 2022/23 |
| Vakcode | EBM113A05 |
| Vaknaam | Dependence & Extremes in Risk Management |
| Niveau(s) | master, uitwisseling |
| Voertaal | Engels |
| Periode | semester I a |
| ECTS | 5 |
| Rooster | rooster |
| Uitgebreide vaknaam | Dependence & Extremes in Risk Management | ||||||||||||||||||||||||
| Leerdoelen | Upon completion of the course the student is able to: 1. Recommend, justify, and appraise models in modern quantitative risk management. 2. Use the scientific literature in actuarial science and risk management to justify choices when applying such models. 3. Evaluate properties of estimators in simple settings 4. Apply these risk models to simple cases 5. Replicate, assess, and evaluate a scientific paper 6. Appreciate the restrictions of the (multivariate) normal distribution, and able to propose alternatives. |
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| Omschrijving | The normal distribution is the one most used in theoretical and practical work, because of its tractability. However, it imposes strong restrictions on extremes, and dependence (in the context of multivariate random variables). In this course, we explore alternatives to the distribution, and argue that modern risk management should be focusing on tail behaviour. Also, we treat an alternative way to model dependence between random variables: by specifying the marginal distributions and the dependence structure separately, using copula's. Even though models in risk management provide the leading examples, the methods are widely applicable. | ||||||||||||||||||||||||
| Uren per week | 4 | ||||||||||||||||||||||||
| Onderwijsvorm | -computer practicum, -hoorcollege , gecombineerde hoor-/werkcolleges | ||||||||||||||||||||||||
| Toetsvorm |
-groepsopdracht, -schriftelijk tentamen (open vragen)
(Group homework assignments) |
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| Vaksoort | master | ||||||||||||||||||||||||
| Coördinator | prof. dr. R.H. Koning | ||||||||||||||||||||||||
| Docent(en) | prof. dr. R.H. Koning | ||||||||||||||||||||||||
| Verplichte literatuur |
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| Entreevoorwaarden | The course assumes active knowledge of multivariate statistics, and the computer assignments are done in R. | ||||||||||||||||||||||||
| Opmerkingen | Info: Prof. Ruud Koning, phone +31(0)50 36 37192, e-mail r.h.koning@rug.nl Secretary: Martine Geerlings-Koolman, phone +31(0)50 36 37018, e-mail m.a.koolman@rug.nl |
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