A comprehensive model for cyber risk based on marked point processes and its application to insurance
2020
After scrutinizing technical, legal, financial, and actuarial aspects of cyber risk, a new approach
for modelling cyber risk using marked point processes is proposed. Key covariables, required to
model frequency and severity of cyber claims, are identified. The presented framework explicitly
takes into account incidents from untargeted and targeted attacks as well as accidents and failures.
The resulting model is able to include the dynamic nature of cyber risk, while capturing accumulation risk in a realistic way. The model is studied with respect to its statistical properties and applied
to the pricing of cyber insurance and risk measurement. The results are illustrated in a simulation
study.
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