Cyber risk refers to risk affecting information and technology assets of a corporation or government institution. As cyber risk management become important, insurance is one possible solution. However, lack of data and severe information asymmetries increase the difficulties in pricing-related...

The recent price coupling of many European electricity markets has triggered a fundamental change in the interaction of day-ahead prices, challenging additionally the modeling of the joint behavior of prices in interconnected markets. In this paper we propose a regime-switching AR-GARCH copula...