We study the dependence structure of share price returns among the Beijing Bank, Ningbo Bank, and Nanjing Bank using copula models. We use the normal, Student’s t, rotated Gumbel, and symmetrized Joe-Clayton (SJC) copula models to estimate the underlying dependence structure in two periods:...

In the past decade, cyber insurance has raised much interest in the insurance industry, and cyber risk has evolved from a type of pure operational risk to both operational and liability risk for insurers. However, the modeling of cyber risk is still in its infancy. Compared with other insurance...