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

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<rdf:Description>
<dc:creator>Eling, Martin</dc:creator>
<dc:creator>Schnell, Werner</dc:creator>
<dc:date>2020-09-01</dc:date>
<dc:description xml:lang="es">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.</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/173224.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Ciberriesgos</dc:subject>
<dc:subject xml:lang="es">Seguro de ciberriesgos</dc:subject>
<dc:subject xml:lang="es">Solvencia II</dc:subject>
<dc:subject xml:lang="es">Empresas de seguros</dc:subject>
<dc:subject xml:lang="es">Legislación de seguros</dc:subject>
<dc:subject xml:lang="es">Ciberataques</dc:subject>
<dc:subject xml:lang="es">Requerimientos financieros</dc:subject>
<dc:subject xml:lang="es">Estados Unidos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">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</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 01/09/2020 Tomo 24 Número 3 - 2020 , p. 370-392</dc:relation>
<dc:coverage xml:lang="es">Estados Unidos</dc:coverage>
</rdf:Description>
</rdf:RDF>