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Heavy-tailed distribution of cyber-risks

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  • T. Maillart
  • D. Sornette

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  • T. Maillart & D. Sornette, 2010. "Heavy-tailed distribution of cyber-risks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 75(3), pages 357-364, June.
    • Handle: RePEc:spr:eurphb:v:75:y:2010:i:3:p:357-364
    DOI: 10.1140/epjb/e2010-00120-8
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    References listed on IDEAS

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    1. Yannick Malevergne & Didier Sornette, 2006. "Extreme Financial Risks : From Dependence to Risk Management," Post-Print hal-02298069, HAL.
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    Cited by:

    1. Farkas, Sébastien & Lopez, Olivier & Thomas, Maud, 2021. "Cyber claim analysis using Generalized Pareto regression trees with applications to insurance," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 92-105.
    2. Pavel V. Shevchenko & Jiwook Jang & Matteo Malavasi & Gareth W. Peters & Georgy Sofronov & Stefan Truck, 2022. "The Nature of Losses from Cyber-Related Events: Risk Categories and Business Sectors," Papers 2202.10189, arXiv.org, revised Mar 2022.
    3. Arnaud Mignan, 2022. "Categorizing and Harmonizing Natural, Technological, and Socio-Economic Perils Following the Catastrophe Modeling Paradigm," IJERPH, MDPI, vol. 19(19), pages 1-32, October.
    4. Eling, Martin & Loperfido, Nicola, 2017. "Data breaches: Goodness of fit, pricing, and risk measurement," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 126-136.
    5. Malavasi, Matteo & Peters, Gareth W. & Shevchenko, Pavel V. & Trück, Stefan & Jang, Jiwook & Sofronov, Georgy, 2022. "Cyber risk frequency, severity and insurance viability," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 90-114.
    6. Gareth W. Peters & Matteo Malavasi & Georgy Sofronov & Pavel V. Shevchenko & Stefan Trück & Jiwook Jang, 2023. "Cyber loss model risk translates to premium mispricing and risk sensitivity," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(2), pages 372-433, April.
    7. Alessandro Mazzoccoli & Maurizio Naldi, 2022. "An Overview of Security Breach Probability Models," Risks, MDPI, vol. 10(11), pages 1-29, November.
    8. Kjartan Palsson & Steinn Gudmundsson & Sachin Shetty, 2020. "Analysis of the impact of cyber events for cyber insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 45(4), pages 564-579, October.
    9. Nandi O Leslie & Richard E Harang & Lawrence P Knachel & Alexander Kott, 2018. "Statistical models for the number of successful cyber intrusions," The Journal of Defense Modeling and Simulation, , vol. 15(1), pages 49-63, January.
    10. Spencer Wheatley & Annette Hofmann & Didier Sornette, 2021. "Addressing insurance of data breach cyber risks in the catastrophe framework," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(1), pages 53-78, January.
    11. Daniel Zängerle & Dirk Schiereck, 2023. "Modelling and predicting enterprise-level cyber risks in the context of sparse data availability," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 48(2), pages 434-462, April.
    12. Matteo Malavasi & Gareth W. Peters & Pavel V. Shevchenko & Stefan Truck & Jiwook Jang & Georgy Sofronov, 2021. "Cyber Risk Frequency, Severity and Insurance Viability," Papers 2111.03366, arXiv.org, revised Mar 2022.
    13. Bent Flyvbjerg & Alexander Budzier & Daniel Lunn, 2021. "Regression to the tail: Why the Olympics blow up," Environment and Planning A, , vol. 53(2), pages 233-260, March.
    14. Alessandro Mazzoccoli, 2023. "Optimal Cyber Security Investment in a Mixed Risk Management Framework: Examining the Role of Cyber Insurance and Expenditure Analysis," Risks, MDPI, vol. 11(9), pages 1-14, August.
    15. Kjartan Palsson & Steinn Gudmundsson & Sachin Shetty, 0. "Analysis of the impact of cyber events for cyber insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 0, pages 1-16.
    16. Jevtić, Petar & Lanchier, Nicolas, 2020. "Dynamic structural percolation model of loss distribution for cyber risk of small and medium-sized enterprises for tree-based LAN topology," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 209-223.
    17. Domenico Giovanni & Arturo Leccadito & Marco Pirra, 2021. "On the determinants of data breaches: A cointegration analysis," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 141-160, June.
    18. Ma, Boyuan & Chu, Tingjin & Jin, Zhuo, 2022. "Frequency and severity estimation of cyber attacks using spatial clustering analysis," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 33-45.
    19. Zängerle, Daniel & Schiereck, Dirk, 2022. "Modelling and predicting enterprise‑level cyber risks in the context of sparse data availability," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 136276, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    20. Meng Sun & Yi Lu, 2022. "A Generalized Linear Mixed Model for Data Breaches and Its Application in Cyber Insurance," Risks, MDPI, vol. 10(12), pages 1-23, November.
    21. Daouia, Abdelaati & Stupfler, Gilles & Usseglio-Carleve, Antoine, 2023. "Bias-reduced and variance-corrected asymptotic Gaussian inference about extreme expectiles," TSE Working Papers 23-1444, Toulouse School of Economics (TSE), revised Nov 2023.
    22. Eling, Martin & Wirfs, Jan Hendrik, 2016. "Cyber Risk: Too Big to Insure? Risk Transfer Options for a mercurial risk class," I.VW HSG Schriftenreihe, University of St.Gallen, Institute of Insurance Economics (I.VW-HSG), volume 59, number 59.

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