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EAA Web Session: Numerical Tools for Cyber Insurance
21. November, 09:00 - 22. November, 12:30
With the rise of digital economy, cyber risk has become a major concern for all customer segments. The cyber-insurance market is increasingly developing but with important uncertainties on the real value of the guarantees, due to the nature of the risk itself. The emerging and evolving nature of cyber risk, its potential systemic, with potential very large claims, make the evaluation of this risk challenging.
This session provides numerical tools to help evaluating the systemic component of cyber risk as well as its potential catastrophic nature. For a better quantification of cyber risk, we present numerical experimentations, both for the severity component (size of the claims) using extreme value theory, and the frequency component (self-excitation and clustering features) using Hawkes processes. The session is organized around tutorials for a better understanding and practical application of the concepts and algorithms.