Centro de Documentación de Fundación MAPFRE - Capital requirements for cyber risk and cyber risk insurance : an analysis of Solvency II, the U.S. risk-based capital standards and the swiss solvency test

MAP20200031536

Capital requirements for cyber risk and cyber risk insurance : an analysis of Solvency II, the U.S. risk-based capital standards and the swiss solvency test / Martin Eling, Werner Schnell

Sumario: Cyber risk is becoming more significant for insurance companies in both underwriting and operational risk terms, but the characteristics of cyber risk are still not yet well understood. We contribute to the literature by analyzing the role of cyber risk in insurance regulation frameworks. The aggregated cyber risk exposure of an insurer is estimated by fitting different marginal distributions and dependence models to historical cyber losses. This aggregated cyber exposure allows us to derive the insurer's survival probability and compare it with the goals of regulatory frameworks, such as the U.S. Risk Based Capital (RBC) or Solvency II (SII). Our findings indicate that regulatory models underestimate the potential risks associated with cyber threats. This is especially true for small cyber insurance portfolios, which are predominant in practice today. Regulatory models should be adapted to account for the heavy tails and dependence structure specific to cyber risks, instead of assuming one size fits all

En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/09/2020 Tomo 24 Número 3 - 2020 , p. 370-392

1. Ciberriesgos . 2. Seguro de ciberriesgos . 3. Solvencia II . 4. Empresas de seguros . 5. Legislación de seguros . 6. Ciberataques . 7. Requerimientos financieros . 8. Estados Unidos . I. Schnell, Werner . II. Título.