Copula approaches for modeling cross-sectional dependence of data breach losses

DOI10.1016/J.INSMATHECO.2018.07.003zbMath1416.91173OpenAlexW2883325293WikidataQ129454449 ScholiaQ129454449MaRDI QIDQ1799650

Kwangmin Jung, Martin Eling

Publication date: 19 October 2018

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.07.003

zbMATH Keywords

zero-inflated datarisk measurementdiversification effectinsurance pricingvine copulapair copula constructioncyber riskdata breach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (13)

Unraveling heterogeneity in cyber risks using quantile regressions ⋮ A comprehensive model for cyber risk based on marked point processes and its application to insurance ⋮ Cyber risk frequency, severity and insurance viability ⋮ Multivariate dependence among cyber risks based on \(L\)-hop propagation ⋮ Exact Insurance Premiums for Cyber Risk of Small and Medium-Sized Enterprises ⋮ A multivariate frequency-severity framework for healthcare data breaches ⋮ Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks ⋮ Risk aggregation in non-life insurance: standard models vs. internal models ⋮ Measuring market and credit risk under Solvency II: evaluation of the standard technique versus internal models for stock and bond markets ⋮ Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology ⋮ Simulation methods for robust risk assessment and the distorted mix approach ⋮ Modeling Malicious Hacking Data Breach Risks ⋮ Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk

Uses Software

• CDVine
• QRM

Cites Work

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