Info
Schedule:
- Monday 10.15-11.45 J. Liivi 2 - 402
Moodle page of the course: https://moodle.ut.ee/course/view.php?id=2780
Amount of credits: 3 ECTS (EAP)
Course code: MTMS.02.023
Lecturer: Meelis Käärik (associate professor, Institute of Mathematical Statistics, University of Tartu)
Target group: master students of actuarial and financial engineering / financial mathematics / financial and actuarial mathematics / mathematics and statistics programmes
Recommended prerequisites:
- MTMS.01.001 Mathematical Statistics I
- MTMS.02.004 Probability II
Brief description: The course gives an overview of the most common distributions used in financial and actuarial mathematics. Special attention is paid to the heavy-tailed distributions. Several tools of fitting distributions are also discussed.
Objectives of the course:
- to give an overview of the basic univariate probability distributions that are used for modelling the distributions of the random variables arising in the financial context;
- to introduce the principal differences of light-tailed and heavy-tailed distributions and their applications.
Learning outcomes:
Participants who pass this course will be able to:
- name the prominent univariate probability distributions used in financial context and calculte their numerical characteristics;
- point out the relationships between the aforementioned distributions and compare them on the basis of the tail;
- tell if the data-set comes fom a heavy-tailed distribution.
Final assessment: non-differentiated (pass/fail)
Requirements to be met for final assessment: At least 75% of home assignments done.
Composition of the final result: To pass the course the participants must:
- complete at least 75% of home assignments
- successfully defend the project describing one probability distribution (this includes one talk in a seminar, writing of the project report and reviewing one project report)
Recommended study materials: Recommended study materials:
- Klugman, Panjer & Willmot (2004). Loss Models: From Data to Decisions.
- Cooke & Nieboer (2011). Heavy-Tailed Distributions: Data, Diagnostics, and New Developments.
- Balakrishnan, Nevzorov (2003). A Primer on Statistical Distributions.
- Evans, Hastings & Peacock (2000). Statistical Distributions.
- Embrechts, Mikosch & Klüppelberg (1997). Modelling Extremal Events: for Insurance and Finance.
- Resnick (2007). Heavy-Tail Phenomena: Probabilistic and Statistical Modeling
Additional information: Meelis Käärik (meelis.kaarik@ut.ee)