The research project « Cyber risk: actuarial modeling »

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The research project « Cyber risk: actuarial modeling »  develops mathematical models integrating complex dependence effects,  to help for a better  insurability of  cyber risks.

First, stochastic accumulation scenarios are provided to investigate the systemic potential of a ”cyber hurricane”. Such massive attacks may lead to many claims and induce high costs (even if each claim itself is small) and this could break the mutualisation principle at the core of the insurance sector. 

In addition, even single cyber claims can have disastrous consequences. We developed data science techniques and advanced statistical tools from extreme value theory, for a better  understanding of which factors drive the occurrence of these extreme cyber claims. These adaptable tools can be used to draw a line between what can be insured or not, hence allow to improve the coverage by adapting it to the profile of customers. 

These contributions were nourished by regular and fruitful discussions with different economic actors .

  1. Hillairet,C., Lopez, O., d’Oultremont L., Spoorenberg B. , Cyber-contagion model with network structure applied to insurance IME 107 (2022) 88–101. https://hal.archives-ouvertes.fr/hal-03388840/
  1. O. Lopez, M. Thomas, Parametric insurance for extreme risks: the challenge to properly cover severe claims(Submitted, 2022) https://hal.sorbonne-universite.fr/hal-03524677
  1. Hillairet C., Réveillac A., Rosenbaum M. An expansion formula for Hawkes  processes and application to cyber-insurance derivatives (2022, revision for SPA) https://arxiv.org/abs/2104.01579