Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195858 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-13
Publisher: 
MDPI, Basel
Abstract: 
Statistical modeling techniques-and factor models in particular-are extensively used in practice, especially in the insurance and finance industry, where many risks have to be accounted for. In risk management applications, it might be important to analyze the situation when fixing the value of a weighted sum of factors, for example to a given quantile. [...]
Subjects: 
conditional distribution
conditional sampling
multi-factor models
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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