Bayesian Nowcasting Data Breach IBNR Incidents

Abstract

The reporting delay in data breach incidents poses a formidable challenge for Incurred But Not Reported (IBNR) studies, complicating reserve estimation for actuarial professionals. This work presents a novel Bayesian nowcasting model designed to accurately model and predict the number of IBNR data breach incidents. Leveraging a Bayesian modeling framework, the model integrates time and heterogeneous effects to enhance predictive accuracy. Synthetic and empirical studies demonstrate the superior performance of the proposed model, highlighting its efficacy in addressing the complexities of IBNR estimation. Furthermore, we examine reserve estimation for IBNR incidents using the proposed model, shedding light on its implications for actuarial practice.