THE DETERMINATION OF THE RISK PREMIUM OF A CYBER INSURANCE WITH A COMPONENT OF THE TOTAL LOSS FOLLOWING A KUMARASWAMY DISTRIBUTION
The activities of internet users have skyrocketed in the last two decades with the increasing advances in Information Technology. Along with the developments in information technology, cyber-attacks are also increasing. Cyber insurance is one method of protections against financial losses due to...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/55192 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |
| Summary: | The activities of internet users have skyrocketed in the last two decades with the
increasing advances in Information Technology. Along with the developments in
information technology, cyber-attacks are also increasing. Cyber insurance is one
method of protections against financial losses due to cyber-attacks. The purpose
of this study is to model the financial losses due to cyber-attacks and to determine
the risk premium of a cyber insurance. In this study, the financial losses considered
are losses caused by the “infections” on computers or devices; and losses due to
business interruptions due to time required for recovery. The model of the financial
losses was built using Markov Chain and Graph Theory with one of the components
in the function of the aggregate loss follows a Kumaraswamy distribution. Using
the Monte Carlo simulation, the model is then used to determine the risk premium
of a cyber insurance using three risk measures, namely: the Standard Deviation
Principle; Value-at-Risk or VaR; and Tail Value-at-Risk or TVaR. |
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