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ACTSC 965Extreme Value Theory

Units
0.50
Level
Graduate
Faculty
Mathematics
Subject
Actuarial Science

When it runs

  1. F24
  2. W25
  3. S25
  4. F25
  5. W26
  6. S26
  7. F26
  8. W27
  9. S27

Ran in 0 of the last 7 terms. Winter 2027: not on the schedule. Spring 2027: schedule not out yet.

Ruin Theory for heavy-tailed distributions. Fluctuation of maxima and upper order statistics. Extreme value distributions: Weibull, Frechet, Gumbel and generalized Pareto. Mean excess function. Statistical methods for external events. Estimation of parameters of extreme value and excess distributions. Applications in finance and insurance.

Prerequisites

None listed.

Antirequisites

None listed.

Leads to

No course lists it as a requisite.

Discussed on r/uwaterloo

2 posts and comments in 1 thread mention ACTSC 965, October 2017 to December 2024. Quoted word for word, newest first; each reply sits under the post and the comment that started its branch. Search r/uwaterloo for newer posts.

Fall 2017

PSA: UWCourseLinker back up, disabled by default, call with [[course code]] 39 points, 31 comments

u/RayDWatson: “… [[ACTSC862]] [[ACTSC863]] [[ACTSC936]] [[ACTSC961]] [[ACTSC963]] [[ACTSC964]] [[ACTSC965]] [[ACTSC966]] [[ACTSC970]] [[ACTSC971]] [[ACTSC972]] [[ACTSC973]] [[ACTSC974]] [[ACTSC980]] [[ACTSC991]] [[ACTSC992]] [[ADMGT601]] [[ADMGT602]] [[ADMGT603]] [[ADMGT604]] [[ADMGT605]] …”

u/UWCourseLinker: “… 963 - Insurance Surplus Mathematics ACTSC 964 - Topics in Quantitative Risk Management ACTSC 965 - Extreme Value Theory ACTSC 966 - Aggregate Claims Models ACTSC 970 - Finance 1 ACTSC 971 - Finance 2 ACTSC 972 - Finance 3 ACTSC 973 - Portfolio Optimization ACTSC 974 - Financial …”

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Calendar versions

Graduate Calendar

Older Graduate Calendars

In 42 terms, Fall 2006 to Winter 2024