Mathematical Sciences

Lund University

Statistical Modelling of Extreme Values

Official Course Description


Extreme value theory concerns mathematical modelling of extreme events. Recent developments have introduced very flexible and theoretically well-motivated semi-parametric models for extreme values which are now at the stage where they can be used to address important technological problems on handling risks in areas such as large insurance claims or large fluctuations in financial data (volatility), climatic changes, wind engineering, hydrology, flood monitoring and prediction and structural reliability. In many applications of extreme value theory, predictive inference for unobserved events in the main interest. One wishes to make inference about events over a time period much longer than for which data is available. Statistical modelling of extreme events has been the subject of much practical and theoretical work in the last few years. The course will give an overview of a number of different topics in modern extreme value theory including the following: (i) statistical methods for extreme event, (ii) some examples of applications of the theory in large insurance claims due to wind storms, flood monitoring and pit corrosion, (ii) exercises on detailed step-by-step use of extreme value modelling, and (iv) discussion of some open problems in the field.

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