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Kwangmin Jung
Former Member
Title
M.Sc.
Last Name
Jung
First name
Kwangmin
Phone
+41 71 224 7994
6 results
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Item type:Publication, Risk aggregation in non-life insurance: Standard models vs. internal modelsStandard models for capital requirements restrict the correlation between different risk factors to the linear measure and do not consider undertaking-specific parameters. We propose a comprehensive framework for risk aggregation in non-life insurance using copulas and two levels of aggregation: base-level aggregation (different assets, different lines of insurance) and top-level aggregation (assets and liabilities). Using empirical data from Korean and German insurance companies, we compare our internal risk model with three regulatory standard models (Korean RBC, Solvency II, Swiss Solvency Test). We show that the standard models significantly overestimate the potential risk size for the insurers considered in this study by 61.2% and 57.8% on average for the Korean and the German cases respectively, where almost half of the overestimation level results from the uniform risk profile imposed by regulations and the other half comes from the linear correlation assumption. The differences between standard models and internal models might distort competition when both approaches are used in one market.Type:journal articleJournal:Insurance: Mathematics and EconomicsVolume:95Scopus© Citations 12 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Copula Approaches for Modeling Cross-sectional Dependence of Data Breach LossesType:journal articleJournal:Insurance: Mathematics and EconomicsVolume:82Scopus© Citations 72 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Decision-making on cyber risk: Interaction between market insurance and risk control measures under prospect theory(2018-07-30)This paper studies decision-making on cyber risk management in the presence of interdependent risk, comparing market insurance, self-protection and self-insurance. Our economic decision model reflects interdependent risk and loss aversion, a combination that to the best of our knowledge has not been examined in the literature, but is increasingly relevant in an interconnected world. We find that an agent with self-protection as the reference point is likely not to invest in other risk management activities (market insurance and self-insurance), providing support for the anecdotal evidence of a fatalistic behavior with respect to cyber risks. However, we empirically show that demand for additional risk management activities might increase as agents are exposed to increasing frequency rate year-by-year. The focus of our paper is on the increasingly relevant field of cyber risk, but the results can be generalized to any other interdependent risk under loss aversion.Type:conference paper - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Heterogeneity in cyber loss severity and its impact on cyber risk measurement(2022); Journal:Risk ManagementVolume:24 - Some of the metrics are blocked by yourconsent settings
Item type:Publication, Unraveling Heterogeneity in Cyber Risk Using Quantile RegressionsJournal:Insurance: Mathematics and EconomicsVolume:104