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The Herd Behavior Index : A New Measure for the Implied Degree of Co-Movement in Stock Markets

Dhaene, Jan - 2012

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...

Persistent link: https://www.econbiz.de/10013114109

The hurdle-race problem

Vanduffel, S.; Dhaene, J.; Goovaerts, M.; Kaas, R. - In: Insurance: Mathematics and Economics 33 (2003) 2, pp. 405-413

Persistent link: https://www.econbiz.de/10005380614

The concept of comonotonicity in actuarial science and finance: theory

Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; … - In: Insurance: Mathematics and Economics 31 (2002) 1, pp. 3-33

Persistent link: https://www.econbiz.de/10005374529

The compound Poisson approximation for a portfolio of dependent risks

Goovaerts, M. J.; Dhaene, J. - In: Insurance: Mathematics and Economics 18 (1996) 1, pp. 81-85

Persistent link: https://www.econbiz.de/10005374721

On the dependency of risks in the individual life model

Dhaene, J.; Goovaerts, M. J. - In: Insurance: Mathematics and Economics 19 (1997) 3, pp. 243-253

Persistent link: https://www.econbiz.de/10005375325

An easy computable upper bound for the price of an arithmetic Asian option

Simon, S.; Goovaerts, M. J.; Dhaene, J. - In: Insurance: Mathematics and Economics 26 (2000) 2-3, pp. 175-183

Persistent link: https://www.econbiz.de/10005375410

The concept of comonotonicity in actuarial science and finance: applications

Dhaene, J.; Denuit, M.; Goovaerts, M. J.; Kaas, R.; … - In: Insurance: Mathematics and Economics 31 (2002) 2, pp. 133-161

Persistent link: https://www.econbiz.de/10005380547

A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate

Vanneste, M.; Goovaerts, M. J.; De Schepper, A.; Dhaene, J. - In: Insurance: Mathematics and Economics 20 (1997) 1, pp. 35-41

Persistent link: https://www.econbiz.de/10005380655

Supermodular ordering and stochastic annuities

Goovaerts, M. J.; Dhaene, J. - In: Insurance: Mathematics and Economics 24 (1999) 3, pp. 281-290

Persistent link: https://www.econbiz.de/10005365494

Upper and lower bounds for sums of random variables

Kaas, Rob; Dhaene, Jan; Goovaerts, Marc J. - In: Insurance: Mathematics and Economics 27 (2000) 2, pp. 151-168

Persistent link: https://www.econbiz.de/10005374604