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Security and privacy concerns are challenging the way users interact with devices. The number of devices connected to a home or enterprise network increases every day. Nowadays, the security of information systems is relevant as user information is constantly being shared and moving in the cloud; however, there are still many problems such as, unsecured web interfaces, weak authentication, insecure networks, lack of encryption, among others, that make services insecure. The software implementations that are currently deployed in companies should have updates and control, as cybersecurity threats increasingly appearing over time. There is already some research towards solutions and methods to predict new attacks or classify variants of previous known attacks, such as (algorithmic) information theory. This survey combines all relevant applications of this topic (also known as Kolmogorov Complexity) in the security and privacy domains. The use of Kolmogorov-based approaches is resource-focused without the need for specific knowledge of the topic under analysis. We have defined a taxonomy with already existing work to classify their different application areas and open up new research questions. [ABSTRACT FROM AUTHOR]