Academic Journal
Vine copula modeling dependence among cyber risks: A dangerous regulatory paradox
| العنوان: | Vine copula modeling dependence among cyber risks: A dangerous regulatory paradox |
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| المؤلفون: | Carannante, Maria, D'Amato, Valeria, Fersini, Paola, Forte, Salvatore, Melisi, Giuseppe |
| المساهمون: | Carannante, Maria, D'Amato, Valeria, Fersini, Paola, Forte, Salvatore, Melisi, Giuseppe |
| سنة النشر: | 2023 |
| المجموعة: | Sapienza Università di Roma: CINECA IRIS |
| مصطلحات موضوعية: | cyber risk, solvency capital, requirement, vine copula |
| الوصف: | Dependence among different cyber risk classes is a fundamentally underex-plored topic in the literature. However, disregarding the dependence structurein cyber risk management leads to inconsistent estimates of potential unin-tended losses. To bridge this gap, this article adopts a regulatory perspectiveto develop vine copulas to capture dependence. In quantifying the solvencycapital requirement gradient for cyber risk measurement according to Sol-vency II, a dangerous paradox emerges: an insurance company does not tend toprovide cyber risk hedging products as they are excessively expensive and wouldrequire huge premiums that it would not be possible to find policyholders |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| Relation: | info:eu-repo/semantics/altIdentifier/wos/WOS:000978809500001; issue:39; firstpage:549; lastpage:566; numberofpages:18; journal:APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY; https://hdl.handle.net/11573/1710110; info:eu-repo/semantics/altIdentifier/scopus/2-s2.0-85153613062 |
| DOI: | 10.1002/asmb.2767 |
| الاتاحة: | https://hdl.handle.net/11573/1710110 https://doi.org/10.1002/asmb.2767 |
| Rights: | info:eu-repo/semantics/openAccess |
| رقم الانضمام: | edsbas.FA30815E |
| قاعدة البيانات: | BASE |
| DOI: | 10.1002/asmb.2767 |
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