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Some mixing properties of conditionally independent processes

  • Manel Kacem


    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

  • Stéphane Loisel


    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

  • Véronique Maume-Deschamps


    (SAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1)

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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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
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  1. 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.
  2. 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.
  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. 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.
  5. Hansjoerg Albrecher & Corina Constantinescu & Stéphane Loisel, 2011. "Explicit ruin formulas for models with dependence among risks," Post-Print hal-00540621, HAL.
  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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