Data Breach CAT Bonds : Modeling and Pricing

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<dc:creator>Xu, Maochao</dc:creator>
<dc:creator>Zhang, Yiying</dc:creator>
<dc:date>2022-12-06</dc:date>
<dc:description xml:lang="es">Sumario: Data breaches cause millions of dollars in financial losses each year. The insurance industry has been exploring the ways to transfer such extreme risk. In this work, we investigate data breach catastrophe (CAT) bonds via developing a multiperiod pricing model. It is found that the nonstationary extreme value model can capture the statistical pattern of the monthly maximum of data breach size very well and, in particular, a positive time trend is discovered. For the financial risks, data-driven time series approaches are proposed to model the complex patterns exhibited by the financial data, which are different from those in the literature. Simulation studies are performed to determine the bond prices and cash flows. Our results show that the data breach CAT bond can be an attractive financial product and an effective instrument for transferring the extreme data breach risk.

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<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/178302.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Riesgo financiero</dc:subject>
<dc:subject xml:lang="es">Mercado de seguros</dc:subject>
<dc:subject xml:lang="es">Data driven</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Data Breach CAT Bonds : Modeling and Pricing</dc:title>
<dc:relation xml:lang="es">En: North American actuarial journal. - Schaumburg : Society of Actuaries, 1997- = ISSN 1092-0277. - 06/12/2021 Tomo 25 Número 4 - 2021 , p. 543-561</dc:relation>
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