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# Mathematical Statistics: Quantitative Risk Management using Copulas

Course · 7.5 credits

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## Description

Advanced dependence modelling in multivariate data analysis is an important and challenging subject with important applications in finance, environmental studies and insurance. This course provides an introduction to parameter mixture distributions, conditional independence and asymptotic models used to construct multivariate models in higher dimensions, along with a discussion of why there is a need to separate the dependence structure from the marginal distributions.

The course has three main objectives:

1. To discuss fundamental and flexible methods for modern dependence

modelling with copulas and to demonstrate how the theory can be used in

real life applications.

2. To cover the probability theory of multivariate extreme value theory

and show how this can be seen as a special case of point 1 above.

3. To give an introduction to programming in R, with a focus on specialized libraries for

using copulas and analysing multivariate extreme value data.

## Course documents

Syllabus (PDF - new window)

## Contact

Mathematical Statistics

Visiting address
Sölvegatan 18A, 223 62 Lund

Postal address
Box 118, 221 00 Lund

+46 46 222 85 50

http://www.maths.lu.se/english/divisions/mathematical-statistics/

## Requirements and selection

### Entry requirements

Knowledge equivalent to 90 ECTS credits within the subjects of mathematics or mathematical statistics is required. 7,5 ECTS credits must be on an advanced level, the remaining 82.5 ECTS credits may be on a basic or advanced level. Among these 90 ECTS credits knowledge equivalent to MASM15, Mathematical Statistics: Statistical Modelling of Extreme Values, 7.5 credits is required. And, English course 6/B (advanced proficiency).

### Selection criteria

Seats are allocated according to: ECTS (HPAV): 100 %.

### English language requirements

Most of Lund University’s programmes require English Level 6 (unless otherwise stated under 'Entry requirements'). This is the equivalent of an overall IELTS score of 6.5 or a TOEFL score of 90. There are several ways to prove your English language proficiency – check which proof is accepted at the University Admissions in Sweden website. All students must prove they meet English language requirements by the deadline, in order to be considered for admission.

How to prove your English proficiency – universityadmissions.se

### Country-specific requirements

Check if there are any country-specific eligibility rules for you to study Bachelor's or Master's studies in Sweden:

Country-specific requirements for Bachelor's studies – universityadmissions.se

Country-specific requirements for Master's studies – universityadmissions.se

## Apply

### Start Autumn Semester 2023

Day-time Lund, part time 50%

In English

Study period

28 August 2023 - 26 October 2023

Application

Last application date 2023-04-17

### Start Autumn Semester 2023

Day-time Lund, part time 50%

In English

Study period

27 October 2023 - 14 January 2024

Application

Cancelled

### How to apply

Lund University uses a national application system run by University Admissions in Sweden. It is only possible to apply during the application periods.

When to apply for studies

### Step 1: Apply online

• Check that you meet the entry requirements of the programme or course you are interested in (refer to the section above on this webpage).
• Start your application – go to the University Admissions in Sweden website where you create an account and select programmes/courses during the application period.
Visit the University Admissions in Sweden website
• Rank your programme/course choices in order of preference and submit them before the application deadline.

### Step 2: Submit documents

• Read about how to document your eligibility and how to submit your documents at the University Admissions in Sweden website. Follow any country-specific document rules for Master's studies or Bachelor's studies
Country-specific requirements for Bachelor's studies – universityadmissions.se
Country-specific requirements for Master's studies – universityadmissions.se

• Get all your documents ready:
- official transcripts and high school diploma (Bachelor's applicants)
- official transcripts and degree certificate or proof of expected graduation (Master's applicants)
- passport/ID (all applicants) and
- proof of English proficiency (all applicants).

• Prepare programme-specific documents if stated in the next paragraph on this webpage.
• Upload or send all required documents to University Admissions before the document deadline.
• Pay the application fee (if applicable – refer to the section below on this webpage) before the document deadline.

* Note that the process is different if you are applying as an exchange student or as a part of a cooperation programme (such as Erasmus+).
* If you have studied your entire Bachelor's programme in Sweden and all of your academic credits are in Ladok, you do not have to submit transcripts or your diploma when applying for a Master's programme. However, there may still be other documents you need to submit! See the link below.

## Tuition fees

### Non-EU/EEA citizens

Full programme/course tuition fee: SEK 19 375

First payment: SEK 19 375

Convert currency – xe.com

Citizens of a country outside of the European Union (EU), the European Economic Area (EEA) and Switzerland are required to pay tuition fees. You pay one instalment of the tuition fee in advance of each semester.

Tuition fees, payments and exemptions

### EU/EEA citizens and Switzerland

There are no tuition fees for citizens of the European Union (EU), the European Economic Area (EEA) and Switzerland.

### Application fee

If you are required to pay tuition fees, you are generally also required to pay an application fee of SEK 900 when you apply at the University Admissions in Sweden website. You pay one application fee regardless of how many programmes or courses you apply to.

*Note that there are no tuition or application fees for exchange students or doctoral/PhD students, regardless of their nationality.

## Scholarships & funding

### Lund University Global Scholarship programme

The Lund University Global Scholarship programme is a merit-based and selective scholarship targeted at top academic students from countries outside the EU/EEA.

Lund University Global Scholarship

### Swedish Institute Scholarships

The Swedish Institute offers scholarships to international students applying for studies in Sweden at Master's level.

Scholarship information on the Swedish Institute website

### Country-specific scholarships and funding options

Lund University has agreements with scholarship organisations and funding bodies in different countries, which may allow applicants to apply for funding or scholarships in their home countries for their studies at Lund University.

### External scholarships

Information about scholarships from external organisations