1 citations · 1 across the 2 of their papers we have counts for
5 papers
Cyber Loss Model Risk Translates to Premium Mispricing and Risk Sensitivity
Gareth W. Peters, Matteo Malavasi, Georgy Sofronov +3
We focus on model risk and risk sensitivity when addressing the insurability of cyber risk. The standard statistical approaches to assessment of insurability and potential misprici…
Cyber Risk Frequency, Severity and Insurance Viability
Matteo Malavasi, Gareth W. Peters, Pavel V. Shevchenko +3
In this study an exploration of insurance risk transfer is undertaken for the cyber insurance industry in the United States of America, based on the leading industry dataset of cyb…
Multiple Change Point Detection and Validation in Autoregressive Time Series Data
Lijing Ma, Andrew Grant, Georgy Sofronov
It is quite common that the structure of a time series changes abruptly. Identifying these change points and describing the model structure in the segments between these change poi…
On Asymptotics of Optimal Stopping Times
Hugh Entwistle, Christopher Lustri, Georgy Sofronov
We consider optimal stopping problems, in which a sequence of independent random variables is drawn from a known continuous density. The objective of such problems is to find a pro…
Optimal insurance purchase strategies via optimal multiple stopping times
Rodrigo S. Targino, Gareth W. Peters, Georgy Sofronov +1
In this paper we study a class of insurance products where the policy holder has the option to insure of its annual Operational Risk losses in a horizon of years. This invo…