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Some mixing properties of conditionally independent processes

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Author Info

  • Manel Kacem

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Stéphane Loisel

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

  • Véronique Maume-Deschamps

    ()
    (SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon I : EA2429)

Abstract

In this paper we consider conditionally independent processes with respect to some dynamic factor. We derive some mixing properties for random processes when conditioning is given with respect to unbounded memory of the factor. Our work is motivated by some real examples related to risk theory.

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Bibliographic Info

Paper provided by HAL in its series Working Papers with number hal-00670649.

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Date of creation: 15 Feb 2012
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Handle: RePEc:hal:wpaper:hal-00670649

Note: View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00670649
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Related research

Keywords: Conditional independence ; risk processes ; mixing properties;

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  1. Albrecher, Hansjörg & Constantinescu, Corina & Loisel, Stephane, 2011. "Explicit ruin formulas for models with dependence among risks," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 265-270, March.
  2. Bradley, Richard C. & Bryc, Wlodzimierz, 1985. "Multilinear forms and measures of dependence between random variables," Journal of Multivariate Analysis, Elsevier, vol. 16(3), pages 335-367, June.
  3. Cossette, Helene & Landriault, David & Marceau, Etienne, 2004. "Compound binomial risk model in a markovian environment," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 425-443, October.
  4. Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 313-342, December.
  5. B. Prakasa Rao, 2009. "Conditional independence, conditional mixing and conditional association," Annals of the Institute of Statistical Mathematics, Springer, vol. 61(2), pages 441-460, June.
  6. Y.M. Kabanov, 1999. "Hedging and liquidation under transaction costs in currency markets," Finance and Stochastics, Springer, vol. 3(2), pages 237-248.
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