Erik Helmer Bølviken

• Bølviken, Erik Helmer & Haff, Ingrid Hobæk (2024). Loss modeling with many-parameter distributions. Scandinavian Actuarial Journal. ISSN 0346-1238. 2024(8), p. 763–780. doi: 10.1080/03461238.2024.2309987. Full text in Research Archive Show summary

  It is argued that many-parameter families of loss distributions may work even with limited amounts of historical data. A restriction to unimodality works as a stabilizer, which makes fitted distributions much more stable than their parameters. We propose Box-Cox transformed Gamma and Burr variables. Those are models with three or four parameters with many of the traditional two-parameter families as special cases, and there are well-defined distributions at the boundaries of the parameter space, which is important for stability. The approach is evaluated with model error defined though the theory of misspecification in statistics. It is shown that such error is drastically reduced when a third or fourth parameter is added without increasing the random error more than a little. It is pointed out that the approach may be a suitable starting point for completely automatic procedures.

• Wang, Yinzhi & Bølviken, Erik (2021). How Much Is Optimal Reinsurance Degraded by Error? North American Actuarial Journal (NAAJ). ISSN 1092-0277. doi: 10.1080/10920277.2021.1956974. Full text in Research Archive
• Banos, David; Bølviken, Erik; Duedahl, Sindre & Proske, Frank Norbert (2019). Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes. Scandinavian Actuarial Journal. ISSN 0346-1238. doi: 10.1080/03461238.2019.1636858. Full text in Research Archive Show summary

  In this paper we aim at modeling stochastic transition rates of state processes in life insurance by using generalized Cox processes. A feature of a our non-Gaussian model is that it can be used to capture ‘regime switching’ effects of data which may be due to regulatory changes in insurance markets or external ‘shocks’ caused e.g. by an economical crisis, natural disasters or epidemics. We propose a method how to estimate the unknown parameters of our model for stochastic transition rates from insurance data by using non-linear filtering techniques for Lévy processes. As a result we also obtain an explicit formula for the unnormalized density of a filtering problem with singular coefficients.

• Bølviken, Erik & Guillen, Montserrat (2017). Risk aggregation in Solvency II through recursive log-normals. Insurance, Mathematics & Economics. ISSN 0167-6687. 73, p. 20–26. doi: 10.1016/j.insmatheco.2016.12.006. Full text in Research Archive Show summary

  It is argued that the accuracy of risk aggregation in Solvency II can be improved by updating skewness recursively. A simple scheme based on the log-normal distribution is developed and shown to be superior to the standard formula and to adjustments of the Cornish–Fisher type. The method handles tail-dependence if a simple Monte Carlo step is included. A hierarchical Clayton copula is constructed and used to confirm the accuracy of the log-normal approximation and to demonstrate the importance of including tail-dependence. Arguably a log-normal scheme makes the logic in Solvency II consistent, but many other distributions might be used as vehicle, a topic that may deserve further study.

• Bølviken, Erik; Proske, Frank Norbert & Rubtsov, Mark (2014). Pricing of Margrabe options for large investors with application to asset-liability management in life insurance. Journal of Mathematical Finance. ISSN 2162-2434. 4(2), p. 113–122. doi: 10.4236/jmf.2014.42011. Full text in Research Archive
• Bølviken, Erik (2003). Modeling joint, hidden volatility processes: A semiparametric approach. Insurance, Mathematics & Economics. ISSN 0167-6687. 32(1), p. 165–166. Full text in Research Archive
• Stenseth, Nils Christian; Viljugrein, Hildegunn; Saitoh, Takashi; Hansen, T. F.; Kittilsen, Marte Ohnstad & Bølviken, Erik [Show all 7 contributors for this article] (2003). Seasonality, density dependence and population cycles in Hokkaido voles. Proceedings of the National Academy of Sciences of the United States of America (PNAS). ISSN 0027-8424. 100, p. 11478–11483. Full text in Research Archive
• Skare, Øivind; Bølviken, Erik & Holden, Lars (2003). Improved samping-importance resampling and reduced bias importance sampling. Scandinavian Journal of Statistics. ISSN 0303-6898. 30(4). doi: 10.1111/1467-9469.00360. Full text in Research Archive Show summary

  The sampling-importance resampling (SIR) algorithm aims at drawing a random sample from a target distribution π. First, a sample is drawn from a proposal distribution q, and then from this a smaller sample is drawn with sample probabilities proportional to the importance ratios π/q. We propose here a simple adjustment of the sample probabilities and show that this gives faster convergence. The results indicate that our version converges better also for small sample sizes. The SIR algorithms are compared with the Metropolis–Hastings (MH) algorithm with independent proposals. Although MH converges asymptotically faster, the results indicate that our improved SIR version is better than MH for small sample sizes. We also establish a connection between the SIR algorithms and importance sampling with normalized weights. We show that the use of adjusted SIR sample probabilities as importance weights reduces the bias of the importance sampling estimate.

• Bølviken, Erik; Acklam, Peter John; Christophersen, Nils Damm & Størdal, J.M. (2001). Monte-Carlo filters for non-linear state estimation. Automatica. ISSN 0005-1098. 37(2), p. 177–183. Full text in Research Archive
• Bølviken, Erik & Storvik, Geir Olve (2001). Deterministic and stochastic particle filters in state space models. In Doucet, A.; Freitas, N. de & Gordan, N. (Ed.), Sequential Monte Carlo in Practice. Springer. p. 97–116. Full text in Research Archive
• Kåresen, Kjetil Fleischer & Bølviken, Erik (1999). Blind deconvolution of ultrasonic traces accounting for pulse variance. IEEE Transactions on Ultrasonics, Ferroelectrics and Frequency Control. ISSN 0885-3010. 46(3), p. 564–573. doi: 10.1109/58.764843. Full text in Research Archive Show summary

  The ability of pulse-echo measurements to resolve closely spaced reflectors is limited by the duration of the ultrasonic pulse. Resolution can be improved by deconvolution, but this often fails because frequency selective attenuation introduces unknown changes in the pulse shape. In this paper we propose a maximum a posteriori algorithm for simultaneous estimation of a time varying pulse and high-resolution deconvolution. A priori information is introduced to encourage estimates where the pulse varies only slowly and the reflectivity sequence is sparse. This adds sufficient regularization to the problem, and no further assumptions on the pulse such as minimum phase or a particular parametric form are needed. The joint pulse and reflectivity estimate are computed iteratively by alternating steps of pulse estimation and reflectivity estimation. The first step amounts to only a linear least squares fit. The second step is a difficult combinatorial optimization problem that we solve by a suboptimal but efficient search procedure. Due to the sparseness assumption, our approach is particularly suited for layered media containing a limited number of abrupt impedance changes. This is a situation of interest in many applications of nondestructive evaluation. Synthetic and real data results show that the algorithm works well.

• Bratvedt, K; Bølviken, Erik & Gimse, T. (1998). Comment on Special Issue on Geostatistics with Guest Editor A. G. Journel. Mathematical Geology. ISSN 0882-8121. 30(2), p. 245–246. Full text in Research Archive
• Bølviken, Erik & Skovlund, Eva (1996). Confidence intervals from Monte Carlo tests. Journal of the American Statistical Association. ISSN 0162-1459. 91, p. 1071–1078. Full text in Research Archive
• Bølviken, Erik & Egeland, Thore (1995). Arson, statistics and the law: Can the defendant's proximity to a large number of fires be explained by chance? Science & justice. ISSN 1355-0306. 35(2). Full text in Research Archive
• Bølviken, Erik; Høgåsen, Gutorm Thomas; Larsson, Pål & Lundervold, Arvid (1993). Robust spike detection in paperless EEG. Ukjent. Full text in Research Archive
• Aldrin, Magne; Bølviken, Erik & Schweder, Tore (1993). Projection pursuit regression for moderate non-linearities. Computational Statistics & Data Analysis. ISSN 0167-9473. 01.01.1904 16:04:00, p. 379–403. doi: 10.1016/0167-9473(93)90156-N. Full text in Research Archive Show summary

  We present methods specially designed to be effective with moderately non-linear regression relationships. The model fitted is of the Projection Pursuit Regression (PPR) type with a smooth, non-parametric link function connecting the mean response to a linear combination of the regressors. New algorithms, close to ordinary linear regression, are developed. Considerable numerical evidence is given to substantiate the claims that the new methods outperform standard PPR when the non-linearity is moderate and the signal to noise ratio small.

• Bølviken, Erik; Storvik, Geir; Nilsen, Dag Erik; Siring, Erling & Wel, Dirk van der (1991). Automated prediction of sedimentary facies from wireline logs. Ukjent. Full text in Research Archive
• Helgeland, Jon; Bølviken, Erik; Storvik, Geir; Wel, Dirk van der & Siring, Erling (1988). Statistical permeability prediction from wireline logs by switching and Markov regime models. Ukjent. Full text in Research Archive Show summary

  11th European Formation Evaluation symposium. Proceedings. Oslo

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• Wang, Yinzhi & Bølviken, Erik (2019). How much is optimal reinsurance degraded by error? Full text in Research Archive
• Bølviken, Erik & Benth, Fred Espen (2000). Quantification of risk in norwegian stocks via the normal inverse Gaussian distribution. Full text in Research Archive
• Bølviken, Erik; Dimakos, Xeni Kristine & Aas, Kjersti (2000). Aktuarielle og finansielle beregninger ved simulering. Full text in Research Archive
• Bratvedt, Kyrre; Bølviken, Erik; Gimse, Tore; Holden, Helge; Holden, Lars & Knarud, Ragnar (1998). Comment on Special Issue on Geostatistics with Guest Editor A. G. Journel. Mathematical Geology. ISSN 0882-8121. 30(2), p. 245–246. Full text in Research Archive
• Bølviken, Erik & Egeland, Thore (1995). Jus og Statistikk. Full text in Research Archive
• Taxt, Torfinn & Bølviken, Erik (1991). Relaxation using models from quantum mechanics. Pattern Recognition. ISSN 0031-3203. 24(7), p. 695–709. Full text in Research Archive
• Bølviken, Erik; Helgeland, Jon; Storvik, Geir Olve & Helgeland, Jon (1991). Stochastic regime models and wireline log data. Full text in Research Archive
• Bølviken, Erik; Helgeland, Jon & Storvik, Geir Olve (1991). Stochastic regime models and wireline log data. Full text in Research Archive
• Bølviken, Erik; Storvik, Geir Olve; Nilssen, Dag Egil; Siring, E. & Wel, D. van der (1991). Automated predication of sedimentary facies from wireline logs. Full text in Research Archive
• Bølviken, Erik (1991). Statistikere i EDB-alderen. Utnytter vi mulighetene? Full text in Research Archive
• Bølviken, Erik (1991). Automatic, computerbased predictions of sedimentary facies from well logs. Full text in Research Archive
• Bølviken, Erik; Helgeland, Jon; Storvik, Geir Olve; Siring, E. & Wel, D. van der (1988). Statistical permeability prediction from wireline logs by switching and Markov regime models. Full text in Research Archive
• Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Homleid, Mariken & Mohn, Erik (1986). Lithofacies. Sluttrapport. Full text in Research Archive
• Bølviken, Erik Helmer & Henriksen, Pål Nicolai (2010). Optimal portfolios through Bellman numerics. Universitetet i Oslo. Full text in Research Archive Show summary

  A numerical strategy for solving low-dimensional Bellman equations through the traditional backwards recursion is formulated. A simple error analysis suggests that the approach handles many multi-period portfolio selection problems, and a number of examples confirm this experimentally. Minimum downside risk procedures are studied and it is demonstrated how multi-period efficient frontiers can be calculated for such criteria. A closing example examines the impact of heavy-tailed distributions on optimal, multi-period risk.

• Dimakos, Xeni Kristine; Aas, Kjersti & Bølviken, Erik (2005). Langtidsmodellering av KLPs balanse. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik & Benth, Fred Espen (2002). Evaluation of risk in financial portfolios. Full text in Research Archive
• Bølviken, Erik (2001). Extremes in finance and insurance. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik (2000). Evaluating risk in insurance and finance by stochastic simulation. Full text in Research Archive
• Bølviken, Erik; Storvik, Geir Olve; Gløckner, Fredrik & Glöckner, Fredrik (1999). Deterministic and stochastic particle filters in state space models. Universitetet i Oslo. Full text in Research Archive Show summary

  Discusses determinstic and stochastic filters for calculating posterior probabilities in non-linear state space models.

• Bølviken, Erik; Christophersen, Nils Damm & Storvik, Geir Olve (1998). Linear dynamical models, Kalman filtering and statistics. Lecture notes to IN-ST 259. Full text in Research Archive
• Bølviken, Erik Helmer; Acklam, Peter J.; Christophersen, Nils Damm & Størdal, John-Mikal (1997). Monte Carlo filters for non-linear state estimation. Universitetet i Oslo. Full text in Research Archive
• Abrahamsen, Petter & Bølviken, Erik (1997). Prediction of geological subsurfaces based on Gaussian random field models. Universitetet i Oslo. Full text in Research Archive
• Bølviken, Erik Helmer; Storvik, Geir Olve; Høgåsen, Gutorm Thomas & Larsson, Pål Gunnar (1996). Spike detection in EEG through random line segments. Universitetet i Oslo. Full text in Research Archive
• Abrahamsen, Petter; Buland, Arild; Bølviken, Erik; Hauge, Ragnar; Hektoen, Anne-Lise & Skorstad, Arne (1996). Conditioning stochastic reservoir models on seismic amplitude traces - Stochastic inversion and simulation. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik; Storvik, Geir; Høgåsen, Gutorm Thomas & Larsson, Pål Gunnar (1995). Textural segmentation in 1D through sequences of double stochastic segments. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik Helmer & Skovlund, Eva (1994). Confidence intervals from Monte Carlo tests. Universitetet i Oslo. Full text in Research Archive
• Storvik, Geir Olve; Bølviken, Erik & Solberg, Anne H S (1994). Hidden Markov Chains for recognition of structures in time series. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik & Egeland, Thore (1993). Arson and statistics: Can the defendant's proximity to a large number of fires be explained by chance? Full text in Research Archive
• Bølviken, Erik Helmer (1992). Lectures in optimum hypothesis testing theory. Universitetet i Oslo. Full text in Research Archive
• Bølviken, Erik & Egeland, Thore (1992). Simulation of spatially linked curves with applications to production profiles. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik & Georgsen, Frode (1992). Computer-based, sedimentary interpretation of 18 GULLFAKS wells using log-information only. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik (1992). User's manual for the sedimentary facies identification (SEDFACI II) system. Norsk Regnesentral. Full text in Research Archive
• Aldrin, Magne; Bølviken, Erik & Schweder, Tore (1991). Projection pursuit regression for moderate non-linearities. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik & Storvik, Geir (1991). Predicting sedimentary facies from wireline logs II: Further testing and developments. Norsk Regnesentral. Full text in Research Archive
• Aldrin, Magne & Bølviken, Erik (1990). Siktforhold på Stikkvannskollen, Hurum. Norsk Regnesentral. Full text in Research Archive
• Aldrin, Magne Tommy & Bølviken, Erik (1990). Siktforhold på Stikkvannskollen, Hurum. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik & Storvik, Geir (1990). User's manual for the sedimentary facies indentification (SEDFACI) system. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik & Storvik, Geir (1989). Predicting sedimentary facies from wireline logs. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik; Helgeland, Jon; Mohn, Erik & Storvik, Geir (1988). Prediksjon av lithofacies og permeabilitet. En metodeutprøvning basert på data fra tre Troll-brønner. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik; Helgeland, Jon; Storvik, Geir; Siring, Erling & Wel, Dirk van der (1988). Statistical permeability from wireline logs by switching and Markov regime models. Norsk Regnesentral. Full text in Research Archive
• Abrahamsen, Petter; Bølviken, Erik; Helgeland, Jon & Storvik, Geir (1988). Kan en computer inndele en brønn i sedimentære facies uten å anvende andre data enn logger? Norsk Regnesentral. Full text in Research Archive
• Mohn, Erik; Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Hjort, Nils Lid & Homleid, Mariken [Show all 7 contributors for this article] (1987). Prediksjon av lithofacies og permeabilitet basert på brønnlogging. Full text in Research Archive
• Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Homleid, Mariken & Mohn, Erik (1987). Prediction of rock types in oil wells from log data. Norsk Regnesentral. Full text in Research Archive
• Bølviken, Erik & Aldrin, Magne (1987). Automatiske prognosemetoder basert på Kalmanfilteret: Muligheter og problemer. Norsk Regnesentral. Full text in Research Archive
• Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Hjort, Nils Lid; Homleid, Mariken & Mohn, Erik [Show all 7 contributors for this article] (1987). CLAPP: Contextual Lithofacies And Permeability Prediction. Norwegian Computing Centre. Full text in Research Archive
• Bølviken, Erik & Damsleth, Eivind (1986). Forecasting traffic matrices by Kalman filtering. Full text in Research Archive
• Bølviken, Erik; Helgeland, Jon; Hjort, Nils Lid & Mohn, Erik (1986). Models and algorithms for lithofacies classification. Norwegian Computing Centre. Full text in Research Archive
• Bølviken, Erik & Helgeland, Jon (1986). Two models for contextual classification in one dimension. Full text in Research Archive
• Bølviken, Erik; Helgeland, Jon & Homleid, Mariken (1986). Dekonvolusjon av brønnlogger. En forstudie. Full text in Research Archive
• Bølviken, Erik; Helgeland, Jon; Hjort, Nils Lid & Mohn, Erik (1986). Modeller og algoritmer for lithofacies prediksjon. Full text in Research Archive
• Bølviken, Erik (1986). Forecasting telephone traffic using Kalman filtering: Theoretical considerations. Full text in Research Archive
• Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Homleid, Mariken & Mohn, Erik (1985). Vurdering og videre utvikling av et system for lithofacies prediksjon. Full text in Research Archive
• Bølviken, Erik Helmer (1977). MAXIMIN SELECTION AND MULTIPLE COMPARISON PROCEDURES IN MULTIVARIATE NORMAL MODELS. Universitetet i Oslo. Full text in Research Archive
• Bølviken, Erik Helmer (1976). TESTS OF SIGNIFICANCE IN PERIODOGRAM ANALYSIS. Universitetet i Oslo. Full text in Research Archive

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