Abstract
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.
Keywords: Cyber insurance; accumulation scenarios; epidemiological models; multi-group SIR models.
Sector: Insurance
Expertise: Cyber risk
Authors: Louise d’Oultremont,
Olivier Lopez and Brieuc Spoorenberg
Publisher: Detralytics
Date: October 2021
Language: English
Pages: 25
Reference : Detra Note 2021-4
About the authors
Louise d'Oultremont
Louise is People Lead and part of the Talent Consolidation Program (TCP). Prior to joining Detralytics, Louise did an internship at Axa Belgium, where she was in the risk pricing team. After a few years at Detralytics, Louise developed a solid knowledge in actuarial sciences. In particular, she worked on pricing and reserving in the fields of non-life and health insurance.
Olivier Lopez
At Detralytics, Olivier is a Scientic advisor and he coaches young talents, provides cutting-edge training, fosters innovation and oversees R&D projects.
Olivier is also a professor at ENSAE in Paris (FR) and also co-director of the Master 2 in Statistics, Finance and Actuarial Sciences. He is a Qualified Actuary and has a compelling academic background developed in prominent universities.
