University of Wisconsin, Milwaukee, WI, USA.
Risk Anal. 2012 Aug;32(8):1309-25. doi: 10.1111/j.1539-6924.2012.01849.x. Epub 2012 Jun 13.
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.
9·11 事件之后，公众和私营部门对安全问题的担忧急剧增加。然而，目前还没有明确的算法可以告知企业需要进行多少安全投资以及何时进行投资，以减轻灾难性风险的影响。本文的目的是为企业设计一种最佳的投资策略，以减轻灾难性风险的暴露，重点关注投资的金额和时间。后一个问题涉及到推迟风险缓解决策是否是一种最优策略。因此，我们在极值理论 (EVT) 的框架内开发和估计了一个单期模型和一个多期模型。我们使用与食品行业遭受恐怖袭击相关的灾难性恐怖主义风险的概率测度对这些模型进行了校准。然后，我们将研究结果与购买灾难性风险保险进行了比较。
