Programme

WEB SESSION

31 Jan - 7 Feb 2022

Actuarial Modeling for Cyber Risk (2 days)

Monday, 31 January 2022

09:00 - 10:30 Introduction on cyber risk
10:30 - 11:00 Break
11:00 - 12:30 Quantifying severity of a cyber event
- Data
- The importance of risk factors
- "Standard" events vs. "extreme" events
- Clustering of "extreme" situations

Monday, 07 February 2022

09:00 - 10:30 Construction of cyber accumulation scenarii
- Accumulation scenarii modelisation
- Calibration on a Wannacry type attack
- Impact on cyber-insurance portfolio
- Network effect to model the connectivity between policyholders
10:30 - 11:00 Break
11:00 - 12:30 Modeling cyber frequency with Hawkes Process.
- The Data Base
- Self-excitation and clustering effect
- Hawkes process
- Calibration and simulation
All the above times are given in CET.

Seminar Details

Programme

CPD Credits

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4.2 of 5 Points