Week 12

Please fill out the end of subject survey (ESS) here– thanks in advance!

Overview #

Continuing on with the Claims Modelling component of the subject, which corresponds to the Section 1 of the CS2 syllabus we will cover Module 6–Extreme Value Theory–and

• discuss how to work out the limiting distribution of the maximum of a sample;
• discuss how to work out the limiting distribution of the excess cost of a threshold.

See also detailed learning outcomes 1.4 of the CS2 syllabus here.

Note: Lectures in week 12 are pre-recorded lectures

Main references and lectures #

Module 6 #

Read: Module 6 SLIDES SLIDES FROM RECORDING

annotated slides (UG) | annotated slides (PG)

Watch: refer to your lecture recording under “Lecture Capture” ( UG/ PG). This is where annotated slides will be made available, too.

Additional preparation and resources #

Mandatory #

1. CS2, Unit 4 - Extreme Value Theory (available from Readings Online)
2. Gilleland and Katz (2016) for the R components click here to download

Optional #

1. n/a

Tutorials #

Note that a full list of exercises is available here. Please let us know of any mistake or required update on Ed.

Pre-Tutorial work #

Please study those questions before the tutorial.

Pre-Tutorial exercises are available in the Pre-Tutorial book, which already includes solutions. It is recommended to attempt the questions before looking at the solutions

Tutorial materials #

Some questions have been especially selected for the tutorials. Students should review and attempt those questions prior to their scheduled tutorial, after they complete the pre-tutorial work.

The Tutorial book includes all questions for the whole semester already, but solutions will only be added sequentially at the end of each week, as we work our way through the set.

Note that solutions will be gradually added to that same document. Hence it is not recommended to print it, as it will regularly change (typos will also dynamically be corrected).

This week #

This week, we will cover Module 6 tutorials.

Next week (SWOT Vac) #

Next week, it’s SWOT Vac!

Additional questions #

The “additional questions” are here for reinforcement or revision, but are not the main focus of the tutorials. Solutions for those exercises are already available.

Preparation for assessment #

Mid-semester (15%) and final (60%) exams #

Mid-semester exam is done! 😄

For the final exam:

• Finalise your Summary of Module 6.
• Start a Summary of Module 6.

Assignment (25%) #

The Assignment is done! 😄

References #