Centro de Documentacion de Fundación MAPFRE - Optimal security investments and extreme risk

MAP20120044227

Optimal security investments and extreme risk / Hamid Mohtadi, Swati Agiwal

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

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

1. Riesgos extraordinarios . 2. Valoración de riesgos . 3. Teoría del valor extremo . 4. Seguro de riesgos extraordinarios . 5. Catástrofes naturales . 6. Inversiones . 7. Gerencia de riesgos . I. Título.