Seminario Dottorato 2024/25 - Beatrice Ongarato (07.11.2024)

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.