课程：Extreme Value Theory in Finance, Insurance and Nature （极值理论及其在财经保险和自然领域的应用）

时间：2015年6月11日，6月13日

课程网址：http://sam.cufe.edu.cn/academic/86610.html

地点：中央财经大学沙河校区

2015年6月11日（星期四），10：10-12：00，19：00-20：50 沙河校区主教309

2015年6月13日（星期六），09：00-12：00，14：00-17：00 沙河校区主教309

（上机时间另行安排）

面向对象：课程面向国内各高校研究生、青年教师免费开放，食宿自理。短期课程参与者不需要报名，按时间前来听课即可。有关于课程的任何问题请联系李丰老师（电子邮件feng.li@cufe.edu.cn）

学时：12学时

教师：Professor Zhengjun Zhang, Department of Statistics, University of Wisconsin

张正军教授为中央财经大学“手拉手”项目特聘教授，威斯康星大学统计系教授、副主任；北卡罗来纳大学教堂山分校统计学博士，北京航空航天大学管理工程博士。美国统计学会、数理统计学会等多个学会会员，曾获得University of North Carolina教学奖等多项奖励，2010年入选剑桥名人录。主持有10余项美国自然科学基金等科研课题；在JASA等顶级统计学期刊发表学术论文50余篇。同时担任Journal of Business and Economic Statistics等多个国际著名统计学期刊的副主编。

课程内容

Extreme value theory is concerned with describing the extreme values of an observed process and the predictions of future extremes in the process. In practice, you cannot rely on statistical modeling by normal, lognormal, Weibull, or many other commonly used distributions all the way out into extreme tails. This lecture series tends to provide modern extreme value theory and methodologies for solving problems arising from financial risk management, insurance, the environment, and other fields. There will be three parts in this lecture series. Part 1 mainly addresses basic notions, extremal types theorems, and modeling with generalized extreme value distributions. Part 2 covers point process approach and modeling issues. Part 3 discusses multivariate extremes and max-stable processes.

主要参考文献

An Introduction to Statistical Modeling of Extreme Values, by Stuart Coles, Springer, 2001.

Extremes in Nature, An Approach Using Copulas, by Gianfausto Salvadori, Carlo De Michele, Nathabandu T. Kottegoda, Renzo Rosso, Springer, 2007.

Statistics of Extremes, with Application in Environment, Finance and Insurance, by Richard Smith, in Extreme Values in Finance, Telecommunications, and the Environment edited by Barbel Finkenstadt, Holger Rootzen, CRC Press, 2003.

Max-autoregressive and Moving Maxima Models for Modeling Extremes, by Zhengjun Zhang, Liang Peng, and Timothy Idowu, in Extreme Value Modeling and Risk Analysis: Methods and Applications, Editors: Dipak Dey and Jun Yan. Chapman Hall/CRC, 2015.

Dependence Modeling with Copulas, By Harry Joe, Chapman Hall/CRC, 2014.