Statistical Modelling

6 ECTS credits
150 h study time

Offer 1 with catalog number 4019839ENR for all students in the 2nd semester of odd academic years (e.g. 2013-2014) at a (E) Master - advanced level.

Semester

biennial: 2nd semester of an odd academic year (e.g. 2013-2014)

Enrollment based on exam contract

Impossible

Grading method

Grading (scale from 0 to 20)

Can retake in second session

Yes

Enrollment Requirements

Enrolling in ‘Statistical Modelling’ means that you simultaneously follow 'Stochastic Processes' or have successfully passed ‘Stochastic Processes’.

Taught in

Dutch

Faculty

Faculty of Sciences and Bioengineering Sciences

Department

Mathematics

Educational team

Tetyana Kadankova (course titular)

Activities and contact hours

30 contact hours Lecture
30 contact hours Seminar, Exercises or Practicals

Course Content

We will start with the  theory of copulas. Then we will see the applications for modelling of dependent  actuarial data. Then we consider generalized linear models and their applications in actuarial sciences. In the third part  of the course we will  study the extreme values theory (EVT).  The  final part will  cover the   high  frequency financial  data. 

Course material

Digital course material (Required) : Syllabus in PDF formaat
Handbook (Recommended) : An Introduction to Copulas, R. Nelsen, 2de, Springer, 9781441921093, 2010
Handbook (Recommended) : Copula Methods in Finance, Umberto Cherubini, Elisa Luciano, and Walter Vecchiato, Wiley, 9780470863442, 2004
Handbook (Recommended) : Modelling extremal events, For Insurance and Finance, Embrechts, Kluppelberg, Mikosch, Springer, 9783642082429, 2010
Handbook (Recommended) : Stochastic processes for insurance and finance, Rolski, Schmidli, Schmidt, Teugels, Wiley, 9780470743638, 2008
Handbook (Recommended) : Quantitative Risk Management, Concepts, Techniques, and Tools, A.J. McNeil, R. Frey, P. Embrechts, Princeton University Press, 9780691166278, 2015
Handbook (Recommended) : Generalized Linear models for insurance data, P.De Jong, G.Z. Heller, Cambridge Univ. Press, 9780521879149, 2008
Digital course material (Required) : Nota's en slides van de docent

Additional info

none

Learning Outcomes

General competencies

 

The student gets insight into several statistical topics and methods such as modelling of  dependent actuarial and financial  data using copulas; regression  techniques for  non-normal data;  methods of  extreme values theory to model  extreme data and the  time series analysis  for describing  behaviour of time dependent insurance and financial data. The student can implement these methods by use of R.

The students  can analyze some  scientific articles in these fields. 

Grading

The final grade is composed based on the following categories:
Oral Exam determines 30% of the final mark.
Written Exam determines 70% of the final mark.

Within the Oral Exam category, the following assignments need to be completed:

• Mondeling examen with a relative weight of 1 which comprises 30% of the final mark.

Within the Written Exam category, the following assignments need to be completed:

• Schriftelijk examen with a relative weight of 1 which comprises 70% of the final mark.

Additional info regarding evaluation

none

Allowed unsatisfactory mark

The supplementary Teaching and Examination Regulations of your faculty stipulate whether an allowed unsatisfactory mark for this programme unit is permitted.

Academic context

This offer is part of the following study plans:
Master of Mathematics: Financial and Applied Mathematics (only offered in Dutch)