Kjersti Aas
Dr. Philos
Research Director
Department of Statistical Analysis and Machine Learning.
Norwegian Computing Center ,
Gaustadalléen 23,
P.O. Box 114 Blindern,
N-0314 Oslo,
Norway
Tel: (+47) 22 85 25 00
Fax: (+47) 22 69 76 60
Kjersti.Aas@nr.no
Positions:
Research director in the department of Statistical Analysis and Machine Learning at the Norwegian Computing Center and
Head of research and marketing for the area : Statistical Analysis and Machine Learning for the finance,
insurance and commodity markets.
Adjunct professor at the Norwegian University of Science and Technology from January 2021 to January 2024.
Adjunct professor at the University of Bergen from February 2011 to February 2017.
Participitation in boards:
Member of the Board of Directors of Trondheim Kommunale Pensjonskasse from January 2016.
Member of the Board of Directors of MP pensjon from January 2008 to June 2013.
Press (In Norwegian):
Roboten gir lån hvis den får gode vibrasjoner fra kontoen din , Dagens Næringsliv, 1. mai, 2017.
Gode modeller gir innsikt , Dagens Næringsliv, 27. juni, 2016.
Risikostyringen for boliglån er ikke god nok , Finansavisen, 6. juni, 2013.
Hvem sier at Basel I hadde sannheten? Finansavisen, 2. november, 2012.
Hvorfor så forskjellig i bank og forsikring? Finansavisen, 22. desember, 2011.
Ekstremvær, Bolt og børsfall , Dagens Næringsliv, 21. september, 2011.
Stor formue - flaks eller dyktighet , Kapital 18/10, 22. oktober 2010.
Intervju i boken TALENTER PÅ SPILL: Eksempler på god forskningsledelse ,utgitt av Komité for
integreringstiltak - kvinner i forskning 07-10.
Intervju i Internrevisoren (medlemsbladet til Norges Interne Revisorers Forening), nr 1, 2009 (publisert 14. juli 2009).
Veldig lettvint av Oljefondet Intervju i Dagens Næringsliv 16. mars, 2009.
Risiko og krise Kommentar i Dagens Næringsliv 16. mars, 2009.
Ingen fri lunsj mer? Kommentar i Dagens Næringsliv 9. mars, 2009.
Hvor mange sorte svaner? Kommentar i Dagens Næringsliv 13. desember, 2008.
Historie og framtid kredittkommentar i Dagens Næringsliv 7. april, 2008.
Tvangssalg i aksjemarkedet, kredittkommentar i Dagens Næringsliv 11. februar, 2008.
Nye metoder - nye svar , kredittkommentar i Dagens Næringsliv 26. november, 2007.
Krakket som ikke kunne skje , intervju i Dagens Næringsliv 19. oktober, 2007.
Jernkontroll på risikoen, intervju i Byens Næringsliv 19/09/07.
Slik takler du risikofellene, intervju i Ukeavisen Ledelse 07/09/07.
Bankene
bedre rustet mot tap, intervju i Ukeavisen Ledelse 28/08/07.
Bankene bedre rustet
mot tap, intervju i Økonomisk Rapport 28/08/07.
Bankene bedre rustet, innlegg på forskning.no 27. august, 2007.
"K-ordet", omtale i Kapital 05/2007, 26. mars 2007.
"Er krakket rett rundt hjørnet?", intervju i Økonomisk Rapport 03/07, 15. februar.2007.
Ser ikke rasfaren , intervju i Kapital 16/05, 22.09.2005.
Sannsynligheten for et nytt børskrakk er kanskje større enn man tror , innlegg på forskning.no
13. september, 2005.
International journal papers 2004-:
Aas, K., Charpentier, A., Huang, F., and Richman, R.: Insurance analytics: prediction, explainability, and fairness , Annals of Actuarial Science, Volume 18,
pp. 535-539, 2024.
Redelmeier, Annabelle, Jullum, Martin, Aas, Kjersti and Løland, Anders: MCCE: Monte Carlo sampling of valid and realistic counterfactual explanations for tabular data , Data Mining and Knowledge Discovery, published online March 2024.
Olsen, Lars, H., Glad, I., Aas, K. and Jullum, M.: A Comparative Study of Methods for Estimating Conditional Shapley Values and When to Use Them ,Data Mining and Knowledge Discovery, published online March 2024.
Mancisidor, Rogelio A., Kampffmeyer, Michael, Aas, Kjersti and Jenssen, Robert: Discriminative Multimodal Learning via Conditional Priors in
Generative Models , Neural Networks, Volume 169, Pages 417--430, January 2024,
Olsen, Lars, H., Glad, I., Aas, K. and Jullum, M.: Using Shapley Values and Variational Autoencoders to Explain Predictive Models with Dependent Mixed Features,
Jornal of Machine Learning Research (JMLR), Vol. 23, pp. 1--51, 2022.
Mancisidor, Rogelio A., Kampffmeyer, Michael, Aas, Kjersti and Jenssen, Robert: Generating Customer's Credit Behavior with Deep Generative Models,
, Knowledge-based systems, Volume 245, June 2022.
Wahl, Jens Cristian, Aanes, Fredrik Lohne and Aas, Kjersti: Spatial modelling of risk premiums for water damage insurance ,
Scandinavian Actuarial Journal, Vol. 2022, pp. 216--233, 2022.
Aas, Kjersti, Nagler, Thomas, Jullum, Martin and Løland, Anders: Explaining predictive models using Shapley values and non-parametric vine copulas .
Dependence Modeling, Vol. 9, pp. 62--81, 2021.
Jullum, Martin, Redelmeier, Annabelle and Aas, Kjersti: Efficient and simple prediction explanations with groupShapley: A practical perspective ,
2nd Italian workshop on Explainable Artificial Intelligence, Italy, December 1-3, 2021.
Aas, Kjersti, Jullum, Martin and Løland, Anders: Explaining individual predictions when features are dependent: More accurate approximations
to Shapley values , Artificial Intelligence, Vol. 298, September 2021.
Mancisidor, Rogelio A., Kampffmeyer, Michael, Aas, Kjersti and Jenssen, Robert: Learning Latent Representations of Bank Customers With The Variational Autoencoder,
Expert Systems and Applications, Volume 164, February 2021.
Redelmeier, Annabelle, Jullum, Martin and Aas, Kjersti: Explaining predictive models with mixed features using Shapley values and conditional inference
trees , In: Holzinger A., Kieseberg P., Tjoa A., Weippl E. (eds) Machine Learning and Knowledge Extraction. CD-MAKE 2020. Lecture Notes in Computer Science, vol 12279. Springer, Cham., 2020.
Mancisidor, Rogelio A., Kampffmeyer, Michael, Aas, Kjersti and Jenssen, Robert: Deep Generative Models for Reject
Inference in Credit Scoring . Knowledge-based systems, Volume 196, May 2020.
Aas, Kjersti and Rognebakke, Hanne: The evolution of a mobile payment solution network , Network Science, Vol 7, pp. 422-437, September, 2019.
Kvamme, H., Sellereite, N., Aas, K. and Sjursen, S.: Predicting mortgage default using convolutional neural networks,
Expert Systems with Applications, Volume 102, Pages 207-217, 2018.
Aas, Kjersti, Neef, Linda R., Williams L.,Raabe, Dag: Interest rate model comparisons
for participating products under Solvency II , Scandinavian Actuarial Journal, Volume 2018, No. 3, pp. 203-224, February 2018.
Aas, Kjersti: Pair-copula constructions for financial applications: A review , Econometrics, Volume 4, Number 4, October 2016.
Hobæk Haff, Ingrid, Aas, Kjersti, Frigessi, Arnoldo and Graziani, Virginia L.:
Structure learning in BBNs using regular vines , Computational Statistics & Data Analysis, Volume 101, Issue C, pp. 186-208, September 2016.
Low, Rand Kwong Yew, Faff, Robert and Aas, Kjersti:
Enhancing mean-variance portfolio selection by modeling distributional asymmetries , Journal of Economics and Business, Volume 85, pp. 49-72, May-June 2016.
Aas, Kjersti and Puccetti, Giovanni: Bounds for total economic capital: the DNB case study,
Extremes, Volume 17, Issue 4, pp 693-715, 2014.
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, In
Modern Problem in Insurance Mathematics , Silvestrov, Dmitrii, Martin-Löf, Anders (Eds.),
Springer 2014.
Günther, Clara-Cecilie, Tvete, Ingunn Fride, Aas, Kjersti and Borgan, Ørnulf: Predicting future claims among high risk policyholders using random effects,
In Modern Problem in Insurance Mathematics , Silvestrov, Dmitrii, Martin-Löf,
Anders (Eds.), Springer 2014.
Günther, Clara-Cecilie, Tvete, Ingunn Fride, Aas, Kjersti, Sandnes, Geir Inge and Borgan, Ørnulf:
Modelling and predicting customer churn from an insurance company, Scandinavian Actuarial Journal, Volume 2014 (1), pp 58-71, 2014.
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.
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.
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, p. 1-37, 2010/2011.
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.
Berg, Daniel and Aas, Kjersti: Models for construction of
multivariate dependence, European Journal of Finance, 15 (7/8),639-659, 2009.
Aas, Kjersti: Discussion of ``Approximate Bayesian inference for latent
Gaussian models by using integrated nested Laplace approximations,'' by
H. Rue, S. Martino and N. Chopin. JRSS-B, 71, Part2, 2009.
Aas, Kjersti, Czado, Claudia, Frigessi, Arnoldo and Bakken, Henrik:
Pair-copula constructions of multiple dependence , Insurance: Mathematics
and Economics, Vol. 44, No. 2, 2009 (doi:10.1016/j.insmatheco.2007.02.001).
Aas, Kjersti, Dimakos, Xeni K. and Øksendal, Anders:
Risk Capital Aggregation ,
Risk Management 9(2) , April 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 2005/2006.
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.
International conference presentations 2005-
Invited speaker at STOR-i CDT, Lancaster University, June, 2024.
Invited speaker at the Winter Conference in Statistics 2024 in Hemavan, March 10-14th.
Invited speaker at "Nordic meeting on Insurance Mathematics", Stockholm, May, 2023.
Invited speaker at Cramérsällskapets årsmöte , Stockholm, September, 2020 (Zoom webinar).
Invited speaker at CASS Business School, London, February, 2020.
Invited speaker at Vine Copulas and their Applications , Munchen, July, 2019.
Invited speaker at The 23rd International Congress on Insurance: Mathematics and Economics (IME 2019) , Munchen, July, 2019.
Speaker at the Colloquium of the International Actuarial Association (IAA) , Oslo, June 2015.
Invited speaker at the workshop
Recent developments in dependence modelling with applications in finance and insurance, Brussels, May 29th, 2015.
Invited speaker at the workshop Workshop On Multivariate Analysis Today (WOMAT), Milton Keynes, May 18-19th, 2015.
Invited speaker at the 7th Trondheim Symposium in Statistics , Selbu, Norway, 2014.
Invited speaker in the session "Copulas: Past, Present, and Future" at the JSM 2014 in Boston, August 7th, 2014.
Invited speaker at the workshop International Workshop on High-Dimensional Dependence and Copulas:
Theory, Modeling, and Applications , Beijing, January 4-5, 2014.
Invited speaker at the workshop Copulas & extremes , Grenoble, November 19 and 20, 2013.
Speaker and session organizer at International Cramér Symposium
on Insurance Mathematics , Stockholm, June 11-14, 2013.
Invited speaker at the workshop Non-Gaussian Multivariate Statistical Models and their
Applications, Calgary, May 19-24, 2013.
Invited speaker at Mini symposium on perspective research directions in complex stochastic structures , Eötvös Loránd University, Budapest, March 19, 2012.
Invited speaker at the 4th Annual Conference on
Extreme Events at the University of Stavanger (UiS) Business School in Stavanger on August 25-26, 2011.
Invited speaker at the workshop on Copula Models and Dependence Montréal,
June 6-9, 2011.
Invited speaker at the 4th Workshop on Vine Copula Distributions
and Applications Munich May 11-12, 2011.
Invited speaker at the workshop Extreme Value Theory (EVT) &
Copula Functions , London, April 5th, 2011 (the workshop was cancelled).
Invited speaker at the seminar Climate Policy, Enterprise Risk
and Energy Investment, London, November 22-23, 2010.
Invited sesssion organizer
at The 7th
Conference on Multivariate Distributions with Applications , Maresias, Brazil August 8 - 13, 2010.
Invited speaker at Workshop on High-dimensional Extremes , Lausanne, 14-18 September 2009,
Speaker at 3rd European Risk Conference: "Risk and Accounting", London 3-4 September 2009.
Invited speaker at
2nd Vine Copula Workshop, Delft, 16-17 December 2008
Invited speaker at Grieg Investor finansseminar, Copenhagen, November 1st, 2008.
Invited speaker at the Risk Magazine training course A Quantitative Approach to Calculating and Applying VaR , London, October 3rd, 2008.
Invited speaker at Bernoulli Society - IMS
WORLD CONGRESS IN PROBABILITY AND STATISTICS 2008 , Singapore, July 14, 2008.
Invited plenary speaker at NORDSTAT 2008
in Vilnius, June 18, 2008.
Invited to chair the "Statistics in Finance" section at NORDSTAT 2008
in Vilnius, June 17, 2008.
Invited speaker at Workshop on Copulae: Theory and Praxis , Berlin Desember 7-8, 2007.
Invited speaker at Vine copula workshop , Delft, November 19-20, 2007.
Invited speaker at "Alumnidag ved IMF", NTNU, Trondheim, October 26, 2007.
Invited speaker at the Energyforum workshop Modelling and pricing in energy markets , Oslo, September 28, 2007.
Invited speaker at the Energyforum conference Nordic Modelling & Measuring Energy Risk , Oslo, September 26, 2007.
Speaker at the workshop Copulae and multivariate return distributions in finance-Theory, Applications, Opportunities and Problems,
Warwick Business School, September 14-15, 2007.
Invited speaker at Risk Magazine training course A Quantitative Approach to Calculating and Applying VaR , London, September 4th, 2007.
Speaker at Risk Aggregation Seminar, Oslo,
August 30, 2007.
Speaker at (sfi)2 Workshop on
Quantitative Risk Management , Oslo, April 24, 2007.
Invited speaker at International Workshop on
Computational and Financial Econometrics , Geneve, April 21 2007.
Invited speaker at Workshop on Copulas,
Lévy processes and Lévy copulas, with applications to financial modelling University of Münich,
November 24, 2006.
Invited speaker at Econometrics Seminar Swiss Banking Institute , University of Zürich, November 7, 2006.
Invited speaker at the conference Risk Magazine's Quant Congress USA 2006 in New York July 12, 2006.
Invited speaker at the conference Price Drivers on the Nord Pool Market in Stockholm April 27, 2006.
Speaker at International Conference on Finance ,
København, 2-4 september 2005.
Courses, workshops and seminars (most in Norwegian)
3rd Vine Copula Workshop, 15-16 December 2009.
Risk Aggregation Seminar, Oslo,
August 30, 2007.
(sfi)2 Workshop on
Quantitative Risk Management , Oslo, April 24, 2007.
Statistisk analyse av energipriser
Totalrisikomodellering og Basel II
Statistiske metoder for analyse av finansielle data
Modellering av totalrisiko
Fagseminar om copulas
Statistisk Analyse av Finansielle Tidsrekker.
Supervisions Master
Alexander Johansen Ohrt (2023), Probabilistic Tabular Diffusion for Counterfactual Explanation Synthesis, Master of Science,
NTNU.
Frida Svendal Aase (2023), An Exploration of Shapley Values for Model Interpretability: Providing a Fair and Accurate
Explanation of Black Box Models, Master of Science, NTNU.
Erik Holst Aasland (2022), Shapley Values for dependent features using Divisive Clustering, Master of Science, NTNU.
Arne Rustad (2022),TabGAN: A Framework for Utilizing Tabular GAN for Data Synthesizing and Generation of Counterfactual Explanations, Master of Science, NTNU.
Kristine Sivertsen (2016), Interest Rate Models in Solvency II, Master of Science, University of Bergen.
Steffen Bjørgum Pedersen (2015), Modellering av sannsynlighet for svindel i bilforsikringskrav, Master of Science, University of Bergen.
Linda Mon Xi (2014), Portfolio Optimization with PCC-GARCH-CVar model, Master of Science, University of Bergen.
Ingrid Sandvig Thorsen (2013), Modellering av romlig variasjon av frekvenser av vannskader på boliger, Master of Science, University of Bergen.
Helene Aardal (2013), DCC-GARCH-modeller med ulike avhengighetsstrukturer, Master of Science, University of Bergen.
Lydia Helle (2012), En copula-GLM modell for skadefrekvens og skadestørrelse i bilforsikring, Master of Science, University of Bergen.
Elisabeth Orskaug (2009), Multivariate DCC-GARCH models with different error distributions, Master of Science, NTNU.
Tormod Sætre (2007), Modeling collateralized debt obligations: A copula approach, Master of Science, NTNU.
Henrik Bakken (2005), Copulae: Basic Theory, Goodness-of-Fit Tests and Vines, Master of Science, NTNU.
Petter Gravås (2004), Swing Option Valuation Using Monte Carlo Simulations, Master of Science, NTNU.
Supervisions PhD
Lars Henry Berge Olsen , (2020-2024),Improved Shapley Value Methodology for the Explanations of Machine Learning Models, PhD, University of Oslo.
Håvard Kvamme , (2017-2019), Time-to-event Prediction with Neural Networks, PhD, University of Oslo.
Rogelio Andrade Macisidor (2016-2020), Machine learning for credit scoring, PhD, University of Tromsø.
Ingrid Hobæk Haff (2008-2012), Pair-copula constructions - theory and applications, PhD, University of Oslo.
Steffen Grønneberg (2007-2011), New estimation methods and model selection criterias for copulas, PhD,
University of Oslo.
Daniel Berg (2004-2007), Statistical Analysis of Credit Risk, PhD, University of Oslo.
A selection of scientific reports:
Aas, Kjersti and Dimakos, Xeni K.: Statistical modelling of
financial time series: An introduction. SAMBA/08/04, March, 2004.
Aas, Kjersti: Modelling the dependence structure of
financial assets: A survey of four copulas. SAMBA/22/04, December, 2004.
Aas, Kjersti: Modelling the stochastic behaviour
of short-term interest rates: A survey. SAMBA/21/04, September, 2004.
Aas, Kjersti: To log or not to log: The distribution of
asset returns. SAMBA/03/04, September, 2004.
Aas, Kjersti and Hobæk Haff, Ingrid: NIG and
Skew Student's t: Two special cases of the Generalised Hyperbolic Distribution. SAMBA/01/05, Januar, 2005.
Aas, Kjersti and Hobæk Haff, Ingrid: Modelling a portfolio
of financial assets of several different types. SAMBA/24/05, August, 2005.
Aas Kjersti: The Basel II IRB approach for credit portfolios: A survey
SAMBA/33/05, Oktober, 2005.
Aas, Kjersti and Eikvil, Line: Text Categorization: a survey.
Technical Report No. 941, Norwegian Computing Center, 1999.
All publications:
Before November 2011
After November 2011
Customers:
I have since 2001 been head of research and marketing for the area :
Statistical Analysis for the Finance, Insurance and
Commodity markets. at NR. Here is a list of NRs customers in this area.
Previous research areas:
I have also long experience in the following fields:
Image Analysis: Document analysis, Biometric recognition, Machine vision
Video Analysis: Video Surveillance, Tracking, Video indexing
Pattern Recognition: Hidden Markov Chain Models
Knowledge Mining: Data Mining, Text Mining, Multimedia Mining
Intelligent Agents: News filtering agents
Why study mathematics? (in Norwegian)
11 grunner til å velge matte.
Recreation
Cross-country skiing
Mountain climbing
