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Author ID: asmussen.soren Recent zbMATH articles by "Asmussen, Søren"
Published as: Asmussen, Søren; Asmussen, Soren; Asmussen, S.; Asmussen, Soeren; Asmussen, Sœren
Homepage: https://pure.au.dk/portal/en/persons/soeren-asmussen(be9c4660-125f-4cc3-97f7-fda...
External Links: MGP · ORCID · Wikidata · Google Scholar · dblp · GND · IdRef
Documents Indexed: 160 Publications since 1976, including 10 Books
5 Contributions as Editor
Reviewing Activity: 97 Reviews
Biographic References: 1 Publication
Co-Authors: 91 Co-Authors with 124 Joint Publications
2,004 Co-Co-Authors
all top 5

Co-Authors

40 single-authored
9 Bladt, Mogens
7 Glynn, Peter W.
7 Rubinstein, Reuven Y.
6 Rojas-Nandayapa, Leonardo
5 Klüppelberg, Claudia
5 Pihlsgård, Mats
4 Albrecher, Hansjörg
4 Andersen, Lars Nørvang
4 Foss, Sergey G.
4 Hering, Heinrich
4 Højgaard, Bjarne
4 Ivanovs, Jevgeņijs
4 Kortschak, Dominik
4 Thorisson, Hermann
3 Jensen, Jens Ledet
3 Kella, Offer
3 Møller, Jakob Riishede
3 Perry, David
3 Rolski, Tomasz
3 Schmidt, Volker
3 Taksar, Michael I.
3 Thøgersen, Julie
2 Avram, Florin
2 Christensen, Bent Jesper
2 Jobmann, Manfred
2 Kalashnikov, Vladimir Vyacheslavovich
2 Kaplan, Norman L.
2 Kroese, Dirk P.
2 Laub, Patrick J.
2 Lipsky, Lester R.
2 Nerman, Olle
2 O’Cinneide, Colm Art
2 Schwefel, Hans-Peter
2 Sigman, Karl
2 Steffensen, Mogens
2 Wang, Chiali
1 Aurzada, Frank
1 Barndorff-Nielsen, Ole Eiler
1 Bäuerle, Nicole
1 Biard, Romain
1 Binswanger, Klemens
1 Blanchet, Jose H.
1 Boxma, Onno Johan
1 Collamore, Jeffrey F.
1 Constantinescu, Corina D.
1 Ernst, Philip A.
1 Fiorini, Pierre
1 Fuckerieder, Pascal
1 Haji, Rasoul
1 Hasenbein, John J.
1 Hashorva, Enkelejd
1 Henriksen, Lotte Fløe
1 Hobolth, Asger
1 Jagers, Peter
1 Johansen, Helle
1 Juneja, Sandeep
1 Keiding, Niels
1 Klebaner, Fima C.
1 Konstantinides, Dimitrios G.
1 Koole, Ger
1 Korn, Ralf
1 Korshunov, Dmitry Alekseevich
1 Kurtz, Thomas Gordon
1 Maejima, Makoto
1 Melamed, Benjamin
1 Molchanov, Ilya S.
1 Nielsen, Bo Friis
1 Nielsen, Hanne Mandrup
1 Olsson, Marita
1 Petersen, Søren Schock
1 Pistorius, Martijn R.
1 Pitman, Jim William
1 Ramaswami, Vaidyanathan
1 Rasmus, Sebastian
1 Rogers, Chris B.
1 Rønn-Nielsen, Anders
1 Rosiński, Jan
1 Rydén, Tobias
1 Saffari, Mohammad
1 Schmidli, Hanspeter
1 Segers, Johan
1 Sheahan, Robert
1 Simon, Thomas
1 Taimre, Thomas
1 Teugels, Jozef L.
1 Thompson, Stephen
1 Tsitsiashvili, Gurami Sh.
1 Turova, Tatyana S.
1 Usábel, Miguel A.
1 Vatutin, Vladimir Alekseevich
1 Wiktorsson, Magnus
all top 5

Serials

14 Stochastic Processes and their Applications
13 Journal of Applied Probability
13 Queueing Systems
11 Advances in Applied Probability
7 Communications in Statistics. Stochastic Models
5 Mathematics of Operations Research
5 Insurance Mathematics & Economics
5 Stochastic Models
4 Scandinavian Journal of Statistics
4 The Annals of Probability
4 Scandinavian Actuarial Journal
4 The Annals of Applied Probability
3 Statistics & Probability Letters
3 Methodology and Computing in Applied Probability
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 Bernoulli
2 Finance and Stochastics
2 Extremes
2 Probability in the Engineering and Informational Sciences
2 Scandinavian Actuarial Journal
2 Advanced Series on Statistical Science & Applied Probability
2 European Actuarial Journal
1 Mathematical Biosciences
1 The Annals of Statistics
1 The Australian Journal of Statistics
1 Biometrika
1 Management Science
1 Mathematica Scandinavica
1 The Mathematical Scientist
1 Operations Research
1 Siberian Mathematical Journal
1 Statistica Neerlandica
1 Transactions of the American Mathematical Society
1 Operations Research Letters
1 Probability and Mathematical Statistics
1 Acta Applicandae Mathematicae
1 Journal of Theoretical Probability
1 Journal of Applied Mathematics and Stochastic Analysis
1 Annals of Operations Research
1 Communications in Statistics. Simulation and Computation
1 Elektronische Informationsverarbeitung und Kybernetik
1 SIAM Review
1 Journal of Mathematical Sciences (New York)
1 ACM Transactions on Modeling and Computer Simulation
1 Markov Processes and Related Fields
1 Theory of Stochastic Processes
1 Quantitative Finance
1 ASTIN Bulletin
1 Oberwolfach Reports
1 Stochastics
1 Lecture Notes in Mathematics
1 Stochastic Modelling and Applied Probability
1 Journal of Statistical Theory and Practice
1 Stochastic Systems
1 Applications of Mathematics
1 Probability Theory and Stochastic Modelling
1 Wiley Series in Probability and Mathematical Statistics
1 Progress in Probability and Statistics

Publications by Year

Citations contained in zbMATH Open

143 Publications have been cited 4,650 times in 3,329 Documents Cited by Year
Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001
Asmussen, Søren
743
2003
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
327
2010
Applied probability and queues. Zbl 0624.60098
Asmussen, Søren
248
1987
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
245
2007
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
213
1997
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
166
2004
Ruin probabilities. Zbl 0960.60003
Asmussen, Søren
150
1997
Branching processes. Zbl 0516.60095
Asmussen, S.; Hering, H.
127
1983
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026
Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael
121
2000
Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047
Asmussen, Søren; Rosiński, Jan
107
2001
Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104
Asmussen, Søren; Nerman, Olle; Olsson, Marita
103
1996
Risk theory in a Markovian environment. Zbl 0684.62073
Asmussen, Søren
102
1989
Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086
Asmussen, Søren
101
1995
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
78
1998
Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053
Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry
66
2003
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
65
2002
Marked point processes as limits of Markovian arrival streams. Zbl 0778.60035
Asmussen, Søren; Koole, Ger
52
1993
A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081
Asmussen, Søren; Kella, Offer
48
2000
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
47
1996
Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017
Asmussen, Søren; Kroese, Dirk P.
44
2006
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
42
1999
Phase-type representations in random walk and queueing problems. Zbl 0755.60049
Asmussen, Søren
40
1992
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
39
1995
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
39
1999
Approximations for the probability of ruin within finite time. Zbl 0568.62092
Asmussen, Søren
38
1984
Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009
Asmussen, Søren; Rojas-Nandayapa, Leonardo
38
2008
Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064
Asmussen, Søren; Bladt, Mogens
37
1997
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
35
2006
Computational methods in risk theory: a matrix-algorithmic approach. Zbl 0748.62058
Asmussen, Søren; Rolski, Tomasz
35
1992
Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036
Asmussen, Søren; Pihlsgård, Mats
35
2007
Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue. Zbl 0501.60076
Asmussen, Soren
35
1982
Stationarity detection in the initial transient problem. Zbl 0842.68106
Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann
33
1992
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
33
2006
Rare events simulation for heavy-tailed distributions. Zbl 0958.65010
Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne
30
2000
Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080
Perry, David; Asmussen, Søren
30
1995
Extreme value theory for queues via cycle maxima. Zbl 0926.60072
Asmussen, Søren
30
1998
Collapsibility and response variables in contingency tables. Zbl 0549.62041
Asmussen, Søren; Edwards, David
28
1983
Strong limit theorems for general supercritical branching processes with applications to branching diffusions. Zbl 0325.60081
Asmussen, Soren; Hering, Heinrich
27
1976
Branching random walks. II. Zbl 0322.60065
Kaplan, Norman; Asmussen, Soren
26
1976
A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047
Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami
26
2002
Matrix-analytic models and their analysis. Zbl 0959.60085
Asmussen, Søren
24
2000
Conjugate processes and the simulation of ruin problems. Zbl 0574.60095
Asmussen, Søren
23
1985
The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112
Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul
23
2013
Risk theory in a periodic environment: The Cramér-Lundberg approximation and Lundberg’s inequality. Zbl 0801.60091
Asmussen, Søren; Rolski, Tomasz
21
1994
Branching random walks. I. Zbl 0317.60034
Asmussen, Soren; Kaplan, Norman
21
1976
Ladder heights and the Markov-modulated M/G/1 queue. Zbl 0734.60091
Asmussen, Søren
20
1991
Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027
Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo
20
2011
Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067
Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia
19
1994
Steady state rare events simulation in queueing models and its complexity properties. Zbl 0848.60085
Asmussen, Søren; Rubinstein, Reuven Y.
18
1995
Ruin probabilities expressed in terms of storage processes. Zbl 0657.60111
Asmussen, Søren; Petersen, Søren Schock
18
1988
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
17
2016
Convergence rates for branching processes. Zbl 0329.60053
Asmussen, Soren
17
1976
On cycle maxima, first passage problems and extreme value theory for queues. Zbl 0762.60086
Asmussen, Søren; Perry, David
17
1992
Monotone stochastic recursions and their duals. Zbl 1095.60519
Asmussen, Søren; Sigman, Karl
17
1996
Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086
Asmussen, Søren
16
1994
Ruin probabilities via local adjustment coefficients. Zbl 0834.60099
Asmussen, Søren; Nielsen, Hanne Mandrup
16
1995
Asymptotic behavior of total times for jobs that must start over if a failure occurs. Zbl 1213.90096
Asmussen, Søren; Fiorini, Pierre; Lipsky, Lester; Rolski, Tomasz; Sheahan, Robert
16
2008
Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077
Asmussen, Søren; Bladt, Mogens
15
1999
Queueing simulation in heavy traffic. Zbl 0754.60101
Asmussen, Søren
15
1992
Necessary and sufficient conditions for complete convergence in the law of large numbers. Zbl 0426.60026
Asmussen, Soren; Kurtz, Thomas G.
15
1980
A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040
Asmussen, Søren
14
1998
Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093
Asmussen, Søren; Bladt, Mogens
13
1994
Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071
Asmussen, Søren; Møller, Jakob R.
13
1999
An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model. Zbl 0981.60069
Asmussen, Søren; Perry, David
13
1998
Rate modulation in dams and ruin problems. Zbl 0860.60060
Asmussen, Søren; Kella, Offer
13
1996
Aspects of matrix Wiener-Hopf factorisation in applied probability. Zbl 0688.60055
Asmussen, Søren
13
1989
Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028
Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y.
13
2005
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
12
2011
Stationary distributions via first passage times. Zbl 0866.60077
Asmussen, Søren
12
1995
Martingale central limit theorems and asymptotic estimation theory for multitype branching processes. Zbl 0391.60076
Asmussen, Soren; Keiding, Niels
12
1978
Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018
Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter
10
2002
Strong limit theorems for supercritical immigration-branching processes. Zbl 0348.60117
Asmussen, Soren; Hering, Heinrich
10
1977
A Markov chain approach to periodic queues. Zbl 0623.60116
Asmussen, Søren; Thorisson, Hermann
10
1987
Exponential family techniques for the lognormal left tail. Zbl 1468.62257
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
10
2016
Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory. Zbl 0744.60108
Asmussen, Soren; Ramaswami, V.
9
1990
The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models. Zbl 0745.65088
Asmussen, Søren; Rubinstein, Reuven Y.
9
1992
Light traffic equivalence in single-server queues. Zbl 0762.60085
Asmussen, Søren
9
1992
Exponential families generated by phase-type distributions and other Markov lifetimes. Zbl 0697.60076
Asmussen, Søren
9
1989
Phase-type distributions and risk processes with state-dependent premiums. Zbl 0876.62089
Asmussen, Søren; Bladt, Mogens
8
1996
Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081
Asmussen, Søren; Teugels, Jozef L.
8
1996
Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues. Zbl 0934.60082
Asmussen, Søren; O’Cinneide, Colm Art
8
1998
Almost sure behavior of linear functionals of supercritical branching processes. Zbl 0376.60083
Asmussen, Soren
8
1977
The heavy traffic limit of a class of Markovian queueing models. Zbl 0632.60065
Asmussen, Søren
8
1987
Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151
Asmussen, Søren; Biard, Romain
7
2011
Calculation of the steady state waiting time distribution in GI/PH/\(c\) and MAP/PH/\(c\) queues. Zbl 0982.60096
Asmussen, Søren; Møller, Jakob R.
7
2001
Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101
Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li
6
1994
Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408
Asmussen, Søren; Pihlsgård, Mats
6
2005
On some two-sex population models. Zbl 0442.60080
Asmussen, Soren
6
1980
Equilibrium properties of the M/G/1 queue. Zbl 0464.60089
Asmussen, Soren
6
1981
On optional stopping of some exponential martingales for Lévy processes with or without reflection. Zbl 1047.60038
Asmussen, Søren; Kella, Offer
6
2001
Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029
Asmussen, Søren; Kortschak, Dominik
6
2015
Renovation, regeneration, and coupling in multiple-server queues in continuous time. Zbl 0814.60087
Asmussen, S.; Foss, S. G.
5
1993
Phase-type distributions and related point processes: Fitting and recent advances. Zbl 0865.62057
Asmussen, Søren
5
1997
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
5
2015
Local time asymptotics for centered Lévy processes with two-sided reflection. Zbl 1229.60061
Andersen, Lars Nørvang; Asmussen, Søren
5
2011
Ladder height distributions with marks. Zbl 0829.60093
Asmussen, Søren; Schmidt, Volker
5
1995
Some martingale methods in the limit theory of supercritical branching processes. Zbl 0402.60083
Asmussen, Soren
5
1978
Risk and insurance. A graduate text. Zbl 1447.91001
Asmussen, Søren; Steffensen, Mogens
5
2020
Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033
Asmussen, Søren
5
2014
Large deviation results for time-dependent queue length distributions. Zbl 0646.60096
Asmussen, Søren; Thorisson, Hermann
5
1988
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 07532606
Asmussen, Søren; Bladt, Mogens
1
2022
Risk and insurance. A graduate text. Zbl 1447.91001
Asmussen, Søren; Steffensen, Mogens
5
2020
Matrix representations of life insurance payments. Zbl 1452.91262
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens
5
2020
Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market. Zbl 1410.91255
Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, Julie
3
2019
A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068
Asmussen, Søren; Ivanovs, Jevgenijs
5
2018
Discretization error for a two-sided reflected Lévy process. Zbl 1408.60036
Asmussen, Søren; Ivanovs, Jevgenijs
4
2018
Stability and busy periods in a multiclass queue with state-dependent arrival rates. Zbl 1418.90086
Ernst, Philip A.; Asmussen, Søren; Hasenbein, John J.
2
2018
Regular variation in a fixed-point problem for single- and multi-class branching processes and queues. Zbl 1443.60077
Asmussen, Søren; Foss, Sergey
1
2018
Tail asymptotics of light-tailed Weibull-like sums. Zbl 1395.62031
Asmussen, Søren; Hashorva, Enkelejd; Laub, Patrick J.; Taimre, Thomas
5
2017
Time inhomogeneity in longest gap and longest run problems. Zbl 1395.60009
Asmussen, Søren; Ivanovs, Jevgenijs; Nielsen, Anders Rønn
3
2017
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
17
2016
Exponential family techniques for the lognormal left tail. Zbl 1468.62257
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
10
2016
Markov renewal methods in restart problems in complex systems. Zbl 1354.60109
Asmussen, Søren; Lipsky, Lester; Thompson, Stephen
4
2016
Approximating the Laplace transform of the sum of dependent lognormals. Zbl 1426.60021
Laub, Patrick J.; Asmussen, Søren; Jensen, Jens L.; Rojas-Nandayapa, Leonardo
2
2016
Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029
Asmussen, Søren; Kortschak, Dominik
6
2015
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
5
2015
Lévy matters V. Functionals of Lévy processes. Zbl 1337.60007
Andersen, Lars Nørvang; Asmussen, Søren; Aurzada, Frank; Glynn, Peter W.; Maejima, Makoto; Pihlsgård, Mats; Simon, Thomas
1
2015
Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033
Asmussen, Søren
5
2014
On exceedance times for some processes with dependent increments. Zbl 1296.60120
Asmussen, Søren; Foss, Sergey
3
2014
The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112
Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul
23
2013
Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088
Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael
5
2013
Second order corrections for the limits of normalized ruin times in the presence of heavy tails. Zbl 1300.60108
Kortschak, Dominik; Asmussen, Søren
1
2013
Markov bridges, bisection and variance reduction. Zbl 1272.60057
Asmussen, Søren; Hobolth, Asger
4
2012
Tail asymptotics for dependent subexponential differences. Zbl 1257.62016
Albrecher, H.; Asmussen, S.; Kortschak, D.
3
2012
Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027
Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo
20
2011
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
12
2011
Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151
Asmussen, Søren; Biard, Romain
7
2011
Local time asymptotics for centered Lévy processes with two-sided reflection. Zbl 1229.60061
Andersen, Lars Nørvang; Asmussen, Søren
5
2011
A note on skewness in regenerative simulation. Zbl 1209.62021
Asmussen, Søren; Rydén, Tobias
1
2011
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
327
2010
Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009
Asmussen, Søren; Rojas-Nandayapa, Leonardo
38
2008
Asymptotic behavior of total times for jobs that must start over if a failure occurs. Zbl 1213.90096
Asmussen, Søren; Fiorini, Pierre; Lipsky, Lester; Rolski, Tomasz; Sheahan, Robert
16
2008
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
245
2007
Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036
Asmussen, Søren; Pihlsgård, Mats
35
2007
Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017
Asmussen, Søren; Kroese, Dirk P.
44
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
35
2006
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
33
2006
Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028
Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y.
13
2005
Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408
Asmussen, Søren; Pihlsgård, Mats
6
2005
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
166
2004
Pricing of some exotic options with NIG-Lévy input. Zbl 1102.91330
Rasmus, Sebastian; Asmussen, Søren; Wiktorsson, Magnus
1
2004
Transient properties of many-server queues and related QBDs. Zbl 1061.90027
Asmussen, Søren; Pihlsgård, Mats
1
2004
Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001
Asmussen, Søren
743
2003
Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053
Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry
66
2003
Risk comparisons of premium rules: Optimality and a life insurance study. Zbl 1024.62040
Asmussen, Søren; Møller, Jakob R.
2
2003
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
65
2002
A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047
Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami
26
2002
Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018
Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter
10
2002
On the tail of the waiting time in a Markov-modulated \(M/G/1\) queue. Zbl 1163.90415
Asmussen, Søren; O’Cinneide, Colm
4
2002
Large deviations and fast simulation in the presence of boundaries. Zbl 1075.60576
Asmussen, Søren; Fuckerieder, Pascal; Jobmann, Manfred; Schwefel, Hans-Peter
3
2002
Large deviations in rare events simulation: Examples, counterexamples and alternatives. Zbl 0998.60024
Asmussen, Søren
1
2002
Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047
Asmussen, Søren; Rosiński, Jan
107
2001
Calculation of the steady state waiting time distribution in GI/PH/\(c\) and MAP/PH/\(c\) queues. Zbl 0982.60096
Asmussen, Søren; Møller, Jakob R.
7
2001
On optional stopping of some exponential martingales for Lévy processes with or without reflection. Zbl 1047.60038
Asmussen, Søren; Kella, Offer
6
2001
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026
Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael
121
2000
A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081
Asmussen, Søren; Kella, Offer
48
2000
Rare events simulation for heavy-tailed distributions. Zbl 0958.65010
Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne
30
2000
Matrix-analytic models and their analysis. Zbl 0959.60085
Asmussen, Søren
24
2000
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
42
1999
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
39
1999
Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077
Asmussen, Søren; Bladt, Mogens
15
1999
Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071
Asmussen, Søren; Møller, Jakob R.
13
1999
Sensitivity analysis of insurance risk models via simulation. Zbl 1231.91140
Asmussen, Søren; Rubinstein, Reuven Y.
4
1999
Semi-Markov queues with heavy tails. Zbl 0984.60099
Asmussen, Soren
3
1999
Approximations for finite horizon ruin probabilities in the renewal model. Zbl 0952.91039
Asmussen, Søren; Højgaard, Bjarne
3
1999
Exact asymptotics for a large deviations problem for the GI/G/1 queue. Zbl 0948.60088
Asmussen, S.; Collamore, J. F.
2
1999
Stochastic simulation with a view towards stochastic processes. Zbl 0981.65013
Asmussen, Søren
2
1999
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
78
1998
Extreme value theory for queues via cycle maxima. Zbl 0926.60072
Asmussen, Søren
30
1998
A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040
Asmussen, Søren
14
1998
An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model. Zbl 0981.60069
Asmussen, Søren; Perry, David
13
1998
Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues. Zbl 0934.60082
Asmussen, Søren; O’Cinneide, Colm Art
8
1998
Stationarity properties of neural networks. Zbl 0933.60097
Asmussen, Søren; Turova, Tatyana S.
1
1998
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
213
1997
Ruin probabilities. Zbl 0960.60003
Asmussen, Søren
150
1997
Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064
Asmussen, Søren; Bladt, Mogens
37
1997
Phase-type distributions and related point processes: Fitting and recent advances. Zbl 0865.62057
Asmussen, Søren
5
1997
Stationary M/G/1 excursions in the presence of heavy tails. Zbl 0876.60080
Asmussen, Søren; Klüppelberg, Claudia
3
1997
Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104
Asmussen, Søren; Nerman, Olle; Olsson, Marita
103
1996
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
47
1996
Monotone stochastic recursions and their duals. Zbl 1095.60519
Asmussen, Søren; Sigman, Karl
17
1996
Rate modulation in dams and ruin problems. Zbl 0860.60060
Asmussen, Søren; Kella, Offer
13
1996
Phase-type distributions and risk processes with state-dependent premiums. Zbl 0876.62089
Asmussen, Søren; Bladt, Mogens
8
1996
Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081
Asmussen, Søren; Teugels, Jozef L.
8
1996
Finite horizon ruin probabilities for Markov-modulated risk processes with heavy tails. Zbl 0892.62078
Asmussen, Søren; Højgaard, Bjarne
4
1996
Rare events in the presence of heavy tails. Zbl 0856.60101
Asmussen, Søren
1
1996
Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086
Asmussen, Søren
101
1995
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
39
1995
Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080
Perry, David; Asmussen, Søren
30
1995
Steady state rare events simulation in queueing models and its complexity properties. Zbl 0848.60085
Asmussen, Søren; Rubinstein, Reuven Y.
18
1995
Ruin probabilities via local adjustment coefficients. Zbl 0834.60099
Asmussen, Søren; Nielsen, Hanne Mandrup
16
1995
Stationary distributions via first passage times. Zbl 0866.60077
Asmussen, Søren
12
1995
Ladder height distributions with marks. Zbl 0829.60093
Asmussen, Søren; Schmidt, Volker
5
1995
Risk theory in a periodic environment: The Cramér-Lundberg approximation and Lundberg’s inequality. Zbl 0801.60091
Asmussen, Søren; Rolski, Tomasz
21
1994
Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067
Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia
19
1994
Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086
Asmussen, Søren
16
1994
Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093
Asmussen, Søren; Bladt, Mogens
13
1994
Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101
Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li
6
1994
A sample path approach to mean busy periods for Markov-modulated queues and fluids. Zbl 0826.60085
Asmussen, Søren; Bladt, Mogens
4
1994
Regenerative simulation of TES processes. Zbl 0804.65146
Asmussen, Søren; Melamed, Benjamin
2
1994
...and 43 more Documents
all top 5

Cited by 3,312 Authors

74 Asmussen, Søren
66 Mandjes, Michel Robertus Hendrikus
46 Yang, Hailiang
42 Boxma, Onno Johan
40 Albrecher, Hansjörg
39 Glynn, Peter W.
38 Zwart, Bert P.
37 Palmowski, Zbigniew
31 Ivanovs, Jevgeņijs
31 Zhang, Zhimin
30 Blanchet, Jose H.
30 Perry, David
29 Foss, Sergey G.
27 Cheung, Eric C. K.
25 Kyprianou, Andreas E.
23 Chen, Anyue
23 Latouche, Guy
23 Wang, Yuebao
22 Avram, Florin
22 Li, Junping
22 Stadje, Wolfgang
21 Tang, Qihe
21 Whitt, Ward
20 Bladt, Mogens
20 Yamazaki, Kazutoshi
20 Yin, Chuancun
19 He, Qi-Ming
19 Kella, Offer
19 Landriault, David
19 Yuen, Kam Chuen
18 Jin, Zhuo
18 van Leeuwaarden, Johan S. H.
17 Dębicki, Krzysztof
17 Guo, Junyi
17 Li, Shuanming
17 Yang, Yang
16 Loisel, Stéphane
16 Pistorius, Martijn R.
16 Sigman, Karl
16 Wang, Kaiyong
16 Willmot, Gordon E.
16 Yang, Hu
15 Ahn, Soohan
15 Badescu, Andrei L.
15 Breuer, Lothar
15 Frostig, Esther
15 Hashorva, Enkelejd
15 Lefèvre, Claude
15 Vlasiou, Maria
14 Klüppelberg, Claudia
14 Stanford, David A.
13 Liu, Jingchen
13 Ren, Jiandong
13 Taylor, Peter Gerrard
12 Adan, Ivo J. B. F.
12 Bean, Nigel G.
12 Dieker, A. B.
12 Kortschak, Dominik
12 Masuyama, Hiroyuki
12 Miyazawa, Masakiyo
12 Pérez Garmendia, Jose Luis
12 Ren, Yanxia
12 Rolski, Tomasz
12 Schmidli, Hanspeter
12 Song, Renming
12 Wu, Rong
12 Zhao, Yiqiang Q.
11 Alsmeyer, Gerold
11 Barron, Yonit
11 Borovkov, Aleksandr Alekseevich
11 Gatto, Riccardo
11 Janssen, Augustus Josephus Elizabeth Maria
11 Korshunov, Dmitry Alekseevich
11 Krishnamoorthy, Achyutha
11 O’Reilly, Małgorzata M.
11 Rabehasaina, Landy
11 Samorodnitsky, Gennady Pinkhosovich
11 Wang, Rongming
10 Afanaseva, Larisa G.
10 Bäuerle, Nicole
10 Gao, Zhiqiang
10 Gapeev, Pavel V.
10 Goffard, Pierre-Olivier
10 Kim, Bara
10 Li, Quanlin
10 Lu, Yi
10 Politis, Konstadinos
10 Ramaswami, Vaidyanathan
10 Siu, Tak Kuen
10 Telek, Miklós
10 Woo, Jae-Kyung
10 Yin, Gang George
9 Bertail, Patrice
9 Cai, Jun
9 Chen, Yiqing
9 Clémençon, Stéphan
9 Denisov, Denis E.
9 Dickson, David C. M.
9 Grandits, Peter
9 Kawai, Reiichiro
...and 3,212 more Authors
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Cited in 329 Serials

257 Insurance Mathematics & Economics
220 Queueing Systems
200 Journal of Applied Probability
169 Stochastic Processes and their Applications
118 Advances in Applied Probability
115 Stochastic Models
113 The Annals of Applied Probability
112 Methodology and Computing in Applied Probability
99 Statistics & Probability Letters
85 Scandinavian Actuarial Journal
69 Journal of Computational and Applied Mathematics
62 European Journal of Operational Research
61 Annals of Operations Research
46 Operations Research Letters
38 Probability in the Engineering and Informational Sciences
37 Bernoulli
34 ASTIN Bulletin
32 Communications in Statistics. Theory and Methods
31 The Annals of Probability
28 Journal of Industrial and Management Optimization
26 Acta Mathematicae Applicatae Sinica. English Series
26 Mathematical Methods of Operations Research
25 Journal of Statistical Physics
25 Extremes
24 Journal of Theoretical Probability
24 North American Actuarial Journal
23 Finance and Stochastics
21 Applied Mathematics and Computation
21 Stochastics
19 European Actuarial Journal
18 Probability Theory and Related Fields
18 Quantitative Finance
17 Journal of Mathematical Analysis and Applications
16 Journal of Optimization Theory and Applications
16 Journal of Statistical Planning and Inference
16 Stochastic Analysis and Applications
16 Journal of Mathematical Sciences (New York)
16 International Journal of Theoretical and Applied Finance
16 Frontiers of Mathematics in China
14 Mathematical Biosciences
14 Cybernetics and Systems Analysis
13 Journal of Mathematical Biology
13 Applied Mathematics and Optimization
13 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
13 Computational Statistics and Data Analysis
13 Stochastic Systems
12 Acta Applicandae Mathematicae
12 Applied Mathematical Modelling
12 Theory of Probability and Mathematical Statistics
12 Mathematical Problems in Engineering
11 Theory of Probability and its Applications
11 The Annals of Statistics
11 Scandinavian Actuarial Journal
11 ACM Transactions on Modeling and Computer Simulation
11 Applied Stochastic Models in Business and Industry
11 Electronic Journal of Statistics
11 Statistics and Computing
10 Computers & Mathematics with Applications
10 Journal of Multivariate Analysis
10 Probability and Mathematical Statistics
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10 Mathematical Finance
10 Journal of Systems Science and Complexity
10 Science China. Mathematics
9 Lithuanian Mathematical Journal
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9 Mathematics of Operations Research
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9 Monte Carlo Methods and Applications
9 Electronic Journal of Probability
9 INFORMS Journal on Computing
9 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
9 Acta Mathematica Sinica. English Series
9 SIAM/ASA Journal on Uncertainty Quantification
9 Modern Stochastics. Theory and Applications
8 Ukrainian Mathematical Journal
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8 SIAM Journal on Scientific Computing
7 Operations Research
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7 Mathematical and Computer Modelling
7 Journal of Statistical Computation and Simulation
7 Linear Algebra and its Applications
7 Discrete Dynamics in Nature and Society
7 Sibirskie Èlektronnye Matematicheskie Izvestiya
7 Journal of the Korean Statistical Society
7 ALEA. Latin American Journal of Probability and Mathematical Statistics
6 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
6 Sequential Analysis
6 Communications in Statistics. Simulation and Computation
6 SIAM Journal on Financial Mathematics
6 Journal of Theoretical Biology
5 Journal of Computational Physics
5 Kybernetika
5 Mathematics and Computers in Simulation
5 Naval Research Logistics
5 SIAM Journal on Numerical Analysis
5 Theoretical Population Biology
5 Statistical Science
5 Journal of Economic Dynamics & Control
...and 229 more Serials
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Cited in 46 Fields

2,493 Probability theory and stochastic processes (60-XX)
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696 Operations research, mathematical programming (90-XX)
641 Statistics (62-XX)
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228 Systems theory; control (93-XX)
198 Computer science (68-XX)
108 Biology and other natural sciences (92-XX)
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52 Statistical mechanics, structure of matter (82-XX)
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34 Integral equations (45-XX)
33 Integral transforms, operational calculus (44-XX)
23 Ordinary differential equations (34-XX)
19 Dynamical systems and ergodic theory (37-XX)
17 Linear and multilinear algebra; matrix theory (15-XX)
14 Operator theory (47-XX)
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