报告题目:Modeling Malicious Hacking Data Breach Risks

报告所属学科：管理科学与工程

报告人：徐茂超

报告时间：2019年7月13日 09:30

报告地点：将军路校区经管楼706室

报告摘要：

Malicious hacking data breach has caused millions of dollars of financial losses each year, and more and more companies seek for the cyber insurance coverages. The lack of suitable statistical approaches for scoring the breach risks has become an obstacle in the insurance industry. We propose a novel frequency-severity model for analyzing the hacking breach risks from the individual company level which would be valuable for the underwriting purpose. We discover that the breach frequency can be modeled by a hurdle-Poisson model which is different from the negative binomial model used in the literature, and the breach severity shows a heavy tail which can be captured by a nonparametric-GPD model. We further discover a positive nonlinear dependence between the frequency and severity, which is also accommodated in our model. Both the in-sample and out-of-sample studies show that the proposed frequency-severity model by accommodating the nonlinear dependence has satisfactory performances, and is superior to the other models including the independence frequency-severity and Tweedie models.

报告人简介：

徐茂超教授于2010年在美国波特兰州立大学获得统计学博士学位。现为美国伊利诺伊州立大学数学系副教授，担任美国CloudCover公司网络保险顾问。曾获伊利诺伊州立大学杰出科研奖。研究方向主要包括应用统计、网络风险管理、网络安全保险等，近年来的相关研究成果发表于统计学、保险精算领域，如Technometrics，IEEE Transactions on Information Forensics and Security，IISE Transactions，Insurance: Mathematics and Economics等国际著名期刊上。