## Asmussen, Søren

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 Author ID: asmussen.soren Published as: Asmussen, Søren; Asmussen, Soren; Asmussen, S.; Asmussen, Soeren; Asmussen, Sœren more...less 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
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### 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
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### 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
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### Fields

 142 Probability theory and stochastic processes (60-XX) 32 Statistics (62-XX) 32 Operations research, mathematical programming (90-XX) 28 Numerical analysis (65-XX) 27 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 12 Computer science (68-XX) 5 General and overarching topics; collections (00-XX) 2 History and biography (01-XX) 2 Biology and other natural sciences (92-XX) 2 Systems theory; control (93-XX) 2 Information and communication theory, circuits (94-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Ordinary differential equations (34-XX) 1 Partial differential equations (35-XX) 1 Integral transforms, operational calculus (44-XX) 1 Operator theory (47-XX) 1 Statistical mechanics, structure of matter (82-XX)

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

### 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 10 Automation and Remote Control 10 Mathematical Finance 10 Journal of Systems Science and Complexity 10 Science China. Mathematics 9 Lithuanian Mathematical Journal 9 Scandinavian Journal of Statistics 9 Mathematics of Operations Research 9 Computers & Operations Research 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 8 Siberian Mathematical Journal 8 SIAM Journal on Scientific Computing 7 Operations Research 7 SIAM Journal on Control and Optimization 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) 1,148 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 696 Operations research, mathematical programming (90-XX) 641 Statistics (62-XX) 347 Numerical analysis (65-XX) 228 Systems theory; control (93-XX) 198 Computer science (68-XX) 108 Biology and other natural sciences (92-XX) 78 Calculus of variations and optimal control; optimization (49-XX) 52 Statistical mechanics, structure of matter (82-XX) 43 Partial differential equations (35-XX) 41 Combinatorics (05-XX) 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) 13 Approximations and expansions (41-XX) 10 Number theory (11-XX) 10 Fluid mechanics (76-XX) 10 Information and communication theory, circuits (94-XX) 8 Measure and integration (28-XX) 7 Special functions (33-XX) 6 Functions of a complex variable (30-XX) 5 Real functions (26-XX) 5 Difference and functional equations (39-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 5 Geophysics (86-XX) 4 Field theory and polynomials (12-XX) 4 Global analysis, analysis on manifolds (58-XX) 4 Classical thermodynamics, heat transfer (80-XX) 3 General and overarching topics; collections (00-XX) 3 Functional analysis (46-XX) 3 Mathematics education (97-XX) 2 History and biography (01-XX) 2 Convex and discrete geometry (52-XX) 2 Mechanics of deformable solids (74-XX) 2 Quantum theory (81-XX) 1 Mathematical logic and foundations (03-XX) 1 Commutative algebra (13-XX) 1 Algebraic geometry (14-XX) 1 Differential geometry (53-XX) 1 General topology (54-XX) 1 Mechanics of particles and systems (70-XX) 1 Optics, electromagnetic theory (78-XX)

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