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Risk Theory

Class at Faculty of Mathematics and Physics |
NMFM503

Syllabus

Series of events. Poisson proces.

Renewal processes. Collective model of risk theory.

Fundamentals of extreme value theory. Modelling dependence.

Copulas.

Annotation

Point processes. Collective risk model in continuous time.

Ruin theory. Large claims modeling.

Fundamentals of extreme value theory. Modeling dependencies.

Copulas. Measures of tail dependence.