This blog post provided me with the overview of exception handling to enable me to decide how to handle the unauthorizedAccessException, which essentially means handling them within the Application_OnStart.
http://prideparrot.com/blog/archive/2012/5/exception_handling_in_asp_net_mvc
For my purposes there doesn't seem much point in handling the errors with the HandleErrorAttribute and in the global Application_OnStart so for my purposes I decided it was best to handle everything in the Application_OnSTart,