“Hawkes Processes in Cyber-Risk Analysis: Modelization and Optimal Security Investment”
Thursday 7 November 2024 h. 16:00 - Room 2BC60 - Beatrice Ongarato (Padova, Dip. Mat.)
Abstract
With the rapid growth of the digital economy in recent years, cyber-risk has emerged as one of the most relevant and rapidly growing sources of risk. We provide an overview of the main concepts related to cyber-risk and examine the challenges involved in its quantification and modeling. We introduce Hawkes processes and explain their applicability in capturing the dynamics of cyber-attacks.
Lastly, we present an ongoing project aimed at determining the optimal cyber-security investment strategy for an organization facing cyber-attacks. The problem is framed as a stochastic control problem with jumps and is addressed using Hamilton-Jacobi-Bellman (HJB) techniques. We introduce the main tools needed to solve this type of problem and show some preliminary numerical results.
The video of the seminar will appear shortly afterwards in this Mediaspace channel.
