Dynamic Asset AllOcation with Event Risks under Value-at-Risk Regulation

Abstract

In the problem to estimate the probability corresponding to rare events we must focus on the tail ofthe distribution functions, and sometime we are puzzled by so-called fat-tail and long-tail distributions [1]-[14]. Fat-tail and long-tail lead us to overestimation or underestimation of rare events, then there occurs serious accidents such as large losses and damages in financial asset