Course Syllabus for

Statistical Modelling of Extreme Values
Statistisk modellering av extremvärden

FMSN55F, 7.5 credits

Valid from: Spring 2021
Decided by: FN1/Anders Gustafsson
Date of establishment: 2014-01-19

General Information

Division: Mathematical Statistics
Course type: Course given jointly for second and third cycle
The course is also given at second-cycle level with course codes: FMSN55, FMS155
Teaching language: English


The course aims to give theoretical knowledge in mathematical modelling of extreme events and discusses in detail how the theory can be applied in practice. Extreme values are of interest in, e.g., economics, safety and reliability, insurance mathematics, hydrology, meteorology, environmental sciences, and oceanography, as well as branches in statistics such as sequential analysis and robust statistics. The theory is used, e.g., for flood monitoring, construction of oil rigs, and calculation of insurance premiums for re-insurance of storm damage. Often extreme values can lead to very large consequences, both financial and in the loss of life and property. At the same time the experience of really extreme events is lways very limited. Extreme value statistics is therefore forced to difficult and uncertain extrapolations, but is, none the less, necessary in order to use available experience in order to solve important problems.


Knowledge and Understanding

For a passing grade the doctoral student must

Competences and Skills

For a passing grade the doctoral student must

Course Contents

Extreme value theory concerns mathematical modelling of random extreme events. Recent development has introduced mathematical models for extreme values and statistical methods for them. Different courses of action for modelling of extreme values are discussed and guidance is given as to how the models can be modified to fit different practical situations. The students should also learn about more advanced models for extreme value analysis, including extreme values for non-stationary processes. The course will present the fundamental statistical methods for extreme value analysis, discuss examples of applications, i.a., regarding floods, storm damage, human life expectancy, and corrosion, provide practical use of the models, and point to some open problems and possible developments.

Course Literature

Coles, S.: An Introduction to Statistical Modeling of Extreme Values. Springer, 2001. ISBN 9781852334598.

Instruction Details

Types of instruction: Lectures, laboratory exercises, exercises

Examination Details

Examination formats: Written exam, written assignments
Grading scale: Failed, pass

Admission Details

Course Occasion Information

Contact and Other Information

Course coordinators:

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