Implicit max-stable extremal integrals

Abstract

Recently, the notion of implicit extreme value distributions has been established, which is based on a given loss function $f\ge 0$. From an application point of view, one is rather interested in extreme loss events that occur relative to $f$ than in the corresponding extreme values itself. In this context, so-called $f$-implicit $\alpha$-Fréchet max-stable distributions arise and have been used to construct independently scattered sup-measures that possess such margins. In this paper we solve an open problem in [7] by developing a stochastic integral of a deterministic function $g\ge 0$ with respect to implicit max-stable sup-measures. The resulting theory covers the construction of max-stable extremal integrals (see [14]) and, at the same time, reveals striking parallels.