MODELING THE DEPENDENCIES OF THE RISKS OF DATA BREACH ON CROSS-SECTIONAL DATA USING COPULA TO DETERMINE THE RISK PREMIUM IN CYBER INSURANCE

• Main Author: Ronaldo Lete Boro, Yosef
• Format: Theses
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/63859
• Institution: Institut Teknologi Bandung

Along with the increasing risk of financial losses due to cyberattacks, the need for cyber insurance products also increases. This has resulted in the need for better modeling of the risk of financial losses due to cyberattacks. In this thesis, the dependencies of the risks of financial losses due to cyberattacks is modeled using copula which is then used to determine the risk premium of a cyber insurance product. For a case study, the data breach incidents in the United States from the 2005- 2019 Privacy Rights Clearinghouse data were analyzed. The study in this thesis attempts to model the dependencies of monthly financial losses occurring in two cross-sectional data. The first, is modeling across types of cyberattacks, the dependencies of financial losses of five industrial sectors, namely: banking; government agencies; health services; retails; and educational institutions. The second, is modeling across industrial sectors, the dependencies of financial losses of four types of cyberattacks, namely: hacking; losses of electronic devices; disclosures of information; and violations by insiders. The Monte Carlo simulation is used to determine the probability models for the aggregate financial losses, which is then used to model the dependencies of the financial losses using copula. The calculation of the risk premium is carried out using the standard deviation and the Value-at-Risk premium principles.