Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models

Olivier Lopez (1) , Caroline Hillairet (2)

1 LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation
2 Centre de Recherche en Économie et STatistique (CREST)

In this paper, we propose a general framework to design accumulation scenarios that can be used to anticipate the impact of a massive cyber attack on an insurance portfolio. The aim is also to emphasize the role of countermeasures in stopping the spread of the attack over the portfolio, and to quantify the benefits of implementing such strategies of response. Our approach consists of separating the global dynamic of the cyber event (that can be described through compartmental epidemiological models), the effect on the portfolio, and the response strategy. This general framework allows us to obtain Gaussian approximations for the corresponding processes, and sharp confidence bounds for the losses. A detailed simulation study, which mimics the effects of a Wannacry scenario, illustrates the practical implementation of the method.

Mots clés: Cyber insurance; emerging risks; counting processes; compartmental epi- demiological models; risk theory; compartmental epidemiological models

Domaines: Statistiques [math.ST]; Probabilités [math.PR]; Gestion des risques [q-fin.RM]

Olivier Lopez, Caroline Hillairet. Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models. Scandinavian Actuarial Journal, 2021. ⟨hal-02564462v2⟩