Create SECURITY.md

SECURITY.md

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+# Security Policy
+
+## Reporting Security Issues
+
+This SDK is maintained by [Anthropic](https://www.anthropic.com/) as part of the Model Context Protocol project.
+Anthropic takes security seriously, and encourages you to report any security vulnerability promptly so that appropriate action can be taken.
+
+To report a security issue, please contact the Anthropic team at security@anthropic.com.
+
+## Responsible Disclosure
+
+We appreciate the efforts of security researchers and individuals who help us maintain the security of
+the SDK. If you believe you have found a security vulnerability, please adhere to responsible
+disclosure practices by allowing us a reasonable amount of time to investigate and address the issue
+before making any information public.
+
+## Reporting Non-SDK Related Security Issues
+
+If you encounter security issues that are not directly related to SDKs but pertain to the services
+or products provided by Anthropic please contact security@anthropic.com.
+
+### Anthropic Terms and Policies
+
+Please contact support@anthropic.com for any questions or concerns regarding security of our services.
+
+---
+
+Thank you for helping us keep the SDKs and systems they interact with secure.