Max-stable random sup-measures with comonotonic tail dependence

Ilya Molchanov and Kirstin Strokorb

Stochastic Processes and their Applications, 2016, vol. 126, issue 9, 2835-2859

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.

Keywords: Capacity; Choquet integral; Choquet random sup-measure; Comonotonic additive functional; Complete alternation; Continuous choice; Extremal coefficient; Extremal integral; LePage series; Max-stability; Random set; Sup-measure; Tail dependence (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (8)

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DOI: 10.1016/j.spa.2016.03.004

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