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Seminar by Prof. Zhuo JIN from Department of Actuarial Studies and Business Analytics, Macquarie University
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Date | Friday, 3 February 2023 |
Time | 2:30 p.m. – 3:30 p.m. |
Venue | in Room 301, Run Run Shaw Building |
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Title | Cyber attack estimation with spatial clustering analysis |
Abstract |
In this paper, a cluster-based method is developed to investigate the risk of cyber attacks
in the continental United States. The proposed analysis considers geographical
information of cyber incidents for clustering. By clustering state-based observations, the
frequency and severity of cyber losses demonstrate a simplified structure: independent
structure between inter-arrival time and size of cyber breaches. The independence
between frequency and severity is significant in the state level instead of national level.
Within clustered subcategories, the inter-arrival time is modelled by the family of
Autoregressive Conditional Duration models (ACD) and log-transformed size of breach
is described by an ARMA-GARCH model. Under multiple statistical tests, it is shown that
the cluster-based models have better fitting and are more robust than the aggregate
model, where all incidents are considered together. Finally, a numerical analysis is
presented to illustrate the performance of the approach. Accordingly, the prediction of
total losses is compared with other dependent models. The differences of key cyber risk
features among clusters are illustrated. |
About the speaker |
Prof. Zhuo Jin is a professor of actuarial science in the Department of Actuarial Studies and Business
Analytics at Macquarie Business School. He is an Associate in the Society of Actuaries (ASA). His research
interests include optimal control in actuarial science, mathematical finance, numerical methods in
stochastic systems, and machine learning. His research has been funded by Hong Kong RGC and other
funding bodies. He has published more than 60 papers in international journals and book chapters,
including top-tier journals Insurance Mathematics and Economics, European Journal of Operational
Research, ASTIN: Bulletin, Journal of Risk and Insurance, SIAM Journal on Control and Optimization, and
Automatica.
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