Cyber Risk modelling: annual conference of the DAV and DGVF
Cyber Risk: Stochastic Modelling of Personal Records Losses and key applications to Insurance
During the next annual autumn conference of the DAV and DGVF, our addactis experts will lead a workshop on the topic of cyber risk modelling. Here is the abstract.
A Cyber attack is an assault using one or more computers against a single or multiple computers, networks or devices. It can maliciously disable computers, steal data or use a breached computer as a launch point for other attacks. The emergence of the Internet of Things (IoT) devices raises serious concerns in the areas of privacy and security. Global industry and governmental moves to address these concerns have begun, starting in the USA then rapidly followed by other developed regions in the world.
This presentation investigates a major Cyber risk: data confidentiality breach incidents through the loss of personal records. This risk has become more serious since the application of the General Data Protection Regulation (GDPR) since May 28th 2018. This talk also tackles the issue of Cyber risk mitigation and Cyber risk transfer through insurance solutions.
First, the insurance market and the topical issue of facing Cyber risk and opportunities as an insurer are presented to support the understanding of the audience of both Cyber risk and its related issues. Two open databases that describe historical Cyber incidents which mostly occurred in the USA are then presented.
Two stochastic sequential sub-models are built and calibrated based on the data to provide a global modeling which depends on the core characteristics of the insured company at stake. Special attention is paid to the coherence of the modeling and the results through the study and comparison with several external studies.
Four insurance applications are eventually provided: a raw modeling which suits the Solvency 2, Pillar 1 requirements, a non-proportional cover pricing model, the evaluation of the Overall Solvency Need (OSN) of the ORSA through a Standard Formula adjustment to include Cyber risk. The last application is the proposal of several Cyber stress scenarios to include in the ORSA.
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Our Speakers
Thomas BASTARD
Senior Consultant
Geoffrey BARD
Consultant
This year’s autumn conference of the DAV and DGVFM will take place in November. For the first time, the autumn conference will be offered in a hybrid format (subject to pandemic events). Participants can join the conference either live on site at the Liederhalle Stuttgart or online via livestream.
Key words: Cyber, Privacy breach, Personal records, GDPR, ORSA, Jacobs, ERM, OSN, Scenario, Solvency 2, PRC, VERIS, Truncated distribution, Weibull, Ponemon, CESIN, Pricing, Cover, Treaty, Reinsurance, Non-proportional, SCR, Operational, Standard Formula.
