3 citations · 4 across the 10 of their papers we have counts for
11 papers
A stochastic SIR model for cyber contagion: application to granular growth of firms and to insurance portfolio
Caroline Hillairet, Olivier Lopez, Lionel Sopgoui
This work evaluates the impact of contagious cyber-events, over a finite horizon, on firms' financial health and on a cyber insurance portfolio. Our approach builds on key empirica…
Disaster Risk Financing through Taxation: A Framework for Regional Participation in Collective Risk-Sharing
Fallou Niakh, Arthur Charpentier, Caroline Hillairet +1
We consider an economy composed of different risk profile regions wishing to be hedged against a disaster risk using multi-region catastrophe insurance. Such catastrophic events in…
A stochastic Gordon-Loeb model for optimal cybersecurity investment under clustered attacks
Giorgia Callegaro, Claudio Fontana, Caroline Hillairet +1
We develop a continuous-time stochastic model for optimal cybersecurity investment under the threat of cyberattacks. The arrival of attacks is modeled using a Hawkes process, captu…
Multivariate Self-Exciting Processes with Dependencies
Caroline Hillairet, Thomas Peyrat, Anthony Réveillac
This paper introduces the class of multidimensional self-exciting processes with dependencies (MSPD), which is a unifying writing for a large class of processes: counting, loss, in…
Cyber risk modeling using a two-phase Hawkes process with external excitation
Alexandre Boumezoued, Yousra Cherkaoui, Caroline Hillairet
With the growing digital transformation of the worldwide economy, cyber risk has become a major issue. As 1 % of the world's GDP (around $1,000 billion) is allegedly lost to cyberc…
On the chaotic expansion for counting processes
Caroline Hillairet, Anthony Reveillac
We introduce and study an alternative form of the chaotic expansion for counting processes using the Poisson imbedding representation; we name this alternative form \textit{pseudo-…