Document Detail


Optimal Security Investments and Extreme Risk.
MedLine Citation:
PMID:  22694261     Owner:  NLM     Status:  Publisher    
Abstract/OtherAbstract:
In the aftermath of 9/11, concern over security increased dramatically in both the public and the private sector. Yet, no clear algorithm exists to inform firms on the amount and the timing of security investments to mitigate the impact of catastrophic risks. The goal of this article is to devise an optimum investment strategy for firms to mitigate exposure to catastrophic risks, focusing on how much to invest and when to invest. The latter question addresses the issue of whether postponing a risk mitigating decision is an optimal strategy or not. Accordingly, we develop and estimate both a one-period model and a multiperiod model within the framework of extreme value theory (EVT). We calibrate these models using probability measures for catastrophic terrorism risks associated with attacks on the food sector. We then compare our findings with the purchase of catastrophic risk insurance.
Authors:
Hamid Mohtadi; Swati Agiwal
Publication Detail:
Type:  JOURNAL ARTICLE     Date:  2012-6-13
Journal Detail:
Title:  Risk analysis : an official publication of the Society for Risk Analysis     Volume:  -     ISSN:  1539-6924     ISO Abbreviation:  -     Publication Date:  2012 Jun 
Date Detail:
Created Date:  2012-6-14     Completed Date:  -     Revised Date:  -    
Medline Journal Info:
Nlm Unique ID:  8109978     Medline TA:  Risk Anal     Country:  -    
Other Details:
Languages:  ENG     Pagination:  -     Citation Subset:  -    
Copyright Information:
© 2012 Society for Risk Analysis.
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