Dependence among different cyber risk classes is a fundamentally underexplored topic in the literature. However, disregarding the dependence structure in cyber risk management leads to inconsistent estimates of potential unintended losses. To bridge this gap, this article adopts a regulatory perspective to develop vine copulas to capture dependence. In quantifying the solvency capital requirement gradient for cyber risk measurement according to Solvency II, a dangerous paradox emerges: an insurance company does not tend to provide cyber risk hedging products as they are excessively expensive and would require huge premiums that it would not be possible to find policyholders.

Vine copula modeling dependence among cyber risks: A dangerous regulatory paradox / Carannante, M.; D'Amato, Valeria; Fersini, Paola; Forte, Salvatore; Melisi, G.. - In: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY. - ISSN 1524-1904. - 39:4(2023), pp. 1-18. [10.1002/asmb.2767]

Vine copula modeling dependence among cyber risks: A dangerous regulatory paradox

D'Amato V.;Fersini P.;Forte S.;
2023

Abstract

Dependence among different cyber risk classes is a fundamentally underexplored topic in the literature. However, disregarding the dependence structure in cyber risk management leads to inconsistent estimates of potential unintended losses. To bridge this gap, this article adopts a regulatory perspective to develop vine copulas to capture dependence. In quantifying the solvency capital requirement gradient for cyber risk measurement according to Solvency II, a dangerous paradox emerges: an insurance company does not tend to provide cyber risk hedging products as they are excessively expensive and would require huge premiums that it would not be possible to find policyholders.
2023
Cyber risk, solvency capital requirements, vine copula
Vine copula modeling dependence among cyber risks: A dangerous regulatory paradox / Carannante, M.; D'Amato, Valeria; Fersini, Paola; Forte, Salvatore; Melisi, G.. - In: APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY. - ISSN 1524-1904. - 39:4(2023), pp. 1-18. [10.1002/asmb.2767]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11385/227758
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