课程：Extreme Value Analytics in Finance, Insurance and Nature
（极值分析学及其在财经保险和自然领域的应用）
时间：2016年6月20、21、23日15:00-17:00
地点：云南财经大学北院卓远楼附楼305会议室
教师：Professor Zhengjun Zhang, Department of Statistics, University of Wisconsin
张正军教授简介：云南财经大学统计与数学学院特聘教授，威斯康星大学统计系教授、副主任；北卡罗来纳大学教堂山分校统计学博士，北京航空航天大学管理工程博士。曾获得University of North Carolina教学奖等多项奖励，2010年入选剑桥名人录。主持有10余项美国自然科学基金等科研课题和美国国家卫生署的重大研究课题；在JASA、JoE等顶级统计学、经济学期刊发表学术论文50余篇。同时担任Journal of Business and Economic Statistics等多个国际著名统计学期刊的副主编。
课程内容：
Extreme value theory is concerned with describing the extreme values of an observed process and the predictions of future extremes in the process. In practice, you cannot rely on statistical modeling by normal, lognormal, Weibull, or many other commonly used distributions all the way out into extreme tails. This lecture series tends to provide modern extreme value theory and methodologies for solving problems arising from financial risk management, insurance, the environment, and other fields. There will be three parts in this lecture series. Part 1 mainly addresses basic notions, extremal types theorems, and modeling with generalized extreme value distributions. Part 2 covers point process approach and modeling issues. Part 3 discusses multivariate extremes and max-stable processes.
主要参考文献
1、An Introduction to Statistical Modeling of Extreme Values, by Stuart Coles, Springer, 2001.
2、Extremes in Nature, An Approach Using Copulas, by Gianfausto Salvadori, Carlo De Michele, Nathabandu T. Kottegoda, Renzo Rosso, Springer, 2007.
3、Statistics of Extremes, with Application in Environment, Finance and Insurance, by Richard Smith, in Extreme Values in Finance, Telecommunications, and the Environment edited by Barbel Finkenstadt, Holger Rootzen, CRC Press, 2003.
4、Max-autoregressive and Moving Maxima Models for Modeling Extremes, by Zhengjun Zhang, Liang Peng, and Timothy Idowu, in Extreme Value Modeling and Risk Analysis: Methods and Applications, Editors: Dipak Dey and Jun Yan. Chapman Hall/CRC, 2015.
5、Dependence Modeling with Copulas, By Harry Joe, Chapman Hall/CRC, 2014.