Pricing of Cyber Insurance Contracts in a Network Model

We develop a novel approach for pricing cyber insurance contracts. The considered cyber threats, such as viruses and worms, diffuse in a structured data network. The spread of the cyber infection is modeled by an interacting Markov chain. Conditional on the underlying infection, the occurrence and size of claims are described by a marked point process. We introduce and analyze a new polynomial approximation of claims together with a mean-field approach that allows to compute aggregate expected losses and prices of cyber insurance. Numerical case studies demonstrate the impact of the network topology and indicate that higher order approximations are indispensable for the analysis of non-linear claims. © 2018 by Astin Bulletin. All rights reserved

The joint impact of bankruptcy costs, fire sales and cross-holdings on systemic risk in financial networks

Abstract The paper presents a comprehensive model of a banking system that integrates network effects, bankruptcy costs, fire sales, and cross-holdings. For the integrated financial market we prove the existence of a price-payment equilibrium and design an algorithm for the computation of the greatest and the least equilibrium. The number of defaults corresponding to the greatest price-payment equilibrium is analyzed in several comparative case studies. These illustrate the individual and joint impact of interbank liabilities, bankruptcy costs, fire sales and cross-holdings on systemic risk. We study policy implications and regulatory instruments, including central bank guarantees and quantitative easing, the significance of last wills of financial institutions, and capital requirements

Modeling Service Choreographies Using BPMN and BPEL4Chor

Interconnecting information systems of independent business\ud partners requires careful specification of the interaction behavior the dierent partners have to adhere to. Choreographies dene such interaction constraints and obligations and can be used as starting point for process implementation at the partners' sites. This paper presents\ud how the Business Process Modeling Notation (BPMN) and the Business Process Execution Language (BPEL) can be used during choreography design. Step-wise renement of choreographies to the level of system configuration is supported through dierent language extensions as well\ud as a mapping from BPMN to BPEL4Chor. A corresponding modeling environment incorporating the language mapping is presented