Preheat oven to 375 degrees F. Prick the surface of the potatoes a few times with a fork then rub potatoes with oil, place on a baking sheet and bake in the oven for about 1 1/2 hours, or until you can poke a thin bladed knife into them. Remove them from the oven and let rest 10 minutes, or until cool enough to handle.
Slice the potatoes in half vertically and carefully scrape the flesh into a medium bowl, reserving the best 4 skins. Add the butter, milk, cream and horseradish and mash until smooth, if the mixture is too dry add more milk. Season well with salt and pepper to taste. Fill each of the 4 skins with the mashed potato mixture. Place the filled potatoes on a baking sheet and return to the oven, bake until lightly golden brown, about 8 to 10 minutes. Remove from the oven and top with a dollop of sour cream, a tablespoon of caviar and sprinkle with chives.