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Document type:
Working Paper 
Author(s):
Zeller, G.; Scherer, M. 
Title:
A comprehensive model for cyber risk based on marked point processes and its application to insurance 
Abstract:
After scrutinizing technical, legal, financial, and actuarial aspects of cyber risk, a new approach for modelling cyber risk using marked point processes is proposed. Key covariables, required to model frequency and severity of cyber claims, are identified. The presented framework explicitly takes into account incidents from untargeted and targeted attacks as well as accidents and failures. The resulting model is able to include the dynamic nature of cyber risk, while capturing accumulation...    »
 
Year:
2020