Optimal security investments and extreme risk
<?xml version="1.0" encoding="UTF-8"?><modsCollection xmlns="http://www.loc.gov/mods/v3" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xsi:schemaLocation="http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-8.xsd">
<mods version="3.8">
<titleInfo>
<title>Optimal security investments and extreme risk</title>
</titleInfo>
<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20120024342">
<namePart>Mohtadi, Hamid</namePart>
<nameIdentifier>MAPA20120024342</nameIdentifier>
</name>
<typeOfResource>text</typeOfResource>
<genre authority="marcgt">periodical</genre>
<originInfo>
<place>
<placeTerm type="code" authority="marccountry">esp</placeTerm>
</place>
<dateIssued encoding="marc">2012</dateIssued>
<issuance>serial</issuance>
</originInfo>
<language>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</language>
<physicalDescription>
<form authority="marcform">print</form>
</physicalDescription>
<abstract displayLabel="Summary">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.</abstract>
<note type="statement of responsibility">Hamid Mohtadi, Swati Agiwal</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080612429">
<topic>Riesgos extraordinarios</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080604394">
<topic>Valoración de riesgos</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080615611">
<topic>Teoría del valor extremo</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080629755">
<topic>Seguro de riesgos extraordinarios</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080600204">
<topic>Catástrofes naturales</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080558970">
<topic>Inversiones</topic>
</subject>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591182">
<topic>Gerencia de riesgos</topic>
</subject>
<classification authority="">7</classification>
<relatedItem type="host">
<titleInfo>
<title>Risk analysis : an international journal</title>
</titleInfo>
<originInfo>
<publisher>McLean, Virginia : Society for Risk Analysis, 1987-2015</publisher>
</originInfo>
<identifier type="issn">0272-4332</identifier>
<identifier type="local">MAP20077000345</identifier>
<part>
<text>06/08/2012 Volumen 32 Número 8 - agosto 2012 , p. 1309-1325</text>
</part>
</relatedItem>
<recordInfo>
<recordContentSource authority="marcorg">MAP</recordContentSource>
<recordCreationDate encoding="marc">121022</recordCreationDate>
<recordChangeDate encoding="iso8601">20121112161849.0</recordChangeDate>
<recordIdentifier source="MAP">MAP20120044227</recordIdentifier>
<languageOfCataloging>
<languageTerm type="code" authority="iso639-2b">spa</languageTerm>
</languageOfCataloging>
</recordInfo>
</mods>
</modsCollection>