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Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks

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  • Kerstin Awiszus
  • Thomas Knispel
  • Irina Penner
  • Gregor Svindland
  • Alexander Vo{ss}
  • Stefan Weber

Abstract

The paper provides a comprehensive overview of modeling and pricing cyber insurance and includes clear and easily understandable explanations of the underlying mathematical concepts. We distinguish three main types of cyber risks: idiosyncratic, systematic, and systemic cyber risks. While for idiosyncratic and systematic cyber risks, classical actuarial and financial mathematics appear to be well-suited, systemic cyber risks require more sophisticated approaches that capture both network and strategic interactions. In the context of pricing cyber insurance policies, issues of interdependence arise for both systematic and systemic cyber risks; classical actuarial valuation needs to be extended to include more complex methods, such as concepts of risk-neutral valuation and (set-valued) monetary risk measures.

Suggested Citation

  • Kerstin Awiszus & Thomas Knispel & Irina Penner & Gregor Svindland & Alexander Vo{ss} & Stefan Weber, 2022. "Modeling and Pricing Cyber Insurance -- Idiosyncratic, Systematic, and Systemic Risks," Papers 2209.07415, arXiv.org, revised Dec 2022.
    • Handle: RePEc:arx:papers:2209.07415
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    References listed on IDEAS

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    Cited by:

    1. Kerstin Awiszus & Yannick Bell & Jan Luttringhaus & Gregor Svindland & Alexander Vo{ss} & Stefan Weber, 2022. "Building Resilience in Cybersecurity -- An Artificial Lab Approach," Papers 2211.04762, arXiv.org, revised Sep 2023.

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