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Max-stable random sup-measures with comonotonic tail dependence

Molchanov, Ilya and Strokorb, Kirstin 2016. Max-stable random sup-measures with comonotonic tail dependence. Stochastic Processes and their Applications 126 (9) , pp. 2835-2859. 10.1016/j.spa.2016.03.004

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Abstract

Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory of risk measures and makes it possible to extend corresponding notions and results from the literature with streamlined proofs. In particular, it clarifies the role of Choquet random sup-measures and their stochastic dominance property. Key tools are the LePage representation of a max-stable random sup-measure and the dual representation of its tail dependence functional. Properties such as complete randomness, continuity, separability, coupling, continuous choice, invariance and transformations are also analysed.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Publisher: Elsevier
ISSN: 0304-4149
Funders: SNSF 200021-153597
Date of First Compliant Deposit: 6 January 2017
Date of Acceptance: 9 March 2016
Last Modified: 01 Jul 2020 10:45
URI: http://orca.cf.ac.uk/id/eprint/97227

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