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Modelling extreme claims via composite models and threshold selection methods

Wang, Yinzhi; Hobæk Haff, Ingrid; Huseby, Arne - In: Insurance / Mathematics & economics 91 (2020), pp. 257-268

Persistent link: https://www.econbiz.de/10012242026

Focussed selection of the claim severity distribution

Wang, Yinzhi; Hobæk Haff, Ingrid - In: Scandinavian actuarial journal 2019 (2019) 2, pp. 129-142

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Computation and modelling in insurance and finance

Bølviken, Erik - 2014

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The distribution of certain rational functions of order statistics from exponential distributions

Bølviken, Erik - In: Scandinavian journal of statistics : SJS ; theory and … 10 (1983) 2, pp. 117-123

Persistent link: https://www.econbiz.de/10001926396

New tests of significance in periodogram analysis

Bølviken, Erik - In: Scandinavian journal of statistics : SJS ; theory and … 10 (1983) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10001926398

Probability inequalities for the multivariate norma with non-negative partial correlations

Bølviken, Erik - In: Scandinavian journal of statistics : SJS ; theory and … 9 (1982) 1, pp. 49-58

Persistent link: https://www.econbiz.de/10001926400

Pricing of margrabe options for large investors with application to asset-liability management in life insurance

Bølviken, Erik; Proske, Frank; Rubtsov, Mark - In: Journal of mathematical finance 4 (2014) 2, pp. 113-122

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Risk aggregation in Solvency II through recursive log-normals

Bølviken, Erik; Guillén, Montserrat - In: Insurance / Mathematics & economics 73 (2017), pp. 20-26

Persistent link: https://www.econbiz.de/10011702034

Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes

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Improved Sampling-Importance Resampling and Reduced Bias Importance Sampling

Skare, Øivind; Bølviken, Erik; Holden, Lars - In: Scandinavian Journal of Statistics 30 (2003) 4, pp. 719-737

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...

Persistent link: https://www.econbiz.de/10005195846