Details
| Original language | English |
|---|---|
| Pages (from-to) | 1175-1218 |
| Number of pages | 44 |
| Journal | ASTIN Bulletin |
| Volume | 48 |
| Issue number | 3 |
| Early online date | 25 Jul 2018 |
| Publication status | Published - Sept 2018 |
Abstract
We develop a novel approach for pricing cyber insurance contracts. The considered cyber threats, such as viruses and worms, diffuse in a structured data network. The spread of the cyber infection is modeled by an interacting Markov chain. Conditional on the underlying infection, the occurrence and size of claims are described by a marked point process. We introduce and analyze a new polynomial approximation of claims together with a mean-field approach that allows to compute aggregate expected losses and prices of cyber insurance. Numerical case studies demonstrate the impact of the network topology and indicate that higher order approximations are indispensable for the analysis of non-linear claims.
Keywords
- Cyber insurance, emerging risks, mean-field approximation, polynomial approximation
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Accounting
- Economics, Econometrics and Finance(all)
- Finance
- Economics, Econometrics and Finance(all)
- Economics and Econometrics
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In: ASTIN Bulletin, Vol. 48, No. 3, 09.2018, p. 1175-1218.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Pricing of cyber insurance contracts in a network model
AU - Fahrenwaldt, M. A.
AU - Weber, S.
AU - Weske, K.
PY - 2018/9
Y1 - 2018/9
N2 - We develop a novel approach for pricing cyber insurance contracts. The considered cyber threats, such as viruses and worms, diffuse in a structured data network. The spread of the cyber infection is modeled by an interacting Markov chain. Conditional on the underlying infection, the occurrence and size of claims are described by a marked point process. We introduce and analyze a new polynomial approximation of claims together with a mean-field approach that allows to compute aggregate expected losses and prices of cyber insurance. Numerical case studies demonstrate the impact of the network topology and indicate that higher order approximations are indispensable for the analysis of non-linear claims.
AB - We develop a novel approach for pricing cyber insurance contracts. The considered cyber threats, such as viruses and worms, diffuse in a structured data network. The spread of the cyber infection is modeled by an interacting Markov chain. Conditional on the underlying infection, the occurrence and size of claims are described by a marked point process. We introduce and analyze a new polynomial approximation of claims together with a mean-field approach that allows to compute aggregate expected losses and prices of cyber insurance. Numerical case studies demonstrate the impact of the network topology and indicate that higher order approximations are indispensable for the analysis of non-linear claims.
KW - Cyber insurance
KW - emerging risks
KW - mean-field approximation
KW - polynomial approximation
UR - http://www.scopus.com/inward/record.url?scp=85052650026&partnerID=8YFLogxK
U2 - 10.1017/asb.2018.23
DO - 10.1017/asb.2018.23
M3 - Article
VL - 48
SP - 1175
EP - 1218
JO - ASTIN Bulletin
JF - ASTIN Bulletin
SN - 0515-0361
IS - 3
ER -