This paper is intended as a literature retrieval. In the first part we introduce Kelly criterion and show some of its basic properties. Then we define general HARA (Hyperbolic Absolute Risk Aversion) utility function and investment consumption problem. By stochastic optimal control we demonstrate solution to this problem for special class of HARA utility and show basic model with proportional t...

The insider threat has been framed as protection of the network from insiders whose threat level may be unknown to the organization. In this paper, we propose a Budget-Based Access Control Model to mitigate the insider threat. We provide an order of magnitude price for every access right and assign each individual user a risk budget. The price for access is then personalized based on the observ...

Electronic commerce business models can add value by elimination of control and risk-bearing borne by channel intermediaries. But such markets may be less robust encouraging risky behavior. We explore a model of transaction risk in the migration from broker-mediated to electronic markets. The research finds that: (1) the risk of falsely accepting ‘bad’ orders is the critical risk measure for op...

We consider the problem of minimizing the shortfall risk when the aim is to hedge a contingent claim in a binomial market model and the initial capital is insufficient for a perfect hedge. This problem has been solved under complete information on the underlying model in [3]. We present two possible solutions to the same problem in the case of incomplete information, namely when the underlying ...

CyVar extends the Value-At-Risk statistics to ICT systems under attack by intelligent, goal oriented agents. CyVar is related to the time it takes an agent to acquire some access privileges and to the one it owns these privileges. To evaluate the former time, we use the security stress, a synthetic measure of the robustness of an ICT system. We approximate this measure through the Haruspex suit...

The Internet of Things (IoT) represents a modern approach where boundaries between real and digital domains are progressively eliminated by changing over consistently every physical device to smart object ready to provide valuable services. These services provide a vital role in different life domains but at the same time create new challenges particularly in security and privacy. Authenticatio...

International banks need to estimate their operational risks due to external regulations. Based on their estimations they need to provide private capital to cover potential losses caused by these risks. Therefore, operational risks need to be properly measured and managed in order to reduce the required private capital. In this paper we discuss operational risks related to a typical banking bus...