Data Breach CAT Bonds: Modeling and Pricing

DOI10.1080/10920277.2021.1886948zbMath1484.91412OpenAlexW3159781038MaRDI QIDQ5027907

Maochao Xu, Yiying Zhang

Publication date: 7 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2021.1886948

zbMATH Keywords

CAT bonddata breach riskfinancial market risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial mathematics (91G05)

Related Items (1)

Cyber loss distribution fitting: a general framework towards cyber bonds and their pricing models

Uses Software

• Unnamed Item
• astsa
• ismev
• Rugarch

Cites Work

• Heavy-tailed distribution of cyber-risks
• Indifference prices of structured catastrophe (CAT) bonds
• Monte Carlo methods for security pricing
• Catastrophe risk bonds with applications to earthquakes
• Data breaches: goodness of fit, pricing, and risk measurement
• Time Series Analysis and Its Applications
• Modeling Earthquake Risk via Extreme Value Theory and Pricing the Respective Catastrophe Bonds
• Pricing the Risk-Transfer financial Instruments via Monte Carlo Methods
• PRICING IN AN INCOMPLETE MARKET WITH AN AFFINE TERM STRUCTURE
• Modeling multivariate cybersecurity risks
• CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION
• Catastrophe Risk Bonds
• An introduction to statistical modeling of extreme values

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