Erik Bølviken

• Bølviken, Erik Helmer & Haff, Ingrid Hobæk (2024). Loss modeling with many-parameter distributions. Scandinavian Actuarial Journal. ISSN 0346-1238. doi: 10.1080/03461238.2024.2309987.
• 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.
• 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. Fulltekst i vitenarkiv Vis sammendrag

  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, s. 20–26. doi: 10.1016/j.insmatheco.2016.12.006. Fulltekst i vitenarkiv
• 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), s. 113–122. doi: 10.4236/jmf.2014.42011.
• Stenseth, Nils Christian; Viljugrein, Hildegunn; Saitoh, Takashi; Hansen, T. F.; Kittilsen, Marte Ohnstad & Bølviken, Erik [Vis alle 7 forfattere av denne artikkelen] (2003). Seasonality, density dependence and population cycles in Hokkaido voles. Proceedings of the National Academy of Sciences of the United States of America. ISSN 0027-8424. 100, s. 11478–11483.
• 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. Vis sammendrag

  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 (2003). Modeling joint, hidden volatility processes: A semiparametric approach. Insurance, Mathematics & Economics. ISSN 0167-6687. 32(1), s. 165–166.
• Bølviken, Erik & Storvik, Geir Olve (2001). Deterministic and stochastic particle filters in state space models. I Doucet, A.; Freitas, N. de & Gordan, N. (Red.), Sequential Monte Carlo in Practice. Springer. s. 97–116.
• 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), s. 177–183.
• 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), s. 564–573. doi: 10.1109/58.764843. Vis sammendrag

  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), s. 245–246.
• Bølviken, Erik & Skovlund, Eva (1996). Confidence intervals from Monte Carlo tests. Journal of the American Statistical Association. ISSN 0162-1459. 91, s. 1071–1078.
• 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).
• 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, s. 379–403. doi: 10.1016/0167-9473(93)90156-N. Vis sammendrag

  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; Høgåsen, Gutorm Thomas; Larsson, Pål & Lundervold, Arvid (1993). Robust spike detection in paperless EEG. Ukjent.
• Bølviken, Erik; Storvik, Geir; Nilsen, Dag Erik; Siring, Erling & Wel, Dirk van der (1991). Automated prediction of sedimentary facies from wireline logs. Ukjent.
• 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. Vis sammendrag

  11th European Formation Evaluation symposium. Proceedings. Oslo

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• Wang, Yinzhi & Bølviken, Erik (2019). How much is optimal reinsurance degraded by error?
• Bølviken, Erik; Dimakos, Xeni Kristine & Aas, Kjersti (2000). Aktuarielle og finansielle beregninger ved simulering.
• Bølviken, Erik & Benth, Fred Espen (2000). Quantification of risk in norwegian stocks via the normal inverse Gaussian distribution.
• 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), s. 245–246.
• Bølviken, Erik & Egeland, Thore (1995). Jus og Statistikk.
• Taxt, Torfinn & Bølviken, Erik (1991). Relaxation using models from quantum mechanics. Pattern Recognition. ISSN 0031-3203. 24(7), s. 695–709.
• Bølviken, Erik (1991). Statistikere i EDB-alderen. Utnytter vi mulighetene?
• Bølviken, Erik (1991). Automatic, computerbased predictions of sedimentary facies from well logs.
• Bølviken, Erik; Storvik, Geir Olve; Nilssen, Dag Egil; Siring, E. & Wel, D. van der (1991). Automated predication of sedimentary facies from wireline logs.
• Bølviken, Erik; Helgeland, Jon & Storvik, Geir Olve (1991). Stochastic regime models and wireline log data.
• Bølviken, Erik; Helgeland, Jon; Storvik, Geir Olve & Helgeland, Jon (1991). Stochastic regime models and wireline log data.
• 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.
• Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Homleid, Mariken & Mohn, Erik (1986). Lithofacies. Sluttrapport.
• Dimakos, Xeni Kristine; Aas, Kjersti & Bølviken, Erik (2005). Langtidsmodellering av KLPs balanse. Norsk Regnesentral.
• Bølviken, Erik & Benth, Fred Espen (2002). Evaluation of risk in financial portfolios.
• Bølviken, Erik (2001). Extremes in finance and insurance.
• Bølviken, Erik (2000). Evaluating risk in insurance and finance by stochastic simulation.
• Bølviken, Erik; Storvik, Geir Olve & Gløckner, Fredrik (1999). Deterministic and stochastic particle filters in state space models. Universitetet i Oslo, Matematisk Institutt. ISSN 0806-3842. 11. Vis sammendrag

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

• Bølviken, Erik; Storvik, Geir Olve & Gløckner, Fredrik (1999). Deterministic and stochastic particle filters in state space models. Mat. Inst, Univ. i Oslo. ISSN 0806-3842.
• Bølviken, Erik; Christophersen, Nils Damm & Storvik, Geir Olve (1998). Linear dynamical models, Kalman filtering and statistics. Lecture notes to IN-ST 259.
• Abrahamsen, Petter & Bølviken, Erik (1997). Prediction of geological subsurfaces based on Gaussian random field models. Universitetet i Oslo.
• 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.
• Bølviken, Erik; Storvik, Geir; Høgåsen, Gutorm Thomas & Larsson, Pål Gunnar (1995). Textural segmentation in 1D through sequences of double stochastic segments. Norsk Regnesentral.
• Storvik, Geir Olve; Bølviken, Erik & Solberg, Anne H S (1994). Hidden Markov Chains for recognition of structures in time series. Norsk Regnesentral.
• Bølviken, Erik & Egeland, Thore (1993). Arson and statistics: Can the defendant's proximity to a large number of fires be explained by chance?
• Bølviken, Erik & Egeland, Thore (1992). Simulation of spatially linked curves with applications to production profiles.
• Bølviken, Erik & Georgsen, Frode (1992). Computer-based, sedimentary interpretation of 18 GULLFAKS wells using log-information only. Norsk Regnesentral.
• Bølviken, Erik (1992). User's manual for the sedimentary facies identification (SEDFACI II) system.
• Bølviken, Erik & Storvik, Geir (1991). Predicting sedimentary facies from wireline logs II: Further testing and developments. Norsk Regnesentral.
• Aldrin, Magne; Bølviken, Erik & Schweder, Tore (1991). Projection pursuit regression for moderate non-linearities. Norsk Regnesentral.
• Aldrin, Magne Tommy & Bølviken, Erik (1990). Siktforhold på Stikkvannskollen, Hurum. Norsk Regnesentral.
• Bølviken, Erik & Storvik, Geir (1990). User's manual for the sedimentary facies indentification (SEDFACI) system. Norsk Regnesentral.
• Aldrin, Magne & Bølviken, Erik (1990). Siktforhold på Stikkvannskollen, Hurum. Norsk Regnesentral.
• Bølviken, Erik & Storvik, Geir (1989). Predicting sedimentary facies from wireline logs. Norsk Regnesentral.
• 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.
• 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.
• 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.
• Mohn, Erik; Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Hjort, Nils Lid & Homleid, Mariken [Vis alle 7 forfattere av denne artikkelen] (1987). Prediksjon av lithofacies og permeabilitet basert på brønnlogging.
• Bølviken, Erik & Aldrin, Magne (1987). Automatiske prognosemetoder basert på Kalmanfilteret: Muligheter og problemer. Norsk Regnesentral.
• Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Homleid, Mariken & Mohn, Erik (1987). Prediction of rock types in oil wells from log data.
• Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Hjort, Nils Lid; Homleid, Mariken & Mohn, Erik [Vis alle 7 forfattere av denne artikkelen] (1987). CLAPP: Contextual Lithofacies And Permeability Prediction. Norwegian Computing Centre.
• Bølviken, Erik & Damsleth, Eivind (1986). Forecasting traffic matrices by Kalman filtering.
• Bølviken, Erik (1986). Forecasting telephone traffic using Kalman filtering: Theoretical considerations.
• Bølviken, Erik & Helgeland, Jon (1986). Two models for contextual classification in one dimension.
• Bølviken, Erik; Helgeland, Jon; Hjort, Nils Lid & Mohn, Erik (1986). Modeller og algoritmer for lithofacies prediksjon.
• Bølviken, Erik; Helgeland, Jon & Homleid, Mariken (1986). Dekonvolusjon av brønnlogger. En forstudie.
• Bølviken, Erik; Helgeland, Jon; Hjort, Nils Lid & Mohn, Erik (1986). Models and algorithms for lithofacies classification. Norwegian Computing Centre.
• Berteig, Vidar; Bølviken, Erik; Helgeland, Jon; Homleid, Mariken & Mohn, Erik (1985). Vurdering og videre utvikling av et system for lithofacies prediksjon.

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