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Max-stable random sup-measures with comonotonic tail dependence · Study

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ArticleMax-stable random sup-measures with comonotonic tail dependence

Ilya S. Molchanov2016

OA

Articlebronze2016

Max-stable random sup-measures with comonotonic tail dependence

Ilya S. Molchanov · Kirstin Strokorb

25 citations·0/0 files stored·Stochastic Processes and their Applications

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Probability and Risk Models Probability and Statistical Research Point processes and geometric inequalities

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References

2004Statistics of Extremes 2002Stochastic Finance: An Introduction in Discrete Time 2004Statistics of Extremes: Theory and Applications 2001On law invariant coherent risk measures 2005Statistics of Extremes: Theory and Applications 1984A Spectral Representation for Max-stable Processes 2004Stochastic finance. an introduction in discrete time 2009Stationary max-stable fields associated to negative definite functions

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Year2016

Typearticle

Published2016-03-17

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations25

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.spa.2016.03.004

openalex_workW2224895038

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