In the individual risk model, the total claims on a portfolio of insurance contracts is the random variable of interest. The total claims is modelled as the sum of all claims on the individual policies, which are assumed independent. We present several techniques, such as convolution and...

We introduce a new and easy to calculate measure for systemic risk in financial markets. This measure is baptized the Herd Behavior Index (HIX). It is model independent and forward looking, based on observed option data.In order to determine the degree of systemic risk or herd behavior in a...

To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculate the distribution function of a sum of random variables. As the individual risk factors are often positively dependent, the classical convolution technique will not be sufficient. On the other...

We introduce a new and easy-to-calculate measure for the expected degree of herd behavior or co-movement between stock prices. This forward looking measure is model-independent and based on observed option data. It is baptized the Herd Behavior Index (HIX).The degree of co-movement in a stock...

To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculate the distribution function of a sum of random variables. As the individual risk factors are often positively dependent, the classical convolution technique will not be sufficient. On the other...