Modeling Malicious Hacking Data Breach Risks

DOI10.1080/10920277.2020.1752255zbMath1491.91111OpenAlexW3043801573MaRDI QIDQ5027904

Maochao Xu, Hong Sun, Peng Zhao

Publication date: 7 February 2022

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

Full work available at URL: https://doi.org/10.1080/10920277.2020.1752255

zbMATH Keywords

generalized Pareto distributionGumbel copulafrequency-severity modelTweedie modeldollar losshacking data breachhurdle-Poisson modelordered Lorenz curve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)

Related Items (3)

The Economic Impact of Extreme Cyber Risk Scenarios ⋮ Censoring heavy-tail count distributions for parameter estimation with an application to stable distributions ⋮ Modeling and pricing cyber insurance. Idiosyncratic, systematic, and systemic risks

Uses Software

• KernSmooth
• CDVine
• ismev

Cites Work

• Unnamed Item
• Dependent frequency-severity modeling of insurance claims
• Heavy-tailed distribution of cyber-risks
• Likelihood-based and Bayesian methods for Tweedie compound Poisson linear mixed models
• A flexible extreme value mixture model
• Copula approaches for modeling cross-sectional dependence of data breach losses
• Total loss estimation using copula-based regression models
• Data breaches: goodness of fit, pricing, and risk measurement
• A mixed copula model for insurance claims and claim sizes
• Joint Regression Analysis of Correlated Data Using Gaussian Copulas
• Fitting Tweedie's compound poisson model to insurance claims data
• Cybersecurity Insurance: Modeling and Pricing
• An introduction to statistical modeling of extreme values

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