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Towards an economic cyber loss index for parametric cover based on IT security indicator: A preliminary analysis

Dal Moro, Eric - In: Risks 8 (2020) 2, pp. 1-12

As cyber events have virtually no geographical limitations and can result in economic losses on a global scale, the assessment of return periods for such economic losses is currently debated among experts. The potential accumulation of consequential insurance losses due to intrusions or viruses...

Persistent link: https://www.econbiz.de/10013200579

A multivariate Mmdel to quantify and mitigate cybersecurity risk

Bentley, Mark; Stephenson, Alec; Toscas, Peter; Zhu, Zili - In: Risks 8 (2020) 2, pp. 1-20

The cost of cybersecurity incidents is large and growing. However, conventional methods for measuring loss and choosing mitigation strategies use simplifying assumptions and are often not supported by cyber attack data. In this paper, we present a multivariate model for different, dependent...

Persistent link: https://www.econbiz.de/10013200594

Observable cyber risk on cournot oligopoly data storage markets

Franke, Ulrik; Hoxell, Amanda - In: Risks 8 (2020) 4, pp. 1-15

With the emergence of global digital service providers, concerns about digital oligopolies have increased, with a wide range of potentially harmful effects being discussed. One of these relates to cyber security, where it has been argued that market concentration can increase cyber risk. Such a...

Persistent link: https://www.econbiz.de/10013200652

Optimal investment in cyber-security under cyber insurance for a multi-branch firm

Mazzoccoli, Alessandro; Naldi, Maurizio - In: Risks 9 (2021) 1, pp. 1-28

Investments in security and cyber-insurance are two cyber-risk management strategies that can be employed together to optimize the overall security expense. In this paper, we provide a closed form for the optimal investment under a full set of insurance liability scenarios (full liability,...

Persistent link: https://www.econbiz.de/10013200694

A generalised CIR process with externally-exciting and self-exciting jumps and its applications in insurance and finance

Dassios, Angelos; Jang, Jiwook; Zhao, Hongbiao - In: Risks 7 (2019) 4, pp. 1-18

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the...

Persistent link: https://www.econbiz.de/10013200521

Price discovery and market reflexivity in agricultural futures contracts with different maturities

Volkenand, Steffen; Filler, Günther; Odening, Martin - In: Risks 8 (2020) 3, pp. 1-17

The purpose of this paper is to analyze market reflexivity in agricultural futures contracts with different maturities. To this end, we apply a four-dimensional Hawkes model to storable and non-storable agricultural commodities. We find market reflexivity for both storable and non-storable...

Persistent link: https://www.econbiz.de/10013200608

Merton investment problems in finance and insurance for the Hawkes-Based models

Sviščuk, Anatolij - In: Risks 9 (2021) 6, pp. 1-13

We show how to solve Merton optimal investment stochastic control problem for Hawkesbased models in finance and insurance (Propositions 1 and 2), i.e., for a wealth portfolio X(t) consisting of a bond and a stock price described by general compound Hawkes process (GCHP), and for a capital R(t)...

Persistent link: https://www.econbiz.de/10013200776

Macro vs. micro methods in non-life claims reserving (an econometric perspective)

Charpentier, Arthur; Pigeon, Mathieu - In: Risks 4 (2016) 2, pp. 1-18

Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on aggregated data). However, it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate uncertainty related to reserves with "macro" and...

Persistent link: https://www.econbiz.de/10011709553

Defining geographical rating territories in auto insurance regulation by spatially constrained clustering

Xie, Shengkun; Esposito, Emilio Xavier - In: Risks 7 (2019) 2, pp. 1-20

equity of pure premium, as required by insurance regulation. To achieve this goal, the spatially-constrained clustering of … the design of geographical rating territories, a clustering approach based on Delaunay triangulation is proposed …-constrained clustering approach in defining geographical rating territories for insurance rate regulation purposes. The significance of this …

Persistent link: https://www.econbiz.de/10013200460

Regularization of autoencoders for bank client profiling based on financial transactions

Filchenkov, Andrey; Khanzhina, Natalia; Tsai, Arina; … - In: Risks 9 (2021) 3, pp. 1-16

Predicting if a client is worth giving a loan-credit scoring-is one of the most essential and popular problems in banking. Predictive models for this goal are built on the assumption that there is a dependency between the client's profile before the loan approval and their future behavior....

Persistent link: https://www.econbiz.de/10013200723