Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models

Caroline Hillairet () and Olivier Lopez ()
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Caroline Hillairet: Centre de Recherche en Économie et STatistique (CREST)
Olivier Lopez: LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique - UPCité - Université Paris Cité, CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper, we propose a general framework to design accumulation scenarios that can be used to anticipate the impact of a massive cyber attack on an insurance portfolio. The aim is also to emphasize the role of countermeasures in stopping the spread of the attack over the portfolio, and to quantify the benefits of implementing such strategies of response. Our approach consists of separating the global dynamic of the cyber event (that can be described through compartmental epidemiological models), the effect on the portfolio, and the response strategy. This general framework allows us to obtain Gaussian approximations for the corresponding processes, and sharp confidence bounds for the losses. A detailed simulation study, which mimics the effects of a Wannacry scenario, illustrates the practical implementation of the method.

Keywords: Cyber insurance; emerging risks; counting processes; compartmental epi- demiological models; risk theory; compartmental epidemiological models (search for similar items in EconPapers)
Date: 2021-01-31
New Economics Papers: this item is included in nep-rmg
Note: View the original document on HAL open archive server: https://hal.science/hal-02564462v2
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Citations: View citations in EconPapers (2)

Published in Scandinavian Actuarial Journal, 2021, 2021 (8), pp.671-694. ⟨10.1080/03461238.2021.1872694⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02564462

DOI: 10.1080/03461238.2021.1872694

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