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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

Recurso electrónico / Electronic resource
Registro MARC
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100  ‎$0‎MAPA20080644529‎$a‎Eling, Martin
24510‎$a‎Capital requirements for cyber risk and cyber risk insurance‎$b‎: an analysis of Solvency II, the U.S. risk-based capital standards and the swiss solvency test‎$c‎Martin Eling, Werner Schnell
520  ‎$a‎Cyber 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.
650 4‎$0‎MAPA20160007633‎$a‎Ciberriesgos
650 4‎$0‎MAPA20170003779‎$a‎Seguro de ciberriesgos
650 4‎$0‎MAPA20080564254‎$a‎Solvencia II
650 4‎$0‎MAPA20080590567‎$a‎Empresas de seguros
650 4‎$0‎MAPA20080606954‎$a‎Legislación de seguros
650 4‎$0‎MAPA20140023066‎$a‎Ciberataques
650 4‎$0‎MAPA20100019443‎$a‎Requerimientos financieros
651 1‎$0‎MAPA20080638337‎$a‎Estados Unidos
7001 ‎$0‎MAPA20170000792‎$a‎Schnell, Werner
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎01/09/2020 Tomo 24 Número 3 - 2020 , p. 370-392