Actuarial Modeling for Cyber Risk (2 days)

Event Type
Web Session
European Actuarial Academy (EAA)

Monday 31st January and Monday 7th February 2022

Start time: 8.00 am IST

End time: 11.30 am IST


Announcements from the European Actuarial Academy organiser: With the rise of digital economy, cyber risk has become a major concern for all customer segments. Although the development of “physical” protection strategies against cyber attacks is fundamental, no protection is perfect and insurers are intended to play a crucial role in providing financial protection. The cyber-insurance market is increasingly developing but with important uncertainties on the real value of the guarantees, due to the nature of the risk itself. The emerging and evolving nature of cyber risk and its potential systemic component make it one of the most important social and economic risks, and questions its insurability.

After an introduction to the specificities on cyber-risk, this session gives first steps towards a better understanding of cyber risk, by providing mathematical models and actuarial analysis. For a better quantification of cyber risk, we propose innovative models, both for the severity component (size of the claims) and the frequency component (accumulation risk and clustering features) of the risk.

After completing this course, you will be able to
•    Identify the specificities of cyber risk
•    Identify the factors that may jeopardize the mutualisation of cyber risk
•    Identify extreme events and convey a risk segmentation
•    Construct accumulation scenarii on a cyber portfolio
•    Quantify the impact of protection measures on the risk of saturation in the insurer response capacity
•    Model clustering features and auto-existing arrivals of cyber-events using Hawkes process

The web session is open to all interested persons with basic knowledge on property and casualty insurance.

Technical requirements: Please check with your IT department if your firewall and computer settings support web session participation (the programme Zoom is used for the web session).

Click here to make a reservation. Your early-bird registration fee is € 300.00 plus 19% VAT for bookings by 20 December 2021. After this date, the fee will be € 400.00 plus 19% VAT.


Click here to see the agenda for Monday 31st January and Monday 7th February

Caroline Hillairet and Olivier Lopez
Biographical details

Caroline Hillairet: Caroline Hillairet has been a Professor at ENSAE Paris since September 2015, in charge of the actuarial program. She is a member of the Center for Research in Economics and Statistics (CREST) and the LFA (Finance and actuarial science) laboratory. She is board member of the French Institute of Actuaries. She is co director, with Olivier Lopez, of the Research Initiative on "Actuarial modeling of cyber risk" (AXA Joint Research Initiative).

Olivier Lopez: Olivier Lopez is Professor of Statistics and Actuarial Sciences at Sorbonne Université (formerly Université Pierre et Marie Curie, Paris VI) since 2015. He directs the Institute of Statistics (ISUP) of Sorbonne Université, and its actuarial master degree. He is a fully qualified member of the French actuarial association “Institut des Actuaires”, and member of its scientific committee since 2013. He is also one of the scientific directors of Detralytics since 2021. His research topics cover machine learning and survival analysis applied to actuarial science. He is co-director (with Caroline Hillairet) of a Joint Research Initiative on cyber insurance (AXA Research Fund).