Perhitungan Premi Asuransi Siber Optimal Berdasarkan Metode Kopula dan Model Gordon-Loeb

Ganisson, Cliff (2025) Perhitungan Premi Asuransi Siber Optimal Berdasarkan Metode Kopula dan Model Gordon-Loeb. Other thesis, Institut Teknologi Sepuluh Nopember.

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Abstract

Kemajuan teknologi digital telah meningkatkan risiko serangan siber yang dapat menyebabkan kerugian finansial signifikan bagi perusahaan. Oleh karena itu, pemodelan distribusi kerugian siber dan optimasi premi asuransi siber menjadi aspek krusial dalam manajemen risiko siber. Penelitian ini bertujuan untuk memodelkan distribusi kerugian siber menggunakan metode kopula, yang memungkinkan memodelkan dependensi antar faktor risiko. Selain itu, penelitian juga bertujuan untuk mengoptimasikan premi asuransi siber dengan mengadopsi model Gordon-Loeb, yang mempertimbangkan hubungan antara investasi dalam keamanan siber dan pengurangan risiko kerugian. Pendekatan yang digunakan dalam penelitian ini mencakup pengumpulan data kerugian siber yang dialami oleh perusahaan, transformasi data menggunakan Empirical Cumulative Distribution Function, serta konstruksi fungsi kopula untuk memodelkan dependensi antar faktor risiko. Setelah itu, model Gordon-Loeb diterapkan untuk menentukan strategi optimal dalam menetapkan premi asuransi yang seimbang antara profitabilitas perusahaan asuransi dan insentif bagi perusahaan tertanggung untuk berinvestasi dalam keamanan siber. Hasil penelitian ini mengindikasikan bahwa ketika kerugian potensial terlalu tinggi, perusahaan tidak melakukan pembelian produk asuransi siber dan menggunakan seluruh anggarannya untuk mengurangi tingkat vulnerabilitas sistemnya, sedangkan perusahaan dengan kerugian potensial yang rendah cenderung hanya membeli polis asuransi siber tanpa melakukan investasi lanjutan pada sistemnya. Hasil perhitungan premium rate yang sesuai untuk tingkat keuntungan 5% bagi perusahaan asuransi memberikan hasil yang berbeda untuk setiap ukuran perusahaan. Untuk perusahaan kecil dibutuhkan premium rate 6%, perusahaan menengah sebesar -20%, dan perusahaan besar dengan premium rate sebesar -30%.
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The advancement of digital technology has increased the risk of cyberattacks, which can lead to significant financial losses for companies. Therefore, modeling cyber loss distribution and optimizing cyber insurance premiums are crucial aspects of cyber risk management. This study aims to model the distribution of cyber losses using the kopula methodology, which allows for a flexible representation of dependencies among risk factors. Additionally, this study optimizes cyber insurance premiums by adopting the Gordon-Loeb model, which considers the relationship between investment in cybersecurity and risk reduction. The approach used in this study includes collecting financoal loss data on cyber incidents, transforming those data with Empirical Cumulative Distribution Function, and constructing a copula function to model dependencies among risk factors. Subsequently, the Gordon-Loeb model is applied to determine an optimal strategy for setting insurance premiums that balance the profitability of insurance companies and incentives for insured firms to invest in cybersecurity. The findings of this study are that when an organisation potential los sis significantly high, often times they will invest in their cyber security systems without making any purchase of a cyber insurance policy, as they used all of their budget for investment. On the other hand, when the potential loss is low, organisations tend to buy a cyber insurance policy without spending a single dollar more into their cyber security system. In order for the insurer to achieve a stable gross profit of 5%, a portfolio of small companies would needed a premium rate of 6%, medium companies for -20%, and large companies for -30%.

Item Type: Thesis (Other)
Uncontrolled Keywords: Asuransi Siber, Kopula, Model Gordon-Loeb, Optimasi Premi, Risiko Siber
Subjects: H Social Sciences > HG Finance > HG8051 Insurance
H Social Sciences > HG Finance > HG8054.5 Risk (Insurance)
Divisions: Faculty of Science and Data Analytics (SCIENTICS) > Actuaria > 94203-(S1) Undergraduate Thesis
Depositing User: Cliff Ganisson
Date Deposited: 31 Jul 2025 03:29
Last Modified: 31 Jul 2025 03:29
URI: http://repository.its.ac.id/id/eprint/124618

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