Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/287528 
Year of Publication: 
2021
Citation: 
[Journal:] European Actuarial Journal [ISSN:] 2190-9741 [Volume:] 12 [Issue:] 1 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2021 [Pages:] 33-85
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
After scrutinizing technical, legal, financial, and actuarial aspects of cyber risk, a new approach for modelling cyber risk using marked point processes is proposed. Key covariates, required to model frequency and severity of cyber claims, are identified. The presented framework explicitly takes into account incidents from malicious untargeted and targeted attacks as well as accidents and failures. The resulting model is able to include the dynamic nature of cyber risk, while capturing accumulation risk in a realistic way. The model is studied with respect to its statistical properties and applied to the pricing of cyber insurance and risk measurement. The results are illustrated in a simulation study.
Subjects: 
Cyber risk
Cyber insurance
Emerging risks
Marked point processes
Accumulation risk
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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