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...

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...

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)...

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...

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...

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,...

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...

The increasing rate at which IoT technologies are being developed has enabled smarter and innovative solutions in the sectors of health, energy, transportation, etc. Unfortunately, some inherent characteristics of these technologies are compromised to attack. Naturally, risk analysis emerges, as...

Financial technologies (fintechs) are continuously expanding, across different markets and financial services. While financial technologies bring many opportunities, such as reduced costs and extended inclusion, they also bring risks, among which include cyber risks, that are difficult to...

Data breach incidents result in severe financial loss and reputational damage, which raises the importance of using insurance to manage and mitigate cyber related risks. We analyze data breach chronology collected by Privacy Rights Clearinghouse (PRC) since 2001 and propose a Bayesian...