| Title | Quantile based risk measures in cyber security |
| Publication Type | Conference Paper |
| Year of Publication | 2019 |
| Authors | Francesca Carfora, Maria, Orlando, Albina |
| Conference Name | 2019 International Conference on Cyber Situational Awareness, Data Analytics And Assessment (Cyber SA) |
| Keywords | Chronology of data breaches, cyber risk, cyber security, cyber value at risk, data breach information, data privacy, financial sector, human factors, insurance companies, insurance data processing, Metrics, pricing cyber insurance contracts, Privacy Rights Clearinghouse, pubcrawl, quantile based risk measures, Resiliency, risk management, Risk measures, Scalability, security of data, Security Risk Estimation, tail value at risk, Value at Risk, value at risk estimation |
| Abstract | Measures and methods used in financial sector to quantify risk, have been recently applied to cyber world. The aim is to help organizations to improve risk management strategies and to wisely plan investments in cyber security. On the other hand, they are useful instruments for insurance companies in pricing cyber insurance contracts and setting the minimum capital requirements defined by the regulators. In this paper we propose an estimation of Value at Risk (VaR), referred to as Cyber Value at Risk in cyber security domain, and Tail Value at risk (TVaR). The data breach information we use is obtained from the "Chronology of data breaches" compiled by the Privacy Rights Clearinghouse. |
| DOI | 10.1109/CyberSA.2019.8899431 |
| Citation Key | francesca_carfora_quantile_2019 |
Quantile based risk measures in cyber security