Detra Note 2021-4

We are pleased to share with you our new Detra Note on "Modeling accumulation scenarios in cyber risk".

In this work, we consider a simple way to model accumulation episodes (i.e., large number of claims occurring in a short amount of time) in the context of cyber risk. This provides a generic way to design stochastic scenarios measuring the impact of such an event on an insurance portfolio. A particular attention is devoted to providing a way to model network effects (contagion between actors connected with each other) while producing a model needing relatively few data to be calibrated. Illustrations of this method are performed to determine the impact of different behaviors of the policyholders and of the insurance company on the spread of the cyber epidemic.