Ingrid Hobæk Haff

Associate Professor - Statistics and Data Science
Image of Ingrid Hobæk Haff
Norwegian version of this page
Phone +47 22855899
Room 816
Username
Visiting address Moltke Moes vei 35 Niels Henrik Abels hus 0851 Oslo
Postal address Postboks 1053 Blindern 0316 Oslo

Academic interests

  • Multivariate statistics, and copulae in particular
  • Skew and heavy-tailed distributions
  • Applications within insurance and finance

Courses taught

STK4520 - Laboratory for Finance and Insurance Mathematics

Background

I finished my master's degree in industrial mathematics at NTNU in 2002. Then I started working at the Norwegian Computing Centre, first as a research scientist and later as a senior research scientist. From 2008 to 2012, I was a PhD student at the centre Statistics for Innovation, with a 20% position as a research scientist at the Norwegian Computing Centre. Since 2015 I am Associate professor in insurance mathematics and statistics at the Department of mathematics at the University of Oslo.

Awards

The Sverdrup award for young scientists

The mathematical award of Hanna og John Olav Stubban

Partners

The Norwegian Computing Centre

Tags: Statistics and biostatistics

Publications

  • Minotto, Thomas; Haff, Ingrid Hobæk & Sandve, Geir Kjetil Ferkingstad (2022). Detecting statistical interactions in immune receptor datasets. In Torelli, Nicola; BELLIO, RUGGERO & MUGGEO, VITO (Ed.), Proceedings of the 36th International Workshop on Statistical Modelling. EUT Edizioni Università di Trieste. ISSN 978-88-5511-309-0. p. 253–257.
  • Akbar, Rahmad; Robert, Philippe Paul Auguste; Weber, Cédric R.; Widrich, Michael; Frank, Robert & Pavlovic, Milena [Show all 19 contributors for this article] (2022). In silico proof of principle of machine learning-based antibody design at unconstrained scale. mAbs. ISSN 1942-0862. 14:e2031482(1), p. 1–18. doi: 10.1080/19420862.2022.2031482.
  • Slabodkin, Andrei; Chernigovskaia, Maria; Mikocziova, Ivana; Akbar, Rahmad; Scheffer, Lonneke & Pavlović, Milena [Show all 16 contributors for this article] (2021). Individualized VDJ recombination predisposes the available Ig sequence space. Genome Research. ISSN 1088-9051. p. 2209–2224. doi: 10.1101/gr.275373.121. Full text in Research Archive
  • Pavlović, Milena; Scheffer, Lonneke; Motwani, Keshav; Kanduri, Chakravarthi; Kompova, Radmila & Vazov, Nikolay Aleksandrov [Show all 41 contributors for this article] (2021). The immuneML ecosystem for machine learning analysis of adaptive immune receptor repertoires. Nature Machine Intelligence. 3(11), p. 936–944. doi: 10.1038/s42256-021-00413-z.
  • Akbar, Rahmad; Robert, Philippe Paul Auguste; Pavlović, Milena; Jeliazkov, Jeliazko R.; Snapkov, Igor & Slabodkin, Andrei [Show all 15 contributors for this article] (2021). A compact vocabulary of paratope-epitope interactions enables predictability of antibody-antigen binding. Cell reports. ISSN 2211-1247. 34:108856(11), p. 1–21. doi: 10.1016/j.celrep.2021.108856. Full text in Research Archive
  • Wang, Yinzhi; Hobæk Haff, Ingrid & Huseby, Arne (2020). Modelling extreme claims via composite models and threshold selection methods. Insurance, Mathematics & Economics. ISSN 0167-6687. 91, p. 257–268. doi: 10.1016/j.insmatheco.2020.02.009. Full text in Research Archive
  • Ko, Vinnie; Hjort, Nils Lid & Hobæk Haff, Ingrid (2019). Focused information criteria for copulae. Scandinavian Journal of Statistics. ISSN 0303-6898. 46, p. 1117–1140. doi: 10.1111/sjos.12387. Full text in Research Archive
  • Wang, Yinzhi & Hobæk Haff, Ingrid (2018). Focussed selection of the claim severity distribution. Scandinavian Actuarial Journal. ISSN 0346-1238. 2, p. 129–142. doi: 10.1080/03461238.2018.1519847. Full text in Research Archive
  • Bevacqua, Emanuele; Maraun, Douglas; Hobæk Haff, Ingrid; Widmann, Matrin & Vrac, Mathieu (2017). Multivariate statistical modelling of compound events via pair-copula constructions: Analysis of floods in Ravenna (Italy). Hydrology and Earth System Sciences. ISSN 1027-5606. 21(6), p. 2701–2723. doi: 10.5194/hess-21-2701-2017. Full text in Research Archive
  • Hobæk Haff, Ingrid; Aas, Kjersti; Frigessi, Arnoldo & Lacal Graziani, Virginia (2016). Structure learning in Bayesian Networks using regular vines. Computational Statistics & Data Analysis. ISSN 0167-9473. 101, p. 186–208. doi: 10.1016/j.csda.2016.03.003.
  • Hobæk Haff, Ingrid; Frigessi, Arnoldo & Maraun, Douglas (2015). How well do regional climate models simulate the spatial dependence of precipitation? An application of pair-copula constructions. Journal of Geophysical Research (JGR): Atmospheres. ISSN 2169-897X. 120(7), p. 2624–2646. doi: 10.1002/2014JD022748.
  • Hobæk Haff, Ingrid & Segers, Johan (2015). Nonparametric estimation of pair-copula constructions with the empirical pair-copula. Computational Statistics & Data Analysis. ISSN 0167-9473. 84, p. 1–13. doi: 10.1016/j.csda.2014.10.020.
  • Hobæk Haff, Ingrid (2013). Parameter estimation for pair-copula constructions. Bernoulli. ISSN 1350-7265. 19(2), p. 462–491. doi: 10.3150/12-BEJ413.
  • Hobæk Haff, Ingrid (2012). Comparison of estimators for pair-copula constructions. Journal of Multivariate Analysis. ISSN 0047-259X. 110, p. 91–105. doi: 10.1016/j.jmva.2011.08.013.
  • Hobæk Haff, Ingrid; Aas, Kjersti & Frigessi, Arnoldo (2010). On the simplified pair-copula construction - Simply useful or too simplistic? Journal of Multivariate Analysis. ISSN 0047-259X. 101(5), p. 1296–1310. doi: 10.1016/j.jmva.2009.12.001.
  • Aldrin, Magne; Hobæk Haff, Ingrid & Rosland, Pål (2008). The effect of salting with magnesium chloride on the concentration of particular matter in a road tunnel. Atmospheric Environment. ISSN 1352-2310. 42(8), p. 1762–1776. doi: 10.1016/j.atmosenv.2007.11.024.
  • Hobæk Haff, Ingrid; Lindqvist, Ola & Løland, Anders (2008). Risk premium in the UK natural gas forward market. Energy Economics. ISSN 0140-9883. 30(5), p. 2420–2440. doi: 10.1016/j.eneco.2007.12.002.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2006). The Generalised Hyperbolic Skew Student’s t-distribution. Journal of Financial Econometrics. ISSN 1479-8409. 02.04.2012, p. 275–309.
  • Aas, Kjersti; Hobæk Haff, Ingrid & Dimakos, Xeni Kristine (2005). Risk Estimation using the Multivariate Normal Inverse Gaussian Distribution. Journal of Risk. ISSN 1465-1211. 8(2).
  • Aldrin, Magne & Hobæk Haff, Ingrid (2005). Generalised additive modelling of air pollution, traffic volume and meteorology. Atmospheric Environment. ISSN 1352-2310. 39, p. 2145–2155. doi: 10.1016/j.atmosenv.2004.12.020.

View all works in Cristin

  • Wang, Yinzhi & Hobæk Haff, Ingrid (2018). Modelling extreme claims via composite models and threshold selection methods.
  • Hobæk Haff, Ingrid & Segers, Johan (2018). Nonparametric estimation of pair-copula constructions with the empirical pair-copula.
  • Hobæk Haff, Ingrid & Wang, Yinzhi (2018). Focussed selection of the claim severity distribution in non-life insurance.
  • Hobæk Haff, Ingrid (2018). Structure learning in Bayesian Networks using regular vines.
  • Hobæk Haff, Ingrid (2017). Combining dependent probability forecasts.
  • Løland, Anders; Berset, Anders & Hobæk Haff, Ingrid (2017). Er maskinlæring framtida i Skatteetaten? Praktisk økonomi & finans. ISSN 1501-0074. 33(3), p. 344–352. doi: 10.18261/issn.1504-2871-2017-03-06. Full text in Research Archive
  • Hobæk Haff, Ingrid (2017). Kombinajon av sannsylighetsprediksjoner.
  • Hobæk Haff, Ingrid (2016). How well do regional climate models simulate the spatial dependence of precipitation? An application of pair-copula constructions.
  • Hobæk Haff, Ingrid (2016). Nonparametric estimation of pair-copula construction with the empirical pair-copula.
  • Hobæk Haff, Ingrid (2016). Aktuarutdanningen ved UiO.
  • Hobæk Haff, Ingrid & Segers, Johan (2016). Nonparametric estimation of pair-copula constructions with the empirical pair-copula.
  • Hobæk Haff, Ingrid (2016). Copulae and pair-copula constructions.
  • Hobæk Haff, Ingrid (2016). How to select a good vine.
  • Hobæk Haff, Ingrid (2016). Hvordan avslører vi svindel?
  • Hobæk Haff, Ingrid (2016). Structure learning in Bayesian Networks using regular vines.
  • Hobæk Haff, Ingrid; Frigessi, Arnoldo & Maraun, Douglas (2015). Hvor godt klarer regionale klimamodeller å gjenskape den romlige avhengigheten i nedbør?
  • Hobæk Haff, Ingrid; Frigessi, Arnoldo & Maraun, Douglas (2015). How well do regional climate models simulate the spatial dependence of precipitation? An application of pair-copula constructions.
  • Hobæk Haff, Ingrid (2015). Parameter estimation for pair-copula constructions.
  • Hobæk Haff, Ingrid (2015). Hvordan avslører vi svindel?
  • Løland, Anders; Lenkoski, Alex; Hobæk Haff, Ingrid & Neef, Linda Reiersølmoen (2014). Calibrated Probabilities and the Investigation of Soft Fraud in Automobile Insurance Claims.
  • Hobæk Haff, Ingrid (2011). Comparison of estimators for pair-copula constructions.
  • Hobæk Haff, Ingrid (2010). Estimating the parameters of a pair-copula construction.
  • Hobæk Haff, Ingrid (2009). On estimation of PCC parameters -- do all roads lead to Rome?
  • Hobæk Haff, Ingrid; Aas, Kjersti & Frigessi, Arnoldo (2009). Forenklede par-copula-konstruksjoner.
  • Hobæk Haff, Ingrid & Aas, Kjersti (2008). The Generalised Hyperbolic Skew Student's t-distribution.
  • Dimakos, Xeni Kristine; Løland, Anders; Hobæk Haff, Ingrid; Vårdal, Jofrid Frøland & Lindqvist, Ola (2007). STK 4520 Finans- og forsikringsmatematisk laboratorium.
  • Løland, Anders; Hobæk Haff, Ingrid & Aas, Kjersti (2007). Energyforum workshop Nordic Modelling & Measuring Energy Risk.
  • Aas, Kjersti; Hobæk Haff, Ingrid & Dimakos, Xeni Kristine (2007). Risk Estimation using the Multivariate Normal Inverse Gaussian Distribution.
  • Hobæk Haff, Ingrid; Neef, Linda Reiersølmoen; Rosland, Pål & Aldrin, Magne (2005). Hva gjør trafikken og været med lufta? Ukjent.
  • Hobæk Haff, Ingrid & Aldrin, Magne (2005). Modellering av luftforurensning som funksjon av trafikkvolum og meteorologi.
  • Hobæk Haff, Ingrid & Aldrin, Magne (2005). Empiriske modeller for luftforurensning, trafikkvolum og meteorologi.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2005). The Generalised Hyperbolic Skew Student’s t-distribution.
  • Lenkoski, Alex; Løland, Anders; Hobæk Haff, Ingrid & Neef, Linda Reiersølmoen (2015). Calibrated Probabilities and the Investigation of Soft Fraud in Automobile Insurance Claims. Norsk Regnesentral.
  • Lenkoski, Alex; Hobæk Haff, Ingrid & Aas, Kjersti (2015). A DLM for Predicting the Return of a Portfolio. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2014). Totalrisikomodell for DNB Versjon 5: Brukermanual. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2014). DNB Total Risk Model Version 5: Technical report. Norsk Regnesentral.
  • Martino, Sara; Løland, Anders; Mo, Birger & Hobæk Haff, Ingrid (2014). Statistical properties of historical inflow series for long-term models. Norsk Regnesentral.
  • Martino, Sara; Hobæk Haff, Ingrid; Løland, Anders & Mo, Birger (2013). Statistical properties of historical inflow series for long-term models. Norsk Regnesentral.
  • Hobæk Haff, Ingrid ; Martino, Sara; Løland, Anders & Follestad, Turid (2012). Statistical properties of historical inflow series for long-term models. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2012). DNB Total Risk Model Version 4: Technical report. Norsk Regnesentral.
  • Hobæk Haff, Ingrid; Frigessi, Arnoldo & Aas, Kjersti (2012). Pair-copula constructions - an inferential perspective. Akademisk Forlag. ISSN 1501-7710.
  • Løland, Anders & Haff, Ingrid Hobæk (2011). Lottoberegninger. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2011). Totalrisikomodell for DNB Versjon 4: Brukermanual. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2011). Totalrisikomodell for DNB Versjon 4: Teknisk Rapport. Norsk Regnesentral.
  • Hobæk Haff, Ingrid (2011). Comparing estimators for pair-copula constructions. Norsk Regnesentral.
  • Hobæk Haff, Ingrid (2010). Parameter estimation for pair-copula constructions. Norsk Regnesentral.
  • Neef, Linda Reiersølmoen; Günther, Clara-Cecilie; Aas, Kjersti & Hobæk Haff, Ingrid (2010). Modell for Solvens II: Brukermanual. Norsk Regnesentral.
  • Neef, Linda Reiersølmoen; Hobæk Haff, Ingrid; Aas, Kjersti & Günther, Clara-Cecilie (2010). Passivamodell for Solvens II: Teknisk rapport. Norsk Regnesentral.
  • Aas, Kjersti; Neef, Linda Reiersølmoen; Hobæk Haff, Ingrid & Günther, Clara-Cecilie (2010). Balansemodell for Solvens II: Teknisk rapport. Norsk Regnesentral.
  • Neef, Linda Reiersølmoen; Aas, Kjersti & Hobæk Haff, Ingrid (2009). Beregning av verdi på årlig rentegaranti: Brukermanual. Norsk Regnesentral.
  • Aas, Kjersti; Hobæk Haff, Ingrid & Neef, Linda Reiersølmoen (2009). Beregning av verdi på årlig rentegaranti: Teknisk Rapport. Norsk Regnesentral.
  • Løland, Anders; Rognebakke, Hanne Therese Wist; Hobæk Haff, Ingrid & Dimakos, Xeni Kristine (2009). From basic statistics to wave and sea load statistics in 167 minutes. Norsk Regnesentral.
  • Hobæk Haff, Ingrid & Løland, Anders (2009). A revised SMART model for simulating NO1 prices in FairPrice. Norsk Regnesentral.
  • Løland, Anders; Hobæk Haff, Ingrid & Lindqvist, Ola (2008). Improved volatility adjustment in SMART and FairPrice. Norsk Regnesentral.
  • Hobæk Haff, Ingrid; Vårdal, Jofrid Frøland & Aas, Kjersti (2008). Modellering av finansielle indikatorer. Norsk Regnesentral.
  • Hobæk Haff, Ingrid & Aas, Kjersti (2008). Totalrisikomodell for DnB NOR Versjon 3: Brukermanual. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2008). Totalrisikomodell for DnB NOR Versjon 3: Teknisk rapport. Norsk Regnesentral.
  • Hobæk Haff, Ingrid & Løland, Anders (2008). Holidays in FairPrice and MultiPrice. Norsk Regnesentral.
  • Hobæk Haff, Ingrid; Wilhelmsen, Mathilde & Dimakos, Xeni Kristine (2008). Uførhet. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2007). Revidert Vital-modul. Norsk Regnesentral.
  • Hobæk Haff, Ingrid; Lindqvist, Ola & Løland, Anders (2007). OLGA VI – better correlation between NBP and Zeebrügge prices. Norsk Regnesentral.
  • Løland, Anders & Hobæk Haff, Ingrid (2007). Forstudie på ny prismodell. Norsk Regnesentral.
  • Lindqvist, Ola; Løland, Anders & Hobæk Haff, Ingrid (2007). OLGA V. Norsk Regnesentral.
  • Lindqvist, Ola; Løland, Anders; Hobæk Haff, Ingrid & Rognebakke, Hanne Therese Wist (2006). OLGA V -- User manual. Norsk Regnesentral.
  • Lindqvist, Ola; Hobæk Haff, Ingrid & Løland, Anders (2006). Risk Premium in the UK Natural Gas Forward Market. Norsk Regnesentral.
  • Dimakos, Xeni Kristine; Hobæk Haff, Ingrid & Løland, Anders (2006). Statistikk (og R) på 123 minutter. Norsk Regnesentral.
  • Aas, Kjersti; Neef, Linda Reiersølmoen & Hobæk Haff, Ingrid (2006). Totalrisikomodell for E-CO Energi. Norsk Regnesentral.
  • Rognebakke, Hanne Therese Wist; Løland, Anders & Hobæk Haff, Ingrid (2006). OLGA IV - Code documentation. Norsk Regnesentral.
  • Løland, Anders; Hobæk Haff, Ingrid & Rognebakke, Hanne Therese Wist (2006). OLGA IV. Norsk Regnesentral.
  • Rognebakke, Hanne Therese Wist; Løland, Anders & Hobæk Haff, Ingrid (2006). OLGA IV - User manual. Norsk Regnesentral.
  • Hobæk Haff, Ingrid; Aas, Kjersti & Aldrin, Magne Tommy (2006). Prediction of spot rates. Norsk Regnesentral.
  • Dimakos, Xeni Kristine; Hobæk Haff, Ingrid & Løland, Anders (2006). Statistics (and R) in 121 minutes. Norsk Regnesentral.
  • Løland, Anders & Hobæk Haff, Ingrid (2006). Adjustment to forward prices in MultiPrice. Norsk Regnesentral.
  • Hobæk Haff, Ingrid; Neef, Linda Reiersølmoen & Løland, Anders (2005). A study of correlation between oil and gas prices. Norsk Regnesentral.
  • Hobæk Haff, Ingrid; Neef, Linda Reiersølmoen; Løland, Anders & Aas, Kjersti (2005). OLGA III. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2005). Modelling a portfolio of financial assets of several different types. Norsk Regnesentral.
  • Hobæk Haff, Ingrid & Løland, Anders (2005). Correlation for OLGA. Norsk Regnesentral.
  • Dimakos, Xeni Kristine; Hobæk Haff, Ingrid & Løland, Anders (2005). A short course in statistics and R. Norsk Regnesentral.
  • Aas, Kjersti & Hobæk Haff, Ingrid (2005). NIG and Skew Student's t: Two special cases of the Generalised Hyperbolic Distribution. Norsk Regnesentral.
  • Løland, Anders & Hobæk Haff, Ingrid (2004). Forward curves in FairPrice. Norsk Regnesentral.

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Published Oct. 1, 2015 11:42 AM - Last modified Nov. 6, 2018 11:28 AM