Edit Profile (opens in new tab) Asmussen, Søren Compute Distance To: Compute 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 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 all top 5 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) Publications by Year all cited Publications top 5 cited Publications 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 1029.60001Asmussen, Søren 743 2003 Ruin probabilities. 2nd ed. Zbl 1247.91080Asmussen, Søren; Albrecher, Hansjörg 327 2010 Applied probability and queues. Zbl 0624.60098Asmussen, Søren 248 1987 Stochastic simulation: Algorithms and analysis. Zbl 1126.65001Asmussen, Søren; Glynn, Peter W. 245 2007 Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529Asmussen, Søren; Taksar, Michael 213 1997 Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037Asmussen, Søren; Avram, Florin; Pistorius, Martijn R. 166 2004 Ruin probabilities. Zbl 0960.60003Asmussen, Søren 150 1997 Branching processes. Zbl 0516.60095Asmussen, S.; Hering, H. 127 1983 Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael 121 2000 Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047Asmussen, Søren; Rosiński, Jan 107 2001 Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104Asmussen, Søren; Nerman, Olle; Olsson, Marita 103 1996 Risk theory in a Markovian environment. Zbl 0684.62073Asmussen, Søren 102 1989 Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086Asmussen, Søren 101 1995 Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034Asmussen, Søren 78 1998 Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry 66 2003 Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028Asmussen, Soren; Avram, Florin; Usabel, Miguel 65 2002 Marked point processes as limits of Markovian arrival streams. Zbl 0778.60035Asmussen, Søren; Koole, Ger 52 1993 A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081Asmussen, Søren; Kella, Offer 48 2000 Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020Asmussen, S.; Klüppelberg, C. 47 1996 Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017Asmussen, Søren; Kroese, Dirk P. 44 2006 Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker 42 1999 Phase-type representations in random walk and queueing problems. Zbl 0755.60049Asmussen, Søren 40 1992 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147Asmussen, Søren; Glynn, Peter; Pitman, Jim 39 1995 Sampling at subexponential times, with queueing applications. Zbl 0961.60080Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 39 1999 Approximations for the probability of ruin within finite time. Zbl 0568.62092Asmussen, Søren 38 1984 Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009Asmussen, Søren; Rojas-Nandayapa, Leonardo 38 2008 Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064Asmussen, Søren; Bladt, Mogens 37 1997 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 35 2006 Computational methods in risk theory: a matrix-algorithmic approach. Zbl 0748.62058Asmussen, Søren; Rolski, Tomasz 35 1992 Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036Asmussen, 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 0501.60076Asmussen, Soren 35 1982 Stationarity detection in the initial transient problem. Zbl 0842.68106Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann 33 1992 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 33 2006 Rare events simulation for heavy-tailed distributions. Zbl 0958.65010Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne 30 2000 Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080Perry, David; Asmussen, Søren 30 1995 Extreme value theory for queues via cycle maxima. Zbl 0926.60072Asmussen, Søren 30 1998 Collapsibility and response variables in contingency tables. Zbl 0549.62041Asmussen, Søren; Edwards, David 28 1983 Strong limit theorems for general supercritical branching processes with applications to branching diffusions. Zbl 0325.60081Asmussen, Soren; Hering, Heinrich 27 1976 Branching random walks. II. Zbl 0322.60065Kaplan, Norman; Asmussen, Soren 26 1976 A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami 26 2002 Matrix-analytic models and their analysis. Zbl 0959.60085Asmussen, Søren 24 2000 Conjugate processes and the simulation of ruin problems. Zbl 0574.60095Asmussen, Søren 23 1985 The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul 23 2013 Risk theory in a periodic environment: The Cramér-Lundberg approximation and Lundberg’s inequality. Zbl 0801.60091Asmussen, Søren; Rolski, Tomasz 21 1994 Branching random walks. I. Zbl 0317.60034Asmussen, Soren; Kaplan, Norman 21 1976 Ladder heights and the Markov-modulated M/G/1 queue. Zbl 0734.60091Asmussen, Søren 20 1991 Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo 20 2011 Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia 19 1994 Steady state rare events simulation in queueing models and its complexity properties. Zbl 0848.60085Asmussen, Søren; Rubinstein, Reuven Y. 18 1995 Ruin probabilities expressed in terms of storage processes. Zbl 0657.60111Asmussen, Søren; Petersen, Søren Schock 18 1988 On the Laplace transform of the lognormal distribution. Zbl 1386.60066Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 17 2016 Convergence rates for branching processes. Zbl 0329.60053Asmussen, Soren 17 1976 On cycle maxima, first passage problems and extreme value theory for queues. Zbl 0762.60086Asmussen, Søren; Perry, David 17 1992 Monotone stochastic recursions and their duals. Zbl 1095.60519Asmussen, Søren; Sigman, Karl 17 1996 Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086Asmussen, Søren 16 1994 Ruin probabilities via local adjustment coefficients. Zbl 0834.60099Asmussen, Søren; Nielsen, Hanne Mandrup 16 1995 Asymptotic behavior of total times for jobs that must start over if a failure occurs. Zbl 1213.90096Asmussen, Søren; Fiorini, Pierre; Lipsky, Lester; Rolski, Tomasz; Sheahan, Robert 16 2008 Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077Asmussen, Søren; Bladt, Mogens 15 1999 Queueing simulation in heavy traffic. Zbl 0754.60101Asmussen, Søren 15 1992 Necessary and sufficient conditions for complete convergence in the law of large numbers. Zbl 0426.60026Asmussen, Soren; Kurtz, Thomas G. 15 1980 A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040Asmussen, Søren 14 1998 Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093Asmussen, Søren; Bladt, Mogens 13 1994 Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071Asmussen, Søren; Møller, Jakob R. 13 1999 An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model. Zbl 0981.60069Asmussen, Søren; Perry, David 13 1998 Rate modulation in dams and ruin problems. Zbl 0860.60060Asmussen, Søren; Kella, Offer 13 1996 Aspects of matrix Wiener-Hopf factorisation in applied probability. Zbl 0688.60055Asmussen, Søren 13 1989 Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y. 13 2005 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015Asmussen, Søren; Glynn, Peter W. 12 2011 Stationary distributions via first passage times. Zbl 0866.60077Asmussen, Søren 12 1995 Martingale central limit theorems and asymptotic estimation theory for multitype branching processes. Zbl 0391.60076Asmussen, Soren; Keiding, Niels 12 1978 Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter 10 2002 Strong limit theorems for supercritical immigration-branching processes. Zbl 0348.60117Asmussen, Soren; Hering, Heinrich 10 1977 A Markov chain approach to periodic queues. Zbl 0623.60116Asmussen, Søren; Thorisson, Hermann 10 1987 Exponential family techniques for the lognormal left tail. Zbl 1468.62257Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 10 2016 Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory. Zbl 0744.60108Asmussen, Soren; Ramaswami, V. 9 1990 The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models. Zbl 0745.65088Asmussen, Søren; Rubinstein, Reuven Y. 9 1992 Light traffic equivalence in single-server queues. Zbl 0762.60085Asmussen, Søren 9 1992 Exponential families generated by phase-type distributions and other Markov lifetimes. Zbl 0697.60076Asmussen, Søren 9 1989 Phase-type distributions and risk processes with state-dependent premiums. Zbl 0876.62089Asmussen, Søren; Bladt, Mogens 8 1996 Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081Asmussen, Søren; Teugels, Jozef L. 8 1996 Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues. Zbl 0934.60082Asmussen, Søren; O’Cinneide, Colm Art 8 1998 Almost sure behavior of linear functionals of supercritical branching processes. Zbl 0376.60083Asmussen, Soren 8 1977 The heavy traffic limit of a class of Markovian queueing models. Zbl 0632.60065Asmussen, Søren 8 1987 Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151Asmussen, Søren; Biard, Romain 7 2011 Calculation of the steady state waiting time distribution in GI/PH/\(c\) and MAP/PH/\(c\) queues. Zbl 0982.60096Asmussen, Søren; Møller, Jakob R. 7 2001 Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li 6 1994 Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408Asmussen, Søren; Pihlsgård, Mats 6 2005 On some two-sex population models. Zbl 0442.60080Asmussen, Soren 6 1980 Equilibrium properties of the M/G/1 queue. Zbl 0464.60089Asmussen, Soren 6 1981 On optional stopping of some exponential martingales for Lévy processes with or without reflection. Zbl 1047.60038Asmussen, Søren; Kella, Offer 6 2001 Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029Asmussen, Søren; Kortschak, Dominik 6 2015 Renovation, regeneration, and coupling in multiple-server queues in continuous time. Zbl 0814.60087Asmussen, S.; Foss, S. G. 5 1993 Phase-type distributions and related point processes: Fitting and recent advances. Zbl 0865.62057Asmussen, Søren 5 1997 Lévy processes with two-sided reflection. Zbl 1338.60126Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats 5 2015 Local time asymptotics for centered Lévy processes with two-sided reflection. Zbl 1229.60061Andersen, Lars Nørvang; Asmussen, Søren 5 2011 Ladder height distributions with marks. Zbl 0829.60093Asmussen, Søren; Schmidt, Volker 5 1995 Some martingale methods in the limit theory of supercritical branching processes. Zbl 0402.60083Asmussen, Soren 5 1978 Risk and insurance. A graduate text. Zbl 1447.91001Asmussen, Søren; Steffensen, Mogens 5 2020 Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033Asmussen, Søren 5 2014 Large deviation results for time-dependent queue length distributions. Zbl 0646.60096Asmussen, Søren; Thorisson, Hermann 5 1988 Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 07532606Asmussen, Søren; Bladt, Mogens 1 2022 Risk and insurance. A graduate text. Zbl 1447.91001Asmussen, Søren; Steffensen, Mogens 5 2020 Matrix representations of life insurance payments. Zbl 1452.91262Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens 5 2020 Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market. Zbl 1410.91255Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, Julie 3 2019 A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068Asmussen, Søren; Ivanovs, Jevgenijs 5 2018 Discretization error for a two-sided reflected Lévy process. Zbl 1408.60036Asmussen, Søren; Ivanovs, Jevgenijs 4 2018 Stability and busy periods in a multiclass queue with state-dependent arrival rates. Zbl 1418.90086Ernst, 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 1443.60077Asmussen, Søren; Foss, Sergey 1 2018 Tail asymptotics of light-tailed Weibull-like sums. Zbl 1395.62031Asmussen, Søren; Hashorva, Enkelejd; Laub, Patrick J.; Taimre, Thomas 5 2017 Time inhomogeneity in longest gap and longest run problems. Zbl 1395.60009Asmussen, Søren; Ivanovs, Jevgenijs; Nielsen, Anders Rønn 3 2017 On the Laplace transform of the lognormal distribution. Zbl 1386.60066Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 17 2016 Exponential family techniques for the lognormal left tail. Zbl 1468.62257Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 10 2016 Markov renewal methods in restart problems in complex systems. Zbl 1354.60109Asmussen, Søren; Lipsky, Lester; Thompson, Stephen 4 2016 Approximating the Laplace transform of the sum of dependent lognormals. Zbl 1426.60021Laub, 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 1347.60029Asmussen, Søren; Kortschak, Dominik 6 2015 Lévy processes with two-sided reflection. Zbl 1338.60126Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats 5 2015 Lévy matters V. Functionals of Lévy processes. Zbl 1337.60007Andersen, 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 1305.60033Asmussen, Søren 5 2014 On exceedance times for some processes with dependent increments. Zbl 1296.60120Asmussen, Søren; Foss, Sergey 3 2014 The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul 23 2013 Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088Asmussen, 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 1300.60108Kortschak, Dominik; Asmussen, Søren 1 2013 Markov bridges, bisection and variance reduction. Zbl 1272.60057Asmussen, Søren; Hobolth, Asger 4 2012 Tail asymptotics for dependent subexponential differences. Zbl 1257.62016Albrecher, H.; Asmussen, S.; Kortschak, D. 3 2012 Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo 20 2011 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015Asmussen, Søren; Glynn, Peter W. 12 2011 Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151Asmussen, Søren; Biard, Romain 7 2011 Local time asymptotics for centered Lévy processes with two-sided reflection. Zbl 1229.60061Andersen, Lars Nørvang; Asmussen, Søren 5 2011 A note on skewness in regenerative simulation. Zbl 1209.62021Asmussen, Søren; Rydén, Tobias 1 2011 Ruin probabilities. 2nd ed. Zbl 1247.91080Asmussen, Søren; Albrecher, Hansjörg 327 2010 Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009Asmussen, Søren; Rojas-Nandayapa, Leonardo 38 2008 Asymptotic behavior of total times for jobs that must start over if a failure occurs. Zbl 1213.90096Asmussen, Søren; Fiorini, Pierre; Lipsky, Lester; Rolski, Tomasz; Sheahan, Robert 16 2008 Stochastic simulation: Algorithms and analysis. Zbl 1126.65001Asmussen, Søren; Glynn, Peter W. 245 2007 Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036Asmussen, Søren; Pihlsgård, Mats 35 2007 Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017Asmussen, Søren; Kroese, Dirk P. 44 2006 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 35 2006 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 33 2006 Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y. 13 2005 Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408Asmussen, Søren; Pihlsgård, Mats 6 2005 Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037Asmussen, Søren; Avram, Florin; Pistorius, Martijn R. 166 2004 Pricing of some exotic options with NIG-Lévy input. Zbl 1102.91330Rasmus, Sebastian; Asmussen, Søren; Wiktorsson, Magnus 1 2004 Transient properties of many-server queues and related QBDs. Zbl 1061.90027Asmussen, Søren; Pihlsgård, Mats 1 2004 Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001Asmussen, Søren 743 2003 Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry 66 2003 Risk comparisons of premium rules: Optimality and a life insurance study. Zbl 1024.62040Asmussen, Søren; Møller, Jakob R. 2 2003 Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028Asmussen, Soren; Avram, Florin; Usabel, Miguel 65 2002 A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami 26 2002 Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter 10 2002 On the tail of the waiting time in a Markov-modulated \(M/G/1\) queue. Zbl 1163.90415Asmussen, Søren; O’Cinneide, Colm 4 2002 Large deviations and fast simulation in the presence of boundaries. Zbl 1075.60576Asmussen, Søren; Fuckerieder, Pascal; Jobmann, Manfred; Schwefel, Hans-Peter 3 2002 Large deviations in rare events simulation: Examples, counterexamples and alternatives. Zbl 0998.60024Asmussen, Søren 1 2002 Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047Asmussen, Søren; Rosiński, Jan 107 2001 Calculation of the steady state waiting time distribution in GI/PH/\(c\) and MAP/PH/\(c\) queues. Zbl 0982.60096Asmussen, Søren; Møller, Jakob R. 7 2001 On optional stopping of some exponential martingales for Lévy processes with or without reflection. Zbl 1047.60038Asmussen, Søren; Kella, Offer 6 2001 Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael 121 2000 A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081Asmussen, Søren; Kella, Offer 48 2000 Rare events simulation for heavy-tailed distributions. Zbl 0958.65010Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne 30 2000 Matrix-analytic models and their analysis. Zbl 0959.60085Asmussen, Søren 24 2000 Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker 42 1999 Sampling at subexponential times, with queueing applications. Zbl 0961.60080Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 39 1999 Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077Asmussen, Søren; Bladt, Mogens 15 1999 Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071Asmussen, Søren; Møller, Jakob R. 13 1999 Sensitivity analysis of insurance risk models via simulation. Zbl 1231.91140Asmussen, Søren; Rubinstein, Reuven Y. 4 1999 Semi-Markov queues with heavy tails. Zbl 0984.60099Asmussen, Soren 3 1999 Approximations for finite horizon ruin probabilities in the renewal model. Zbl 0952.91039Asmussen, Søren; Højgaard, Bjarne 3 1999 Exact asymptotics for a large deviations problem for the GI/G/1 queue. Zbl 0948.60088Asmussen, S.; Collamore, J. F. 2 1999 Stochastic simulation with a view towards stochastic processes. Zbl 0981.65013Asmussen, Søren 2 1999 Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034Asmussen, Søren 78 1998 Extreme value theory for queues via cycle maxima. Zbl 0926.60072Asmussen, Søren 30 1998 A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040Asmussen, Søren 14 1998 An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model. Zbl 0981.60069Asmussen, Søren; Perry, David 13 1998 Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues. Zbl 0934.60082Asmussen, Søren; O’Cinneide, Colm Art 8 1998 Stationarity properties of neural networks. Zbl 0933.60097Asmussen, Søren; Turova, Tatyana S. 1 1998 Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529Asmussen, Søren; Taksar, Michael 213 1997 Ruin probabilities. Zbl 0960.60003Asmussen, Søren 150 1997 Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064Asmussen, Søren; Bladt, Mogens 37 1997 Phase-type distributions and related point processes: Fitting and recent advances. Zbl 0865.62057Asmussen, Søren 5 1997 Stationary M/G/1 excursions in the presence of heavy tails. Zbl 0876.60080Asmussen, Søren; Klüppelberg, Claudia 3 1997 Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104Asmussen, Søren; Nerman, Olle; Olsson, Marita 103 1996 Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020Asmussen, S.; Klüppelberg, C. 47 1996 Monotone stochastic recursions and their duals. Zbl 1095.60519Asmussen, Søren; Sigman, Karl 17 1996 Rate modulation in dams and ruin problems. Zbl 0860.60060Asmussen, Søren; Kella, Offer 13 1996 Phase-type distributions and risk processes with state-dependent premiums. Zbl 0876.62089Asmussen, Søren; Bladt, Mogens 8 1996 Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081Asmussen, Søren; Teugels, Jozef L. 8 1996 Finite horizon ruin probabilities for Markov-modulated risk processes with heavy tails. Zbl 0892.62078Asmussen, Søren; Højgaard, Bjarne 4 1996 Rare events in the presence of heavy tails. Zbl 0856.60101Asmussen, Søren 1 1996 Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086Asmussen, Søren 101 1995 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147Asmussen, Søren; Glynn, Peter; Pitman, Jim 39 1995 Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080Perry, David; Asmussen, Søren 30 1995 Steady state rare events simulation in queueing models and its complexity properties. Zbl 0848.60085Asmussen, Søren; Rubinstein, Reuven Y. 18 1995 Ruin probabilities via local adjustment coefficients. Zbl 0834.60099Asmussen, Søren; Nielsen, Hanne Mandrup 16 1995 Stationary distributions via first passage times. Zbl 0866.60077Asmussen, Søren 12 1995 Ladder height distributions with marks. Zbl 0829.60093Asmussen, Søren; Schmidt, Volker 5 1995 Risk theory in a periodic environment: The Cramér-Lundberg approximation and Lundberg’s inequality. Zbl 0801.60091Asmussen, Søren; Rolski, Tomasz 21 1994 Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia 19 1994 Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086Asmussen, Søren 16 1994 Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093Asmussen, Søren; Bladt, Mogens 13 1994 Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li 6 1994 A sample path approach to mean busy periods for Markov-modulated queues and fluids. Zbl 0826.60085Asmussen, Søren; Bladt, Mogens 4 1994 Regenerative simulation of TES processes. Zbl 0804.65146Asmussen, Søren; Melamed, Benjamin 2 1994 ...and 43 more Documents all cited Publications top 5 cited Publications 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 all top 5 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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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