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課程：Extreme Value Analytics in Finance, Insurance and Nature
（極值分析學(xué)及其在財(cái)經(jīng)保險(xiǎn)和自然領(lǐng)域的應(yīng)用）

時(shí)間：2016年6月20,、21,、23日15:00-17:00

地點(diǎn)：云南財(cái)經(jīng)大學(xué)北院卓遠(yuǎn)樓附樓305會議室

教師：Professor Zhengjun Zhang, Department of Statistics, University of Wisconsin

張正軍教授簡介：云南財(cái)經(jīng)大學(xué)統(tǒng)計(jì)與數(shù)學(xué)學(xué)院特聘教授，威斯康星大學(xué)統(tǒng)計(jì)系教授,、副主任,；北卡羅來納大學(xué)教堂山分校統(tǒng)計(jì)學(xué)博士，北京航空航天大學(xué)管理工程博士,。曾獲得University of North Carolina教學(xué)獎等多項(xiàng)獎勵,，2010年入選劍橋名人錄。主持有10余項(xiàng)美國自然科學(xué)基金等科研課題和美國國家衛(wèi)生署的重大研究課題,；在JASA,、JoE等頂級統(tǒng)計(jì)學(xué),、經(jīng)濟(jì)學(xué)期刊發(fā)表學(xué)術(shù)論文50余篇。同時(shí)擔(dān)任Journal of Business and Economic Statistics等多個國際著名統(tǒng)計(jì)學(xué)期刊的副主編,。

課程內(nèi)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.

主要參考文獻(xiàn)
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.