Max-stable random sup-measures with comonotonic tail dependence

DOI10.1016/J.SPA.2016.03.004zbMATH Open1346.60072arXiv1507.03476OpenAlexW2963071730MaRDI QIDQ737183FDOQ737183

Authors: Ilya S. Molchanov, Kirstin Strokorb 

Publication date: 8 August 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1507.03476

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zbMATH Keywords

tail dependenceextremal coefficientrisk measurescapacityChoquet integralextremesrandom setsLePage seriescomonotonic additive functionalcomplete alternationcontinuous choiceextremal integralmax-stabilityrandom sup-measures

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Geometric probability and stochastic geometry (60D05) Random measures (60G57)

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Cited In (18)

• Exchangeable random partitions from max-infinitely-divisible distributions
• A family of random sup-measures with long-range dependence
• Extremal theory for long range dependent infinitely divisible processes
• Tail-dependence, exceedance sets, and metric embeddings
• Regular variation in Hilbert spaces and principal component analysis for functional extremes
• Representations of \(\max\)-stable processes via exponential tilting
• Extremes of Lévy-driven spatial random fields with regularly varying Lévy measure
• Stochastic ordering in multivariate extremes
• Domination of sample maxima and related extremal dependence measures
• Polar decomposition of scale-homogeneous measures with application to Lévy measures of strictly stable laws
• A new shape of extremal clusters for certain stationary semi-exponential processes with moderate long range dependence
• Phase transition for extremes of a stochastic model with long-range dependence and multiplicative noise
• Distributionally robust inference for extreme value-at-risk
• Tail correlation functions of max-stable processes
• The realization problem for tail correlation functions
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• Convex geometry of max-stable distributions
• Choquet random sup-measures with aggregations

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