Some connections between max-stable processes, random sets and risk measures with applications to the argmax set in continuous choice models
Speaker:
Kirstin Strokorb, University of Mannheim
Date and Time:
Wednesday, May 4, 2016 - 1:45pm to 2:25pm
Location:
Fields Institute, Room 230
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. In particular, it clarifies the role of Choquet random sup-measures in two situations: on the one hand their stochastic dominance property and on the other hand their role in extending some known properties of the argmax-set in continuous choice models.
