Max-stable random sup-measures with comonotonic tail dependence

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• 作者：Ilya Molchanov^a ; ^{ilya.molchanov@stat.unibe.ch" class="auth_mail" title="E-mail the corresponding author} ; Kirstin Strokorb^b ; ^{strokorb@math.uni-mannheim.de" class="auth_mail" title="E-mail the corresponding author}
• 关键词：60G70 ; 60D05 ; 60G57 ; 91B16
• 刊名：Stochastic Processes and their Applications
• 出版年：2016
• 出版时间：September 2016
• 年：2016
• 卷：126
• 期：9
• 页码：2835-2859
• 全文大小：406 K

文摘

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.