Despite the name, he seems to have of a connection to the Draugr rather than Odin.
As such, my headcannon is that he was a powerful Viking warrior who was Sparda's rival. Then after his death, Arius resurrected him as a "Draugr" alongside his servants Freki & Geri as Demonic wolves to fight against Sparda's heir - Dante. Satisfied after the demon hunter finally bested him, Bolverk was finally able to die for the final time. Or something like that anyway...