The university of Virginia has published a report available here that compares Java and .NET security.

One of their key conclusions "Where Java evolved from an initial platform with limited security capabilities, .NET incorporated more security capability into its original design. With age and new features, much of the legacy code of Java still remains for backwards compatibility including the possibility of a null SecurityManager, and the absolute trust of classes on the bootclasspath. Hence, in several areas .NET has security advantages over Java because of its simpler and cleaner design."