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Multivariate dependence among cyber risks based on L-hop propagation
- Source :
- Insurance: Mathematics and Economics. 101:525-546
- Publication Year :
- 2021
- Publisher :
- Elsevier BV, 2021.
-
Abstract
- Dependence among cyber risks has been an essential and challenging component of risk management. The current study characterizes cyber dependence from both qualitative and quantitative perspectives based on L-hop propagation model. From the qualitative side, it is shown that cyber risks always possess positive association based on the proposed risk propagation model. From the quantitative side, an explicit formula for computing the fundamental dependence measure of covariance is provided for an arbitrary network. In particular, we study the impacts of factors—especially external and internal compromise probabilities, propagation depth, and network topologies—on dependence among cyber risks. We conclude by presenting some examples and applications.
- Subjects :
- Statistics and Probability
Economics and Econometrics
Multivariate statistics
business.industry
Computer science
Association (object-oriented programming)
Covariance
Measure (mathematics)
Risk analysis (engineering)
Component (UML)
Statistics, Probability and Uncertainty
Hop (telecommunications)
business
Risk management
Subjects
Details
- ISSN :
- 01676687
- Volume :
- 101
- Database :
- OpenAIRE
- Journal :
- Insurance: Mathematics and Economics
- Accession number :
- edsair.doi...........b231fedc81ac2a7f3d609d7e849429c4