Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk
From MaRDI portal
Publication:5027909
DOI10.1080/10920277.2021.1919145zbMath1484.91389MaRDI QIDQ5027909
Publication date: 7 February 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2021.1919145
62P05: Applications of statistics to actuarial sciences and financial mathematics
62G32: Statistics of extreme values; tail inference
91G05: Actuarial mathematics
Related Items
Exact Insurance Premiums for Cyber Risk of Small and Medium-Sized Enterprises, Unraveling heterogeneity in cyber risks using quantile regressions, Cyber risk frequency, severity and insurance viability
Uses Software
Cites Work
- Extreme value copula estimation based on block maxima of a multivariate stationary time series
- Heavy-tailed distribution of cyber-risks
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- An application of extreme value theory for measuring financial risk
- Estimating the dimension of a model
- Copula approaches for modeling cross-sectional dependence of data breach losses
- Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology
- On the block maxima method in extreme value theory: PWM estimators
- Data breaches: goodness of fit, pricing, and risk measurement
- Testing for unit roots in autoregressive-moving average models of unknown order
- Testing for a unit root in time series regression
- Regression and time series model selection in small samples
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- On a measure of lack of fit in time series models
- Extremes and local dependence in stationary sequences
- Statistics of Extremes
- Cybersecurity Insurance: Modeling and Pricing
- Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models
- An introduction to statistical modeling of extreme values
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item