Optimal security investments and extreme risk

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<rdf:Description>
<dc:creator>Mohtadi, Hamid</dc:creator>
<dc:date>2012-08-06</dc:date>
<dc:description xml:lang="es">Sumario: 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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/140130.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Riesgos extraordinarios</dc:subject>
<dc:subject xml:lang="es">Valoración de riesgos</dc:subject>
<dc:subject xml:lang="es">Teoría del valor extremo</dc:subject>
<dc:subject xml:lang="es">Seguro de riesgos extraordinarios</dc:subject>
<dc:subject xml:lang="es">Catástrofes naturales</dc:subject>
<dc:subject xml:lang="es">Inversiones</dc:subject>
<dc:subject xml:lang="es">Gerencia de riesgos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Optimal security investments and extreme risk</dc:title>
<dc:relation xml:lang="es">En: Risk analysis : an international journal. - McLean, Virginia : Society for Risk Analysis, 1987-2015 = ISSN 0272-4332. - 06/08/2012 Volumen 32 Número 8  - agosto 2012 , p. 1309-1325</dc:relation>
</rdf:Description>
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