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Max-stable random sup-measures with comonotonic tail dependence
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References

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  • 2002Stochastic Finance: An Introduction in Discrete Time1,215 cited
  • 2004Statistics of Extremes: Theory and Applications1,093 cited
  • 2001On law invariant coherent risk measures676 cited
  • 2005Statistics of Extremes: Theory and Applications548 cited
  • 1984A Spectral Representation for Max-stable Processes521 cited
  • 2004Stochastic finance. an introduction in discrete time392 cited
  • 2009Stationary max-stable fields associated to negative definite functions360 cited
  • 1989Maxima of normal random vectors: Between independence and complete dependence255 cited
  • 1994Maxima of bivariate random vectors: Between independence and complete dependence208 cited
  • 2006Weighted V@R and its Properties117 cited
  • 2012Monetary utility functions100 cited
  • 2005Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes84 cited
  • 2013Homogeneous distributions—And a spectral representation of classical mean values and stable tail dependence functions49 cited
  • 2015An exceptional max-stable process fully parameterized by its extremal coefficients27 cited

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  • 1977A CHARACTERIZATION OF MULTIDIMENSIONAL EXTREME -VALUE DISTRIBUTIONS26 cited
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