STK9400 – Risk and Reliability Analysis
Course description
Course content
The course begins with an introduction to convexity, optimisation and a variety of optimisation techniques: Lagrange duality og convex duality. Then, this theory is applied to a wide range of applications within risk and reliability analysis. The course will build up to the research front in selected parts of risk and reliability theory: Advanced methods in system reliability; convex risk measures; methods for construction of environmental contours which are used in risk analysis of contractions exposed to environmental risk factors; optimisation of energy production under uncertainty. During the course, we also present examples of applied reliability analysis. The course is suited for students in risk- and reliability analysis, but also for students doing finance, insurance and stochastic analysis.
Learning outcome
After completing the course you
- know the foundations of convexity and optimisation
- are familiar with the central concepts of risk analysis
- are able to carry out simple risk analyses from real problems
- know how to construct and analyze different stochastic models
- have knowledge about the relevant software used in the analyses
- are able to participate in research projects within risk and reliability analysis.
Admission to the course
PhD candidates from the Faculty of Mathematics and Natural Sciences at the University of Oslo should apply for classes and register for examinations through Studentweb.
If a course has limited intake capacity, priority will be given to PhD candidates who follow an individual education plan where this particular course is included. Some national researchers’ schools may have specific rules for ranking applicants for courses with limited intake capacity.
PhD candidates who have been admitted to another higher education institution must apply for a position as a visiting student within a given deadline.
Recommended previous knowledge
- STK1100 – Probability and Statistical Modelling
- STK1110 – Statistical Methods and Data Analysis
- STK3405 – Introduction to Risk and Reliability Analysis
Overlapping courses
- 10 credits overlap with STK4400 – Risk and Reliability Analysis.
Teaching
4 hours of lectures/exercises per week throughout the semester.
The course may be taught in Norwegian if the lecturer and all students at the first lecture agree to it.
Upon the attendance of three or fewer students, the lecturer may, in conjunction with the Head of Teaching, change the course to self-study with supervision.
Examination
Final written exam or final oral exam, which counts 100 % towards the final grade.
The form of examination will be announced by the lecturer by 15 October/15 March for the autumn semester and the spring semester respectively.
This course has?1 mandatory assignment?that must be approved before you can sit the final exam.
In addition, each PhD candidate is expected to give an oral presentation on a topic of relevance chosen in cooperation with the lecturer. The presentation has to be approved by the lecturer before you can sit the final exam.
It will also be counted as one of the three attempts to sit the exam for this course, if you sit the exam for one of the following courses: STK4400 – Risk and Reliability Analysis
Examination support material
Written examination: Approved calculators are allowed. Information about approved calculators in Norwegian.
Oral examination: No examination support material is allowed.
Language of examination
Courses taught in English will only offer the exam paper in English. You may write your examination paper in Norwegian, Swedish, Danish or English.
Grading scale
Grades are awarded on a pass/fail scale. Read more about the grading system.
Resit an examination
This course offers both postponed and resit of examination. Read more:
More about examinations at UiO
- Use of sources and citations
- Special exam arrangements due to individual needs
- Withdrawal from an exam
- Illness at exams / postponed exams
- Explanation of grades and appeals
- Resitting an exam
- Cheating/attempted cheating
You will find further guides and resources at the web page on examinations at UiO.