Sampling the multivariate standard normal distribution under a weighted sum constraint

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. [...]

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Year of publication:	2018
Authors:	Vrins, Frédéric
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 6.2018, 3, p. 1-13
Publisher:	Basel : MDPI
Subject:	conditional distribution \| conditional sampling \| multi-factor models

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks6030064 [DOI] 1025682807 [GVK] hdl:10419/195858 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011996624