NMAK18000U An Introduction to Large Deviations
MSc Programme in Actuarial Mathematics
MSc Programme in Statistics
This will be an introductory course in the theory of large deviations and its applications. Topics will include: Cramer's theorem for sample means and for level crossings, moderate deviations, heavy tails, and a brief introduction to the multidimensional theory. Applications will include insurance mathematics and finance, statistics, and Monte Carlo methods (importance sampling).
Knowledge: By the end of the course, the student should develop an understanding of the basic principles of large deviations and some of its applications.
Skills: The student should develop analytical and computational skills for analyzing complex problems using large deviation methods.
Competencies: The student should develop an understanding of, and be able to apply, the Cramer theorems (and their analogs for moderate deviations and heavy tails), including basic multidimensional problems. The student should also understand natural applications to importance sampling, insurance and finance, and statistics.
- Category
- Hours
- Exam
- 1
- Lectures
- 28
- Preparation
- 177
- Total
- 206
As
an exchange, guest and credit student - click here!
Continuing Education - click here!
- Credit
- 7,5 ECTS
- Type of assessment
- Oral examination, 30 minutes30 minute oral exam without aids and without preparation.
- Aid
- Without aids
- Marking scale
- 7-point grading scale
- Censorship form
- No external censorship
One internal examinator.
- Re-exam
Same as ordinary.
Criteria for exam assesment
The student must in a satisfactory way demonstrate that he/she has mastered the learning outcome of the course.
Course information
- Language
- English
- Course code
- NMAK18000U
- Credit
- 7,5 ECTS
- Level
- Full Degree Master
- Duration
- 1 block
- Placement
- Block 1
- Schedule
- B
- Course capacity
- No restrictions/no limitation
- Continuing and further education
- Study board
- Study Board of Mathematics and Computer Science
Contracting department
- Department of Mathematical Sciences
Contracting faculty
- Faculty of Science
Course Coordinators
- Jeffrey F. Collamore (collamore@math.ku.dk)