no code implementations • 22 Feb 2022 • Gareth W. Peters, Matteo Malavasi, Georgy Sofronov, Pavel V. Shevchenko, Stefan Trück, Jiwook Jang
We argue that the choice of such methods is akin to a form of model risk and we study the risk sensitivity that arise from choices relating to the class of robust estimation adopted and the impact of the settings associated with such methods on key actuarial tasks such as premium calculation in cyber insurance.
no code implementations • 21 Feb 2022 • Pavel V. Shevchenko, Jiwook Jang, Matteo Malavasi, Gareth W. Peters, Georgy Sofronov, Stefan Trück
In this study we examine the nature of losses from cyber related events across different risk categories and business sectors.
no code implementations • 5 Nov 2021 • Matteo Malavasi, Gareth W. Peters, Pavel V. Shevchenko, Stefan Trück, Jiwook Jang, Georgy Sofronov
We address these questions through a combination of regression models based on the class of Generalised Additive Models for Location Shape and Scale (GAMLSS) and a class of ordinal regressions.
no code implementations • 12 Jun 2020 • Jiwook Jang, Rosy Oh
For the modelling of aggregate losses from cyber events, in this paper we introduce a bivariate compound dynamic contagion process, where the bivariate dynamic contagion process is a point process that includes both externally excited joint jumps, which are distributed according to a shot noise Cox process and two separate self-excited jumps, which are distributed according to the branching structure of a Hawkes process with an exponential fertility rate, respectively.