• Bokmål
  • English


Utvalgte publikasjoner

Utvalgte publikasjoner

Innsendte artikler:

  • Low, Rand K. Y., Faff, Robert and Aas, Kjersti: "Beyond the 1/N benchmark: Applying copula estimations to mean-variance optimization".
  • Aas, Kjersti and Puccetti, Giovanni: "Bounds for total economic capital: the DNB case study".
  • Haugen, Marion and Moger, Trond. A.:"A frailty analysis of time to defection for commercial car insurance data".
  • Orskaug, Elisabeth, Haug, Ola, Frigessi, Arnoldo, Guttorp, Peter and Scheel, Ida: "Bayesian spatial calibration of dynamical downscaling of precipitation via Doksum’s shift function".
  • Hobæk Haff, Ingrid and Segers, Johan: "Non-parametric estimation of pair-copula constructions with the empirical pair-copula".
  • Scheel, Ida, Frigessi, Arnoldo, Hammer, Hugo and Storvik, Bård: "A Bayesian strategy for ranking customers by individual unobserved estimated risk factors".
  • Ferkingstad, Egil and Løland, Anders: "Coping with area price risk in electricity markets: Forecasting Contracts for Difference in the Nordic power market".

Vitenskapelige artikler:


  • Aas, Kjersti, Neef, Linda R., Raabe, Dag and Vårli, Ingborg D.: A simulation-based ALM model in practical use by a Norwegian Life Insurance company, accepted for publication in "Modern Problem in Insurance Mathematics", Springer.
  • Günther, Clara-Cecilie, Tvete, Ingunn Fride, Aas, Kjersti and Borgan, Ørnulf: Predicting future claims among high risk policyholders using random effects, accepted for publication in "Modern Problem in Insurance Mathematics", Springer.
  • Løland, Anders; Huseby, Ragnar Bang; Hjort, Nils Lid; Frigessi, Arnoldo: "Statistical corrections of invalid correlation matrices", accepted for publication in Scandinavian Journal of Statistics, June 2013.
  • Günther, Clara-Cecilie, Tvete, Ingunn Fride, Aas, Kjersti and Borgan, Ørnulf: "Modelling and predicting customer churn from an insurance company", accepted for publication in Scandinavian Actuarial Journal, October 2011.
  • Holden, H; Holden, L. Optimal rebalancing of portfolios with transaction costs. Stochastics, accepted for publication in Iternational Journal of Probability and Stochastic Processes, 2012.
  • Hobæk Haff, Ingrid: "Parameter estimation for pair-copula constructions", accepted for publication in Bernoulli Journal, October 2011.
  • Scheel, Ida; Ferkingstad, Egil; Frigessi, Arnoldo; Haug, Ola; Hinnerichsen, Mikkel & Meze-Hausken, Elisabeth. A Bayesian hierarchical model with spatial variable selection: the effect of weather on insurance claims. Journal of the Royal Statistical Society: Series C (Applied Statistics), 62, s 85- 100, 2013.


  • Løland, A.; Ferkingstad, E.; and Wilhelmsen, M., "Forecasting transmission congestion. Journal of Energy Markets, 5, 63-83, 2012.
  • Haug, O.; Orskaug, E.; Scheel, I.; Frigessi, A.; Maraun, D.; and Guttorp, P. "Evaluation and Calibration of Dynamically Downscaled Precipitation over Norwegian Mainland, GEOSTATS 2012.
  • Brechmann, Eike C.; Czado, Claudia; Aas, Kjersti: "Truncated regular vines in high dimensions with application to financial data", Canadian Journal of Statistics, Vol. 40, pp 68-85, No. 1, 2012.
  • Hobæk Haff, Ingrid: "Comparison of estimators for pair-copula constructions", Journal of Multivariate Analysis, Volume 110, Pages 1-188, 2012.


  • Orskaug E., Scheel I., Frigessi A., Guttorp P., Haugen J.E, Tveito O.E., Haug O.,"Evaluation of a dynamic downscaling of Norwegian precipitation", Tellus A, Volume 63, Issue 4, pages 746-756, August 2011.
  • Martino, Sara, Aas, Kjersti, Lindqvist, Ola, Neef, Linda R. and Rue, Håvard: Estimating Stochastic Volatility Models Using Integrated Nested Laplace Approximations , European Journal of Finance, Volume 17, Issue 7, 2011.
  • Frigessi, A.; Løland, A.; Pievatolo, A. and Ruggeri, F., "Statistical rehabilitation of improper correlation matrices", Quantitative Finance, Vol. 11, Issue 7, June 2011, pp. 1081-1090.
  • Haug, O.; Dimakos, X. K.; Vårdal, J. F.; Aldrin, M. and Meze-Hausken, E., "Future building water loss projections posed by climate change", Scandinavian Actuarial Journal, Volume 2011, Issue 1, 2011.
  • Ferkingstad, Egil; Løland, Anders; Wilhelmsen, Mathilde (2011): Causal modeling and inference for electricity markets [Preprint]. Energy Economics, Vol. 33, Issue 3, May 2011, pp. 404-412.
  • Holden, Lars; Løland, Anders and Lindqvist, Ola: "Valuation of long term, flexible gas contracts", Journal of Derivatives, Vol. 18, Number 3, Spring 2011.
  • Cooke, Roger, Joe Harry and Aas, Kjersti, "Vines Arise", In DEPENDENCE MODELING: Handbook on Vine Copulae , D. Kurowicka and Harry Joe (eds.), World Scientific Publishing Co., February 2011.
  • Aas, Kjersti and Berg, Daniel, "Modelling dependence between financial returns using pair-copula constructions", In DEPENDENCE MODELING: Handbook on Vine Copulae , D. Kurowicka and Harry Joe (eds.), World Scientific Publishing Co., February 2011.


  • Reitan, Trond and Aas, Kjersti: A New Robust Importance Sampling Method for Measuring VaR and ES Allocations for Credit Portfolios, Journal of Credit Risk, Vol 6, No. 4, December 2010.
  • Wilhelmsen, Mathilde, Dimakos, Xeni K., Husebø, Tore A. and Fiskaaen, Marit: Bayesian modelling of credit risk using Integrated Nested Laplace Approximations". In Rethinking Risk Management and Reporting: Measurement, Uncertainty, Bayesian Analysis and Expert Judgement,Klaus Böcker (Ed.), Risk Books, London, 2010,
  • Hobæk Haff, Ingrid, Aas, Kjersti and Frigessi, Arnoldo: On the simplified pair-copula construction - simply useful or too simplistic? , Journal of Multivariate Analysis, 101(5), 1296-1310, 2010.
  • Løland, Anders and Dimakos, Xeni K.: "Modelling Nord Pool's NO1 area price", Journal of Energy Markets, 3(1), 2010.
  • Dakovic, Rada, Czado, Claudia and Berg, Daniel: Bankruptcy prediction in Norway: a comparison study, Applied Economics Letters Volume 17, Issue 17, 2010.


  • Berg, Daniel: Copula goodness-of-fit testing: An overview and power comparison, European Journal of Finance, 15 (7/8), 675-701 2009.
  • Berg, Daniel and Aas, Kjersti: Models for construction of multivariate dependence, European Journal of Finance, 15 (7/8), 639-65, 2009.
  • Quessy, Jean-Francois and Berg, Daniel: Local sensitivity analyses of goodness-of-fit tests for copulas, Scandinavian Journal of Statistics 36, p. 389-412, 2009.
  • Hobæk Haff, Ingrid; Lindqvist, Ola, Løland, Anders: Risk Premium in the UK Natural Gas Forward Market, Energy Economics, 30(5), 2420-2440, September 2008.
  • Aas, Kjersti, Czado, Claudia, Frigessi, Arnoldo and Bakken, Henrik: Pair-copula constructions of multiple dependence , Insurance: Mathematics and Economics, 44 (2), 2009.

       Før 2009

  • Aas, Kjersti, Dimakos, Xeni K and Øksendal, Anders: Risk Capital Aggregation , Risk Management 9(2), April 2007.
  • Berg, Daniel Bankruptcy Prediction by Generalized Additive Models . Applied Stochastic Models in Business and Industry 23(2), 129-143, 2007.
  • Aas, Kjersti and Hobæk Haff, Ingrid: The Generalised Hyperbolic Skew Student’s t-distribution . Journal of Financial Econometrics, 4(2), March 2006.
  • Aas, Kjersti, Hobæk Haff, Ingrid and Dimakos Xeni K: Risk Estimation using the Multivariate Normal Inverse Gaussian Distribution, Journal of Risk, 8(2), Winter 2005.
  • Dimakos, X. K. and Aas, K, Integrated risk modeling, Statistical modeling, Vol. 4,1-13, 2004.
  • Aas, K. and Kåresen, K., The Matrix, Energy Power Risk Management, 9(4), 2004.
  • Frigessi, A., Haug, O. and Rue, H., A dynamic mixture model for unsupervised tail estimation without threshold selection, Extremes , 5, 219-235, 2003.
  • Kåresen, K. and Husby, E., A joint state-space model for spot and futures prices, Energy Power Risk Management, 7(8), 2002.

Nylige internasjonale presentasjoner:


Norsk Regnesentral
Postboks 114 Blindern
0314 Oslo
Norsk Regnesentral
Gaustadalleen 23a
Kristen Nygaards hus
0373 Oslo
(+47) 22 85 25 00
Adresse Hvordan komme til NR
Sosiale media Del på sosiale media
Personvernerklæring Personvernerklæring
Postadresse: Norsk Regnesentral, Postboks 114 Blindern, 0314 Oslo
Besøksadresse: Norsk Regnesentral, Gaustadalleen 23a, Kristen Nygaards hus, 0373 Oslo
Tlf: (+47) 22 85 25 00
AdresseHvordan komme til NR