Now showing 1 - 10 of 21
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What Do We Know About Cyber Risk and Cyber Insurance?

2016 , Eling, Martin , Schnell, Werner

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Extreme cyber risks and the non-diversification trap

2018 , Schnell, Werner

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Does insurance regulation adequately reflect cyber risk? An Analysis of Solvency II, the Swiss Solvency Test, and the US RBC Standards

2017-01-12 , Schnell, Werner

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Does insurance regulation adequately reflect cyber risk? An Analysis of Solvency II, the Swiss Solvency Test, and the US RBC Standards

2016 , Schnell, Werner

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Does cyber risk pose a systemic threat to the insurance industry?

2020 , Schnell, Werner

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Extreme cyber risks and the non-diversification trap

2018-08-06 , Schnell, Werner

We illustrate the existence of a “nondiversification trap” (Ibragimov, Jaffee, and Walden,2009) when portfolios of cyber risk are constructed. Portfolio diversification thus does not decrease risk, but rather increases risk. Our results help to explain the current state of cyber insurance market, which is far behind the expected market volume. Many insurance companies are reluctant to offer cyber insurance on a broad scale, because (among other reasons) they anticipate the unfavorable diversification properties. We also discuss potential ways to overcome the nondiversification trap.

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Does insurance regulation adequately reflect cyber risk? An Analysis of Solvency II, the Swiss Solvency Test, and the US RBC Standards

2017-06 , Schnell, Werner

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Capital requirements for cyber risk and cyber risk insurance: an analysis of Solvency II, the US Risk-Based Capital Standards, and the Swiss Solvency Test

2018 , Schnell, Werner

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Extreme cyber risks and the non-diversification trap

2018 , Schnell, Werner

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Extreme cyber risks and the non-diversification trap

2017-09 , Schnell, Werner