Data in finance and insurance often cover a long time period. Therefore, the economic factors may induce some changes in the dependence structure. Recently, two methods to analyze such changes using copula have been proposed. The first approach only investigates the changes of copula parameters...

This paper develops the method for pricing bivariate contingent claims under General Autoregressive Conditionally Heteroskedastic (GARCH) process. In order to provide a general framework being able to accommodate skewness, leptokurtosis, fat tails as well as the time varying volatility that are...