With the rise of digital economy, cyber risk has become a major concern for all customer segments. The cyber-insurance market is increasingly developing but with important uncertainties on the real value of the guarantees, due to the nature of the risk itself. The emerging and evolving nature of cyber risk, its potential systemic, with potential very large claims, make the evaluation of this risk challenging.

Organised by the EAA - European Actuarial Academy GmbH.

Attendees are encouraged to install R on their laptop, as the exercises will be done in this programming language (*). One can install R from https://www.r-project.org. As the editor we’ll be using ‘RStudio’, which can be installed from https://www.rstudio.com.

(* prior to the seminar, we will supply the participants with an exhaustive list of packages/libraries that need to be installed additionally to the above tools, as well as a description of how to install them.

The web session is open to all interested persons with basic knowledge on property and casualty insurance.

Technical requirements
Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom is used for the web session). Please also make sure that you are joining the web session with a stable internet connection.

This session provides numerical tools to help evaluating the systemic component of cyber risk as well as its potential catastrophic nature. For a better quantification of cyber risk, we present numerical experimentations, both for the severity component (size of the claims) using extreme value theory, and the frequency component (self-excitation and clustering features) using Hawkes processes. The session is organized around tutorials for a better understanding and practical application of the concepts and algorithms.

The language of the web session will be English.

Caroline Hillairet
Caroline Hillairet has been a Professor at ENSAE Paris since September 2015, in charge of the actuarial program. She is a member of the Center for Research in Economics and Statistics (CREST) and the LFA (Finance and actuarial science) laboratory. She is board member of the French Institute of Actuaries. She is co-director, with Olivier Lopez, of the Research Initiative on "Actuarial modeling of cyber risk" (AXA Joint Research Initiative).

Olivier Lopez
Olivier Lopez is Professor of Statistics and Actuarial Sciences at Sorbonne Université (formerly Université Pierre et Marie Curie, Paris VI) since 2015. He directs the Institute of Statistics (ISUP) of Sorbonne Université, and its actuarial master degree. He is a fully qualified member of the French actuarial association “Institut des Actuaires”, and member of its scientific committee since 2013. He is also one of the scientific directors of Detralytics since 2021. His research topics cover machine learning and survival analysis applied to actuarial science. He is co-director (with Caroline Hillairet) of a Joint Research Initiative on cyber insurance (AXA Research Fund).