Ruo (Alex) Jia Department of Risk Management and Insurance,

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Discussion on Exploring Cyber Risk Contagion – A Boundless Threat (Wang, 2018) Ruo (Alex) Jia Department of Risk Management and Insurance, School of Economics, Peking University 5th MRS Seminar, Oct 21, 2018

Summary Very well written and easy to read Refined definition of cyber risk with contagion An overview of the cyber risk history may also be a contribution A quarter of cyber risk events affects more than one firm A two-step approach to analyze the contagion risk Cluster analysis Factor copulas approach An interesting case study on Target vs. Home Depot data breach

Major comments 1. Sample identification strategy Describe a picture of cyber risk Or use cyber risk as a case to examine contagion risk Or look at only the cyber risks exposed to contagion risk? 2. Data to apply the two-step model The cluster analysis is based on portfolio of cyber risk events The factor copulas approach is only demonstrated in a two-firm case 3. Business/management implications Implication to the insurability of cyber risk and to the insurance underwriting about cyber risk For enterprises and/or for insurers?

Major comments 4. More interesting to know the differences and determinants of contagion risks among clusters Different clusters have the same contagion risks or different risks and why? Why is the contagion risk larger within cluster? Which factor makes this effect stronger? 5. Motivation Insurance companies are usually quite experienced to deal with the Cat events while risks are contagious One of the reasons that we know little about cyber risk is that the risk is uninsured

Minor Comments 1. Eling and Schnell (2018) on the loss distribution of cyber risk 2. Summary of specific conclusions 3. Term consistency: systemic risk vs. contagion risk 4. Panel C, Table 5, first year of event? 5. Table 8 might be integrated into Table 7 or embeded in texts 6. Interpretation of the copula correlation of 0.758