Data breaches: goodness of fit, pricing, and risk measurement

DOI10.1016/j.insmatheco.2017.05.008zbMath1394.91211OpenAlexW2618523767MaRDI QIDQ2364015

Martin Eling, Nicola M. R. Loperfido

Publication date: 17 July 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.05.008

zbMATH Keywords

skew-normal distributiongoodness of fitmultidimensional scalingrisk measurementcyber risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items

Unraveling heterogeneity in cyber risks using quantile regressions ⋮ A comprehensive model for cyber risk based on marked point processes and its application to insurance ⋮ Frequency and severity estimation of cyber attacks using spatial clustering analysis ⋮ Cyber risk frequency, severity and insurance viability ⋮ Cyber loss distribution fitting: a general framework towards cyber bonds and their pricing models ⋮ Cyber claim analysis using generalized Pareto regression trees with applications to insurance ⋮ Copula approaches for modeling cross-sectional dependence of data breach losses ⋮ On the determinants of data breaches: a cointegration analysis ⋮ Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology ⋮ Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models ⋮ Modeling Malicious Hacking Data Breach Risks ⋮ Data Breach CAT Bonds: Modeling and Pricing ⋮ Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk

Uses Software

• FactoMineR
• sn
• gPdtest

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Heavy-tailed distribution of cyber-risks
• A principal axes method for comparing contingency tables: MFACT
• A bootstrap goodness of fit test for the generalized Pareto distribution
• Multiple factor analysis and clustering of a mixture of quantitative, categorical and frequency data
• Kernel density estimation of actuarial loss functions
• Conditional copula simulation for systemic risk stress testing
• Modelling air pollution data by the skew-normal distribution
• A nonparametric approach to calculating value-at-risk
• Multivariate skew-normal distributions with applications in insurance
• Skewed bivariate models and nonparametric estimation for the CTE risk measure
• Modeling loss data using mixtures of distributions
• Multidimensional scaling by optimizing goodness of fit to a nonmetric hypothesis
• Modern Multivariate Statistical Techniques
• Operational Risk