加入支持让我们有继续维护的动力！会员畅享查看所有预告
立即购买
12月13日 Zhuo Jin：Optimal timing of investment in cybersecurity technology
- 来源：
- 学校官网
- 收录时间：
- 2024-12-11 09:42:32
- 时间：
- 2024-12-13 14:30:00
- 地点：
- 普陀校区理科大楼A1514
- 报告人：
- Zhuo Jin
- 学校：
- -/-
- 关键词：
- cybersecurity, optimal timing, investment, stochastic optimal control, actuarial science, mathematical finance
- 简介：
- In this paper, we investigate the optimal timing for a company to invest in cybersecurity technology to reduce cyberattack losses. We consider cyber losses following a jump process model, addressing the fat-tailed behavior observed in loss distributions due to cyberattacks. The investment required for implementing cybersecurity technology is also highly variable over time due to ongoing innovations in the field. To account for this uncertainty, we model the evolution of investment costs using a compound Poisson process. Our objective is to minimize the company’s total cost. We convert the optimal stopping problem into a free boundary problem. Using the dynamic programming approach, we solve the associated Hamilton-Jacobi-Bellman equations and obtain semi-closed form solutions for the value function and the optimal investment strategies. Finally, we present numerical examples to illustrate the effect of critical parameters on the optimal investment decision.
- -/- 3
报告介绍：
In this paper, we investigate the optimal timing for a company to invest in cybersecurity technology to reduce cyberattack losses. We consider cyber losses following a jump process model, addressing the fat-tailed behavior observed in loss distributions due to cyberattacks. The investment required for implementing cybersecurity technology is also highly variable over time due to ongoing innovations in the field. To account for this uncertainty, we model the evolution of investment costs using a compound Poisson process. Our objective is to minimize the company’s total cost. We convert the optimal stopping problem into a free boundary problem. Using the dynamic programming approach, we solve the associated Hamilton-Jacobi-Bellman equations and obtain semi-closed form solutions for the value function and the optimal investment strategies. Finally, we present numerical examples to illustrate the effect of critical parameters on the optimal investment decision.
报告人介绍：
Zhuo Jin is a full professor at Macquarie University. Before joining MQ, he worked as a lecturer, senior lecturer, and associate professor at The University of Melbourne for ten years. His research interests include stochastic optimal control, actuarial science, and mathematical finance. He is an Associate in the Society of Actuaries (ASA).
