讲座题目：Optimal timing of investment in cybersecurity technology
主讲人：Zhuo Jin 教授
主持人：危佳钦 教授
开始时间：2024-12-13 14:30
讲座地址：普陀校区理科大楼A1514
主办单位：统计学院
报告人简介：
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).
报告内容：
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.
