题目： Cybersecurity insurance: Modeling and Pricing

嘉宾：徐茂超 博士（美国伊利诺伊州立大学）

时间：2015年6月17日4:00-5:00

地点：管理科研楼10楼1018会议室

单位：管理学院统计与金融系、安徽省金融信息重点实验室

摘要：
Cybersecurity has become a problem that is threatening the economy, human privacy, and even national security. The cybersecurity insurance, which is designed to mitigate losses from a variety of cyber incidents, including data breaches, business interruption, and network damage, has received much attention recently. However, the contributions to modeling the cybersecurity risk in the literature are largely descriptive, which is mainly because the cyber risk is very different from the traditional financial risks. The significant property that distinguishes cyber risk from the conventional risk is that information and communication technology resources are interconnected in a network, and therefore the analysis of risk and its related potential losses needs to take into the network topology.

The talk aims to discuss several key issues and their solutions in the cybersecurity insurance. The first one is to model the high-dimensional dependence between cyber risks, where reasonable dependence structures including Comonotonic, Gaussian, Vine, and Factor copulas, and Comonotonic latent variable models. The second one is to seek mathematical abstractions for representing cyber epidemic spreading. This is important because our experience shows that a good abstraction can formulate a systematic way of thinking. The third one is to discuss the pricing strategy for the insurance companies based on the proposed epidemic spreading model and related simulation.