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WEB SESSION

31 Jan - 7 Feb 2022

Actuarial Modeling for Cyber Risk (2 days)

Monday, 31 January 2022

  1. 09:00 - 10:30 Introduction on cyber risk
  2. 10:30 - 11:00 Break
  3. 11:00 - 12:30 Quantifying severity of a cyber event
  4. - Data
  5. - The importance of risk factors
  6. - "Standard" events vs. "extreme" events
  7. - Clustering of "extreme" situations

Monday, 07 February 2022

  1. 09:00 - 10:30 Construction of cyber accumulation scenarii
  2. - Accumulation scenarii modelisation
  3. - Calibration on a Wannacry type attack
  4. - Impact on cyber-insurance portfolio
  5. - Network effect to model the connectivity between policyholders
  6. 10:30 - 11:00 Break
  7. 11:00 - 12:30 Modeling cyber frequency with Hawkes Process.
  8. - The Data Base
  9. - Self-excitation and clustering effect
  10. - Hawkes process
  11. - Calibration and simulation
  12. All the above times are given in CET.
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