Multivariate dependence among cyber risks based on L-hop propagation

Gaofeng Da, Maochao Xu and Peng Zhao

Insurance: Mathematics and Economics, 2021, vol. 101, issue PB, 525-546

Abstract: Dependence among cyber risks has been an essential and challenging component of risk management. The current study characterizes cyber dependence from both qualitative and quantitative perspectives based on L-hop propagation model. From the qualitative side, it is shown that cyber risks always possess positive association based on the proposed risk propagation model. From the quantitative side, an explicit formula for computing the fundamental dependence measure of covariance is provided for an arbitrary network. In particular, we study the impacts of factors—especially external and internal compromise probabilities, propagation depth, and network topologies—on dependence among cyber risks. We conclude by presenting some examples and applications.

Keywords: Association; Comonotonic; Covariance; Intertwined effect; Premiums (search for similar items in EconPapers)
JEL-codes: C1 C6 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:101:y:2021:i:pb:p:525-546

DOI: 10.1016/j.insmatheco.2021.09.005

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