Edit Profile Asmussen, Søren Compute Distance To: Compute Author ID: asmussen.soren 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: 155 Publications since 1976, including 10 Books 5 Contributions as Editor Reviewing Activity: 97 Reviews Biographic References: 1 Publication all top 5 Co-Authors 39 single-authored 7 Glynn, Peter W. 7 Rubinstein, Reuven Y. 6 Bladt, Mogens 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. 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 Thøgersen, Julie 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 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 13 Journal of Applied Probability 13 Stochastic Processes and their Applications 12 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 Extremes 2 Probability in the Engineering and Informational Sciences 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 Finance and Stochastics 1 Markov Processes and Related Fields 1 Scandinavian Actuarial Journal 1 Theory of Stochastic Processes 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 138 Probability theory and stochastic processes (60-XX) 32 Statistics (62-XX) 31 Operations research, mathematical programming (90-XX) 28 Numerical analysis (65-XX) 24 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 141 Publications have been cited 4,373 times in 3,126 Documents Cited by ▼ Year ▼ Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001Asmussen, Søren 702 2003 Ruin probabilities. 2nd ed. Zbl 1247.91080Asmussen, Søren; Albrecher, Hansjörg 291 2010 Applied probability and queues. Zbl 0624.60098Asmussen, Søren 245 1987 Stochastic simulation: Algorithms and analysis. Zbl 1126.65001Asmussen, Søren; Glynn, Peter W. 227 2007 Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529Asmussen, Søren; Taksar, Michael 198 1997 Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037Asmussen, Søren; Avram, Florin; Pistorius, Martijn R. 152 2004 Ruin probabilities. Zbl 0960.60003Asmussen, Søren 149 1997 Branching processes. Zbl 0516.60095Asmussen, S.; Hering, H. 121 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 115 2000 Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047Asmussen, Søren; Rosiński, Jan 102 2001 Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104Asmussen, Søren; Nerman, Olle; Olsson, Marita 96 1996 Risk theory in a Markovian environment. Zbl 0684.62073Asmussen, Søren 96 1989 Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086Asmussen, Søren 91 1995 Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034Asmussen, Søren 75 1998 Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry 61 2003 Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028Asmussen, Soren; Avram, Florin; Usabel, Miguel 56 2002 Marked point processes as limits of Markovian arrival streams. Zbl 0778.60035Asmussen, Søren; Koole, Ger 49 1993 Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020Asmussen, S.; Klüppelberg, C. 47 1996 A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081Asmussen, Søren; Kella, Offer 42 2000 Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017Asmussen, Søren; Kroese, Dirk P. 42 2006 Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker 40 1999 Phase-type representations in random walk and queueing problems. Zbl 0755.60049Asmussen, Søren 38 1992 Sampling at subexponential times, with queueing applications. Zbl 0961.60080Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 38 1999 Approximations for the probability of ruin within finite time. Zbl 0568.62092Asmussen, Søren 37 1984 Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009Asmussen, Søren; Rojas-Nandayapa, Leonardo 37 2008 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147Asmussen, Søren; Glynn, Peter; Pitman, Jim 35 1995 Computational methods in risk theory: a matrix-algorithmic approach. Zbl 0748.62058Asmussen, Søren; Rolski, Tomasz 34 1992 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 34 1982 Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036Asmussen, Søren; Pihlsgård, Mats 34 2007 Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064Asmussen, Søren; Bladt, Mogens 32 1997 Stationarity detection in the initial transient problem. Zbl 0842.68106Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann 31 1992 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 31 2006 Extreme value theory for queues via cycle maxima. Zbl 0926.60072Asmussen, Søren 30 1998 Rare events simulation for heavy-tailed distributions. Zbl 0958.65010Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne 30 2000 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 30 2006 Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080Perry, David; Asmussen, Søren 29 1995 Collapsibility and response variables in contingency tables. Zbl 0549.62041Asmussen, Søren; Edwards, David 28 1983 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 Strong limit theorems for general supercritical branching processes with applications to branching diffusions. Zbl 0325.60081Asmussen, Soren; Hering, Heinrich 26 1976 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 Branching random walks. II. Zbl 0322.60065Kaplan, Norman; Asmussen, Soren 23 1976 The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul 22 2013 Risk theory in a periodic environment: The Cramér-Lundberg approximation and Lundberg’s inequality. Zbl 0801.60091Asmussen, Søren; Rolski, Tomasz 20 1994 Branching random walks. I. Zbl 0317.60034Asmussen, Soren; Kaplan, Norman 20 1976 Ladder heights and the Markov-modulated M/G/1 queue. Zbl 0734.60091Asmussen, Søren 19 1991 Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo 19 2011 Steady state rare events simulation in queueing models and its complexity properties. Zbl 0848.60085Asmussen, Søren; Rubinstein, Reuven Y. 18 1995 Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia 18 1994 On cycle maxima, first passage problems and extreme value theory for queues. Zbl 0762.60086Asmussen, Søren; Perry, David 17 1992 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 Ruin probabilities via local adjustment coefficients. Zbl 0834.60099Asmussen, Søren; Nielsen, Hanne Mandrup 16 1995 Ruin probabilities expressed in terms of storage processes. Zbl 0657.60111Asmussen, Søren; Petersen, Søren Schock 16 1988 Monotone stochastic recursions and their duals. Zbl 1095.60519Asmussen, Søren; Sigman, Karl 15 1996 Necessary and sufficient conditions for complete convergence in the law of large numbers. Zbl 0426.60026Asmussen, Soren; Kurtz, Thomas G. 15 1980 On the Laplace transform of the lognormal distribution. Zbl 1386.60066Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 14 2016 Queueing simulation in heavy traffic. Zbl 0754.60101Asmussen, Søren 14 1992 A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040Asmussen, Søren 14 1998 Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086Asmussen, Søren 14 1994 Convergence rates for branching processes. Zbl 0329.60053Asmussen, Soren 14 1976 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 Aspects of matrix Wiener-Hopf factorisation in applied probability. Zbl 0688.60055Asmussen, Søren 13 1989 Rate modulation in dams and ruin problems. Zbl 0860.60060Asmussen, Søren; Kella, Offer 12 1996 Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093Asmussen, Søren; Bladt, Mogens 12 1994 Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y. 12 2005 Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077Asmussen, Søren; Bladt, Mogens 12 1999 Martingale central limit theorems and asymptotic estimation theory for multitype branching processes. Zbl 0391.60076Asmussen, Soren; Keiding, Niels 12 1978 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 11 1995 Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter 10 2002 A Markov chain approach to periodic queues. Zbl 0623.60116Asmussen, Søren; Thorisson, Hermann 10 1987 Strong limit theorems for supercritical immigration-branching processes. Zbl 0348.60117Asmussen, Soren; Hering, Heinrich 10 1977 Exponential family techniques for the lognormal left tail. Zbl 1468.62257Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 9 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 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 Phase-type distributions and risk processes with state-dependent premiums. Zbl 0876.62089Asmussen, Søren; Bladt, Mogens 8 1996 Almost sure behavior of linear functionals of supercritical branching processes. Zbl 0376.60083Asmussen, Soren 8 1977 Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081Asmussen, Søren; Teugels, Jozef L. 8 1996 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 The heavy traffic limit of a class of Markovian queueing models. Zbl 0632.60065Asmussen, Søren 7 1987 Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151Asmussen, Søren; Biard, Romain 7 2011 Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li 6 1994 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 Some martingale methods in the limit theory of supercritical branching processes. Zbl 0402.60083Asmussen, Soren 6 1978 Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029Asmussen, Søren; Kortschak, Dominik 6 2015 On some two-sex population models. Zbl 0442.60080Asmussen, Soren 6 1980 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 Renovation, regeneration, and coupling in multiple-server queues in continuous time. Zbl 0814.60087Asmussen, S.; Foss, S. G. 5 1993 Tail asymptotics of light-tailed Weibull-like sums. Zbl 1395.62031Asmussen, Søren; Hashorva, Enkelejd; Laub, Patrick J.; Taimre, Thomas 5 2017 Large deviation results for time-dependent queue length distributions. Zbl 0646.60096Asmussen, Søren; Thorisson, Hermann 5 1988 Phase-type distributions and related point processes: Fitting and recent advances. Zbl 0865.62057Asmussen, Søren 5 1997 Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408Asmussen, Søren; Pihlsgård, Mats 5 2005 Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael 5 2013 On coupling and weak convergence to stationarity. Zbl 0765.60023Asmussen, Søren 4 1992 Matrix representations of life insurance payments. Zbl 1452.91262Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens 2 2020 Risk and insurance. A graduate text. Zbl 1447.91001Asmussen, Søren; Steffensen, Mogens 1 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 2 2019 Discretization error for a two-sided reflected Lévy process. Zbl 1408.60036Asmussen, Søren; Ivanovs, Jevgenijs 3 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 A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068Asmussen, Søren; Ivanovs, Jevgenijs 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 14 2016 Exponential family techniques for the lognormal left tail. Zbl 1468.62257Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 9 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 3 2015 Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033Asmussen, Søren 4 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 22 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 Tail asymptotics for dependent subexponential differences. Zbl 1257.62016Albrecher, H.; Asmussen, S.; Kortschak, D. 3 2012 Markov bridges, bisection and variance reduction. Zbl 1272.60057Asmussen, Søren; Hobolth, Asger 3 2012 Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo 19 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 291 2010 Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009Asmussen, Søren; Rojas-Nandayapa, Leonardo 37 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. 227 2007 Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036Asmussen, Søren; Pihlsgård, Mats 34 2007 Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017Asmussen, Søren; Kroese, Dirk P. 42 2006 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 31 2006 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022Albrecher, Hansjörg; Asmussen, Søren 30 2006 Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y. 12 2005 Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408Asmussen, Søren; Pihlsgård, Mats 5 2005 Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037Asmussen, Søren; Avram, Florin; Pistorius, Martijn R. 152 2004 Transient properties of many-server queues and related QBDs. Zbl 1061.90027Asmussen, Søren; Pihlsgård, Mats 1 2004 Pricing of some exotic options with NIG-Lévy input. Zbl 1102.91330Rasmus, Sebastian; Asmussen, Søren; Wiktorsson, Magnus 1 2004 Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001Asmussen, Søren 702 2003 Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry 61 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 56 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 2 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 102 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 115 2000 A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081Asmussen, Søren; Kella, Offer 42 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 40 1999 Sampling at subexponential times, with queueing applications. Zbl 0961.60080Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 38 1999 Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071Asmussen, Søren; Møller, Jakob R. 13 1999 Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077Asmussen, Søren; Bladt, Mogens 12 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 75 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 198 1997 Ruin probabilities. Zbl 0960.60003Asmussen, Søren 149 1997 Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064Asmussen, Søren; Bladt, Mogens 32 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 96 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 15 1996 Rate modulation in dams and ruin problems. Zbl 0860.60060Asmussen, Søren; Kella, Offer 12 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 91 1995 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147Asmussen, Søren; Glynn, Peter; Pitman, Jim 35 1995 Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080Perry, David; Asmussen, Søren 29 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 11 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 20 1994 Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia 18 1994 Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086Asmussen, Søren 14 1994 Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093Asmussen, Søren; Bladt, Mogens 12 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 3 1994 Regenerative simulation of TES processes. Zbl 0804.65146Asmussen, Søren; Melamed, Benjamin 2 1994 Marked point processes as limits of Markovian arrival streams. Zbl 0778.60035Asmussen, Søren; Koole, Ger 49 1993 Renovation, regeneration, and coupling in multiple-server queues in continuous time. Zbl 0814.60087Asmussen, S.; Foss, S. G. 5 1993 ...and 41 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,123 Authors 69 Asmussen, Søren 62 Mandjes, Michel Robertus Hendrikus 46 Yang, Hailiang 40 Boxma, Onno Johan 38 Glynn, Peter W. 38 Zwart, Bert P. 34 Palmowski, Zbigniew 33 Albrecher, Hansjörg 30 Blanchet, Jose H. 30 Ivanovs, Jevgeņijs 29 Perry, David 29 Zhang, Zhimin 25 Cheung, Eric C. K. 24 Foss, Sergey G. 23 Chen, Anyue 23 Kyprianou, Andreas E. 22 Avram, Florin 22 Latouche, Guy 22 Li, Junping 22 Stadje, Wolfgang 22 Wang, Yuebao 21 Tang, Qihe 21 Whitt, Ward 20 Yamazaki, Kazutoshi 20 Yin, Chuancun 19 He, Qi-Ming 18 Kella, Offer 18 Landriault, David 17 Bladt, Mogens 17 Dębicki, Krzysztof 17 van Leeuwaarden, Johan S. H. 17 Yuen, Kam Chuen 16 Guo, Junyi 16 Jin, Zhuo 16 Pistorius, Martijn R. 16 Wang, Kaiyong 16 Willmot, Gordon E. 16 Yang, Hu 16 Yang, Yang 15 Badescu, Andrei L. 15 Breuer, Lothar 15 Frostig, Esther 15 Hashorva, Enkelejd 15 Li, Shuanming 15 Loisel, Stéphane 15 Sigman, Karl 15 Vlasiou, Maria 14 Ahn, Soohan 14 Klüppelberg, Claudia 14 Stanford, David A. 13 Lefèvre, Claude 13 Liu, Jingchen 13 Taylor, Peter Gerrard 12 Adan, Ivo J. B. F. 12 Dieker, A. B. 12 Kortschak, Dominik 12 Miyazawa, Masakiyo 12 Pérez Garmendia, Jose Luis 12 Ren, Jiandong 12 Rolski, Tomasz 12 Schmidli, Hanspeter 12 Wu, Rong 12 Zhao, Yiqiang Q. 11 Alsmeyer, Gerold 11 Borovkov, Aleksandr Alekseevich 11 Gatto, Riccardo 11 Janssen, Augustus Josephus Elizabeth Maria 11 Krishnamoorthy, Achyutha 11 Masuyama, Hiroyuki 11 Rabehasaina, Landy 11 Ren, Yanxia 11 Samorodnitsky, Gennady Pinkhosovich 11 Song, Renming 11 Wang, Rongming 10 Afanaseva, Larisa G. 10 Bean, Nigel G. 10 Korshunov, Dmitry Alekseevich 10 Li, Quanlin 10 Lu, Yi 10 O’Reilly, Małgorzata M. 10 Politis, Konstadinos 10 Ramaswami, Vaidyanathan 10 Siu, Tak Kuen 10 Yin, Gang George 9 Barron, Yonit 9 Bäuerle, Nicole 9 Bertail, Patrice 9 Cai, Jun 9 Clémençon, Stéphan 9 Denisov, Denis E. 9 Dickson, David C. M. 9 Gao, Zhiqiang 9 Grandits, Peter 9 Kim, Bara 9 Macci, Claudio 9 Malinovskiĭ, Vsevolod Konstantinovich 9 Maller, Ross Arthur 9 Rojas-Nandayapa, Leonardo 9 Rubinstein, Reuven Y. 9 Taksar, Michael I. ...and 3,023 more Authors all top 5 Cited in 317 Serials 253 Insurance Mathematics & Economics 207 Queueing Systems 194 Journal of Applied Probability 158 Stochastic Processes and their Applications 114 Advances in Applied Probability 111 The Annals of Applied Probability 111 Stochastic Models 97 Statistics & Probability Letters 92 Methodology and Computing in Applied Probability 80 Scandinavian Actuarial Journal 67 Journal of Computational and Applied Mathematics 59 Annals of Operations Research 55 European Journal of Operational Research 45 Operations Research Letters 37 Probability in the Engineering and Informational Sciences 35 Bernoulli 33 ASTIN Bulletin 30 The Annals of Probability 26 Acta Mathematicae Applicatae Sinica. 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Theory and Applications 7 Ukrainian Mathematical Journal 7 Mathematics of Operations Research 7 Mathematical and Computer Modelling 7 Journal of Statistical Computation and Simulation 7 Linear Algebra and its Applications 7 SIAM Journal on Scientific Computing 7 Electronic Journal of Probability 7 Discrete Dynamics in Nature and Society 6 Operations Research 6 SIAM Journal on Control and Optimization 6 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete 6 Sequential Analysis 6 Communications in Statistics. Simulation and Computation 6 Journal of the Korean Statistical Society 6 Journal of Theoretical Biology 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 5 SIAM Journal on Applied Mathematics 5 Statistical Inference for Stochastic Processes 5 Multiscale Modeling & Simulation 5 Sibirskie Èlektronnye Matematicheskie Izvestiya ...and 217 more Serials all top 5 Cited in 44 Fields 2,359 Probability theory and stochastic processes (60-XX) 1,074 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 664 Operations research, mathematical programming (90-XX) 603 Statistics (62-XX) 326 Numerical analysis (65-XX) 217 Systems theory; control (93-XX) 190 Computer science (68-XX) 95 Biology and other natural sciences (92-XX) 74 Calculus of variations and optimal control; optimization (49-XX) 47 Statistical mechanics, structure of matter (82-XX) 39 Partial differential equations (35-XX) 37 Combinatorics (05-XX) 30 Integral equations (45-XX) 29 Integral transforms, operational calculus (44-XX) 22 Ordinary differential equations (34-XX) 18 Dynamical systems and ergodic theory (37-XX) 17 Linear and multilinear algebra; matrix theory (15-XX) 14 Approximations and expansions (41-XX) 13 Operator theory (47-XX) 10 Number theory (11-XX) 9 Fluid mechanics (76-XX) 9 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 Difference and functional equations (39-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 4 Real functions (26-XX) 4 Geophysics (86-XX) 3 General and overarching topics; collections (00-XX) 3 Field theory and polynomials (12-XX) 3 Functional analysis (46-XX) 3 Global analysis, analysis on manifolds (58-XX) 3 Classical thermodynamics, heat transfer (80-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) 2 Mathematics education (97-XX) 1 Mathematical logic and foundations (03-XX) 1 Commutative algebra (13-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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