Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk

DOI10.1080/10920277.2021.1919145zbMath1484.91389OpenAlexW3174614271MaRDI QIDQ5027909

Kwangmin Jung

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

zbMATH Keywords

extreme value theorydata breach riskextreme loss modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistics of extreme values; tail inference (62G32) Actuarial mathematics (91G05)

Related Items (3)

Unraveling heterogeneity in cyber risks using quantile regressions ⋮ Cyber risk frequency, severity and insurance viability ⋮ Exact Insurance Premiums for Cyber Risk of Small and Medium-Sized Enterprises

Uses Software

• strucchange
• ismev

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• 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

This page was built for publication: Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk