报告题目：Optimal timing of investment in cybersecurity technology
时 间：2025年1月18日（星期六）11：00
地 点：科研楼18号楼1102
主 办：数学与统计学院
参加对象：感兴趣的老师和学生
报告摘要：This talk is based on a paper that investigates 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.
报告人简介：金卓，博士，澳大利亚麦考瑞大学精算与商业分析系教授，精算和商业分析系的科研主任，北美准精算师（ASA）。历任澳大利亚墨尔本大学经济系精算中心讲师，高级讲师，副教授。研究方向为随机最优控制，随机系统的数值方法，精算学，数理金融，机器学习。在国际期刊发表70余篇论文，期刊包括Insurance Mathematics and Economics, European Journal of Operational Research, Journal of Risk and Insurance, SIAM Journal on Control and Optimization, Automatica, ASTIN: Bulletin, Scandinavian Actuarial Journal.