Details
| Original language | English |
|---|---|
| Pages (from-to) | 1-53 |
| Number of pages | 53 |
| Journal | European Actuarial Journal |
| Volume | 13 |
| Issue number | 1 |
| Early online date | 23 Jan 2023 |
| Publication status | Published - Jun 2023 |
Abstract
The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concepts. We distinguish three main types of cyber risks: idiosyncratic, systematic, and systemic cyber risks. While for idiosyncratic and systematic cyber risks, classical actuarial and financial mathematics appear to be well-suited, systemic cyber risks require more sophisticated approaches that capture both network and strategic interactions. In the context of pricing cyber insurance policies, issues of interdependence arise for both systematic and systemic cyber risks; classical actuarial valuation needs to be extended to include more complex methods, such as concepts of risk-neutral valuation and (set-valued) monetary risk measures.
Keywords
- Cyber Insurance, Cyber Risks, Idiosyncratic Risk, Systematic Risk, Systemic Risk
ASJC Scopus subject areas
- Mathematics(all)
- Statistics and Probability
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
- Decision Sciences(all)
- Statistics, Probability and Uncertainty
Cite this
- Standard
- Harvard
- Apa
- Vancouver
- BibTeX
- RIS
In: European Actuarial Journal, Vol. 13, No. 1, 06.2023, p. 1-53.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Modeling and pricing cyber insurance
T2 - Idiosyncratic, systematic, and systemic risks
AU - Awiszus, Kerstin
AU - Knispel, Thomas
AU - Penner, Irina
AU - Svindland, Gregor
AU - Voß, Alexander
AU - Weber, Stefan
N1 - Funding information: We are grateful for useful comments of the reviewers and the editor.
PY - 2023/6
Y1 - 2023/6
N2 - The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concepts. We distinguish three main types of cyber risks: idiosyncratic, systematic, and systemic cyber risks. While for idiosyncratic and systematic cyber risks, classical actuarial and financial mathematics appear to be well-suited, systemic cyber risks require more sophisticated approaches that capture both network and strategic interactions. In the context of pricing cyber insurance policies, issues of interdependence arise for both systematic and systemic cyber risks; classical actuarial valuation needs to be extended to include more complex methods, such as concepts of risk-neutral valuation and (set-valued) monetary risk measures.
AB - The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concepts. We distinguish three main types of cyber risks: idiosyncratic, systematic, and systemic cyber risks. While for idiosyncratic and systematic cyber risks, classical actuarial and financial mathematics appear to be well-suited, systemic cyber risks require more sophisticated approaches that capture both network and strategic interactions. In the context of pricing cyber insurance policies, issues of interdependence arise for both systematic and systemic cyber risks; classical actuarial valuation needs to be extended to include more complex methods, such as concepts of risk-neutral valuation and (set-valued) monetary risk measures.
KW - Cyber Insurance
KW - Cyber Risks
KW - Idiosyncratic Risk
KW - Systematic Risk
KW - Systemic Risk
UR - http://www.scopus.com/inward/record.url?scp=85146653950&partnerID=8YFLogxK
U2 - 10.1007/s13385-023-00341-9
DO - 10.1007/s13385-023-00341-9
M3 - Article
AN - SCOPUS:85146653950
VL - 13
SP - 1
EP - 53
JO - European Actuarial Journal
JF - European Actuarial Journal
SN - 2190-9733
IS - 1
ER -