Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity

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.

The Nature of Losses from Cyber-Related Events: Risk Categories and Business Sectors

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.

Cyber Risk Frequency, Severity and Insurance Viability

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.

Additive models regression

A note on the impact of news on US household inflation expectations

no code implementations • 24 Sep 2020 • Ben Zhe Wang, Jeffrey Sheen, Stefan Trück, Shih-Kang Chao, Wolfgang Karl Härdle

Monthly disaggregated US data from 1978 to 2016 reveals that exposure to news on inflation and monetary policy helps to explain inflation expectations.