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Author ID: asmussen.soren Recent zbMATH articles by "Asmussen, Søren"
Published as: Asmussen, Søren; Asmussen, Soren; Asmussen, S.; Asmussen, Soeren; Asmussen, Sœren
Homepage: https://pure.au.dk/portal/en/persons/soeren-asmussen(be9c4660-125f-4cc3-97f7-fda...
External Links: MGP · ORCID · Wikidata · Google Scholar · dblp · GND · IdRef
Documents Indexed: 164 Publications since 1976, including 10 Books and 3 Additional arXiv Preprints
5 Contributions as Editor
Reviewing Activity: 97 Reviews
Biographic References: 1 Publication
Co-Authors: 93 Co-Authors with 128 Joint Publications
2,225 Co-Co-Authors
all top 5

Co-Authors

40 single-authored
10 Bladt, Mogens
8 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 Laub, Patrick J.
3 Møller, Jakob Riishede
3 Perry, David
3 Rolski, Tomasz
3 Schmidt, Volker
3 Steffensen, Mogens
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 Lipsky, Lester R.
2 Nerman, Olle
2 O’Cinneide, Colm Art
2 Pistorius, Martijn R.
2 Schwefel, Hans-Peter
2 Sigman, Karl
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 Goffard, Pierre-Olivier
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 Madan, Dilip B.
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 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 Bernoulli
3 Methodology and Computing in Applied Probability
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 Finance and Stochastics
2 Extremes
2 Probability in the Engineering and Informational Sciences
2 Scandinavian Actuarial Journal
2 Advanced Series on Statistical Science & Applied Probability
2 European Actuarial Journal
1 Mathematical Biosciences
1 The Annals of Statistics
1 The Australian Journal of Statistics
1 Biometrika
1 Management Science
1 Mathematica Scandinavica
1 The Mathematical Scientist
1 Operations Research
1 Siberian Mathematical Journal
1 Statistica Neerlandica
1 Transactions of the American Mathematical Society
1 Operations Research Letters
1 Probability and Mathematical Statistics
1 Acta Applicandae Mathematicae
1 Journal of Theoretical Probability
1 Journal of Applied Mathematics and Stochastic Analysis
1 Annals of Operations Research
1 Communications in Statistics. Simulation and Computation
1 Elektronische Informationsverarbeitung und Kybernetik
1 SIAM Review
1 Journal of Mathematical Sciences (New York)
1 ACM Transactions on Modeling and Computer Simulation
1 Markov Processes and Related Fields
1 Theory of Stochastic Processes
1 Quantitative Finance
1 ASTIN Bulletin
1 Oberwolfach Reports
1 Stochastics
1 Lecture Notes in Mathematics
1 Stochastic Modelling and Applied Probability
1 Journal of Statistical Theory and Practice
1 Stochastic Systems
1 Applications of Mathematics
1 Probability Theory and Stochastic Modelling
1 Wiley Series in Probability and Mathematical Statistics
1 Progress in Probability and Statistics

Publications by Year

Citations contained in zbMATH Open

146 Publications have been cited 5,083 times in 3,659 Documents Cited by Year
Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001
Asmussen, Søren
826
2003
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
383
2010
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
286
2007
Applied probability and queues. Zbl 0624.60098
Asmussen, Søren
270
1987
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
222
1997
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
174
2004
Ruin probabilities. Zbl 0960.60003
Asmussen, Søren
158
1997
Branching processes. Zbl 0516.60095
Asmussen, S.; Hering, H.
144
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
128
2000
Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047
Asmussen, Søren; Rosiński, Jan
122
2001
Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104
Asmussen, Søren; Nerman, Olle; Olsson, Marita
115
1996
Risk theory in a Markovian environment. Zbl 0684.62073
Asmussen, Søren
106
1989
Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086
Asmussen, Søren
103
1995
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
80
1998
Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053
Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry
71
2003
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
69
2002
Marked point processes as limits of Markovian arrival streams. Zbl 0778.60035
Asmussen, Søren; Koole, Ger
55
1993
A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081
Asmussen, Søren; Kella, Offer
53
2000
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
49
1996
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
46
1995
Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017
Asmussen, Søren; Kroese, Dirk P.
45
2006
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
43
1999
Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064
Asmussen, Søren; Bladt, Mogens
43
1997
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
43
1999
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
43
2006
Phase-type representations in random walk and queueing problems. Zbl 0755.60049
Asmussen, Søren
41
1992
Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009
Asmussen, Søren; Rojas-Nandayapa, Leonardo
41
2008
Approximations for the probability of ruin within finite time. Zbl 0568.62092
Asmussen, Søren
39
1984
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
38
1982
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
36
2006
Computational methods in risk theory: a matrix-algorithmic approach. Zbl 0748.62058
Asmussen, Søren; Rolski, Tomasz
35
1992
Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036
Asmussen, Søren; Pihlsgård, Mats
35
2007
Extreme value theory for queues via cycle maxima. Zbl 0926.60072
Asmussen, Søren
34
1998
Stationarity detection in the initial transient problem. Zbl 0842.68106
Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann
34
1992
Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080
Perry, David; Asmussen, Søren
31
1995
Rare events simulation for heavy-tailed distributions. Zbl 0958.65010
Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne
30
2000
Strong limit theorems for general supercritical branching processes with applications to branching diffusions. Zbl 0325.60081
Asmussen, Soren; Hering, Heinrich
30
1976
Collapsibility and response variables in contingency tables. Zbl 0549.62041
Asmussen, Søren; Edwards, David
29
1983
The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112
Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul
28
2013
Branching random walks. II. Zbl 0322.60065
Kaplan, Norman; Asmussen, Soren
27
1976
A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047
Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami
26
2002
Matrix-analytic models and their analysis. Zbl 0959.60085
Asmussen, Søren
26
2000
Branching random walks. I. Zbl 0317.60034
Asmussen, Soren; Kaplan, Norman
25
1976
Risk theory in a periodic environment: The Cramér-Lundberg approximation and Lundberg’s inequality. Zbl 0801.60091
Asmussen, Søren; Rolski, Tomasz
25
1994
Conjugate processes and the simulation of ruin problems. Zbl 0574.60095
Asmussen, Søren
24
1985
Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027
Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo
23
2011
Ladder heights and the Markov-modulated M/G/1 queue. Zbl 0734.60091
Asmussen, Søren
21
1991
Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067
Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia
19
1994
Monotone stochastic recursions and their duals. Zbl 1095.60519
Asmussen, Søren; Sigman, Karl
19
1996
Convergence rates for branching processes. Zbl 0329.60053
Asmussen, Soren
19
1976
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
19
2016
Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086
Asmussen, Søren
18
1994
Steady state rare events simulation in queueing models and its complexity properties. Zbl 0848.60085
Asmussen, Søren; Rubinstein, Reuven Y.
18
1995
Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077
Asmussen, Søren; Bladt, Mogens
18
1999
Ruin probabilities expressed in terms of storage processes. Zbl 0657.60111
Asmussen, Søren; Petersen, Søren Schock
18
1988
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
18
2008
Queueing simulation in heavy traffic. Zbl 0754.60101
Asmussen, Søren
17
1992
On cycle maxima, first passage problems and extreme value theory for queues. Zbl 0762.60086
Asmussen, Søren; Perry, David
17
1992
Ruin probabilities via local adjustment coefficients. Zbl 0834.60099
Asmussen, Søren; Nielsen, Hanne Mandrup
16
1995
Rate modulation in dams and ruin problems. Zbl 0860.60060
Asmussen, Søren; Kella, Offer
15
1996
A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040
Asmussen, Søren
15
1998
Necessary and sufficient conditions for complete convergence in the law of large numbers. Zbl 0426.60026
Asmussen, Soren; Kurtz, Thomas G.
15
1980
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
15
2011
Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071
Asmussen, Søren; Møller, Jakob R.
14
1999
Stationary distributions via first passage times. Zbl 0866.60077
Asmussen, Søren
14
1995
Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093
Asmussen, Søren; Bladt, Mogens
14
1994
An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model. Zbl 0981.60069
Asmussen, Søren; Perry, David
13
1998
Aspects of matrix Wiener-Hopf factorisation in applied probability. Zbl 0688.60055
Asmussen, Søren
13
1989
Heavy tails, importance sampling and cross-entropy. Zbl 1073.62028
Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y.
13
2005
Martingale central limit theorems and asymptotic estimation theory for multitype branching processes. Zbl 0391.60076
Asmussen, Soren; Keiding, Niels
12
1978
Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018
Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter
10
2002
A Markov chain approach to periodic queues. Zbl 0623.60116
Asmussen, Søren; Thorisson, Hermann
10
1987
Exponential family techniques for the lognormal left tail. Zbl 1468.62257
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
10
2016
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
10
2015
Strong limit theorems for supercritical immigration-branching processes. Zbl 0348.60117
Asmussen, Soren; Hering, Heinrich
10
1977
Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory. Zbl 0744.60108
Asmussen, Soren; Ramaswami, V.
10
1990
Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081
Asmussen, Søren; Teugels, Jozef L.
9
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
9
1998
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.
9
2001
The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models. Zbl 0745.65088
Asmussen, Søren; Rubinstein, Reuven Y.
9
1992
Light traffic equivalence in single-server queues. Zbl 0762.60085
Asmussen, Søren
9
1992
Exponential families generated by phase-type distributions and other Markov lifetimes. Zbl 0697.60076
Asmussen, Søren
9
1989
Risk and insurance. A graduate text. Zbl 1447.91001
Asmussen, Søren; Steffensen, Mogens
9
2020
Phase-type distributions and risk processes with state-dependent premiums. Zbl 0876.62089
Asmussen, Søren; Bladt, Mogens
8
1996
The heavy traffic limit of a class of Markovian queueing models. Zbl 0632.60065
Asmussen, Søren
8
1987
Almost sure behavior of linear functionals of supercritical branching processes. Zbl 0376.60083
Asmussen, Soren
8
1977
A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068
Asmussen, Søren; Ivanovs, Jevgenijs
7
2018
Matrix representations of life insurance payments. Zbl 1452.91262
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens
7
2020
Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408
Asmussen, Søren; Pihlsgård, Mats
7
2005
Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029
Asmussen, Søren; Kortschak, Dominik
7
2015
Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151
Asmussen, Søren; Biard, Romain
7
2011
Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101
Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li
6
1994
On optional stopping of some exponential martingales for Lévy processes with or without reflection. Zbl 1047.60038
Asmussen, Søren; Kella, Offer
6
2001
Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088
Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael
6
2013
Some martingale methods in the limit theory of supercritical branching processes. Zbl 0402.60083
Asmussen, Soren
6
1978
Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033
Asmussen, Søren
6
2014
On some two-sex population models. Zbl 0442.60080
Asmussen, Soren
6
1980
Equilibrium properties of the M/G/1 queue. Zbl 0464.60089
Asmussen, Soren
6
1981
Phase-type distributions and related point processes: Fitting and recent advances. Zbl 0865.62057
Asmussen, Søren
5
1997
Renovation, regeneration, and coupling in multiple-server queues in continuous time. Zbl 0814.60087
Asmussen, S.; Foss, S. G.
5
1993
Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 1490.91204
Asmussen, Søren; Bladt, Mogens
1
2022
Moments and polynomial expansions in discrete matrix-analytic models. Zbl 1489.60027
Asmussen, Søren; Bladt, Mogens
1
2022
Risk and insurance. A graduate text. Zbl 1447.91001
Asmussen, Søren; Steffensen, Mogens
9
2020
Matrix representations of life insurance payments. Zbl 1452.91262
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens
7
2020
Nash equilibrium premium strategies for push-pull competition in a frictional non-life insurance market. Zbl 1410.91255
Asmussen, Søren; Christensen, Bent Jesper; Thøgersen, Julie
3
2019
A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068
Asmussen, Søren; Ivanovs, Jevgenijs
7
2018
Discretization error for a two-sided reflected Lévy process. Zbl 1408.60036
Asmussen, Søren; Ivanovs, Jevgenijs
4
2018
Regular variation in a fixed-point problem for single- and multi-class branching processes and queues. Zbl 1443.60077
Asmussen, Søren; Foss, Sergey
3
2018
Stability and busy periods in a multiclass queue with state-dependent arrival rates. Zbl 1418.90086
Ernst, Philip A.; Asmussen, Søren; Hasenbein, John J.
2
2018
Tail asymptotics of light-tailed Weibull-like sums. Zbl 1395.62031
Asmussen, Søren; Hashorva, Enkelejd; Laub, Patrick J.; Taimre, Thomas
5
2017
Time inhomogeneity in longest gap and longest run problems. Zbl 1395.60009
Asmussen, Søren; Ivanovs, Jevgenijs; Nielsen, Anders Rønn
4
2017
On preemptive-repeat LIFO queues. Zbl 1388.90035
Asmussen, Søren; Glynn, Peter W.
1
2017
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
19
2016
Exponential family techniques for the lognormal left tail. Zbl 1468.62257
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
10
2016
Markov renewal methods in restart problems in complex systems. Zbl 1354.60109
Asmussen, Søren; Lipsky, Lester; Thompson, Stephen
5
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
4
2016
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
10
2015
Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029
Asmussen, Søren; Kortschak, Dominik
7
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
2
2015
Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033
Asmussen, Søren
6
2014
On exceedance times for some processes with dependent increments. Zbl 1296.60120
Asmussen, Søren; Foss, Sergey
3
2014
The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112
Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul
28
2013
Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088
Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael
6
2013
Second order corrections for the limits of normalized ruin times in the presence of heavy tails. Zbl 1300.60108
Kortschak, Dominik; Asmussen, Søren
1
2013
Markov bridges, bisection and variance reduction. Zbl 1272.60057
Asmussen, Søren; Hobolth, Asger
4
2012
Tail asymptotics for dependent subexponential differences. Zbl 1257.62016
Albrecher, H.; Asmussen, S.; Kortschak, D.
3
2012
Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027
Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo
23
2011
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
15
2011
Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151
Asmussen, Søren; Biard, Romain
7
2011
Local time asymptotics for centered Lévy processes with two-sided reflection. Zbl 1229.60061
Andersen, Lars Nørvang; Asmussen, Søren
5
2011
A note on skewness in regenerative simulation. Zbl 1209.62021
Asmussen, Søren; Rydén, Tobias
1
2011
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
383
2010
Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009
Asmussen, Søren; Rojas-Nandayapa, Leonardo
41
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
18
2008
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
286
2007
Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036
Asmussen, Søren; Pihlsgård, Mats
35
2007
Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017
Asmussen, Søren; Kroese, Dirk P.
45
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
43
2006
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
36
2006
Heavy tails, importance sampling and cross-entropy. Zbl 1073.62028
Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y.
13
2005
Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408
Asmussen, Søren; Pihlsgård, Mats
7
2005
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
174
2004
Transient properties of many-server queues and related QBDs. Zbl 1061.90027
Asmussen, Søren; Pihlsgård, Mats
1
2004
Pricing of some exotic options with NIG-Lévy input. Zbl 1102.91330
Rasmus, Sebastian; Asmussen, Søren; Wiktorsson, Magnus
1
2004
Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001
Asmussen, Søren
826
2003
Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053
Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry
71
2003
Risk comparisons of premium rules: Optimality and a life insurance study. Zbl 1024.62040
Asmussen, Søren; Møller, Jakob R.
3
2003
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
69
2002
A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047
Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami
26
2002
Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018
Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter
10
2002
On the tail of the waiting time in a Markov-modulated \(M/G/1\) queue. Zbl 1163.90415
Asmussen, Søren; O’Cinneide, Colm
4
2002
Large deviations and fast simulation in the presence of boundaries. Zbl 1075.60576
Asmussen, Søren; Fuckerieder, Pascal; Jobmann, Manfred; Schwefel, Hans-Peter
3
2002
Large deviations in rare events simulation: Examples, counterexamples and alternatives. Zbl 0998.60024
Asmussen, Søren
1
2002
Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047
Asmussen, Søren; Rosiński, Jan
122
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.
9
2001
On optional stopping of some exponential martingales for Lévy processes with or without reflection. Zbl 1047.60038
Asmussen, Søren; Kella, Offer
6
2001
Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Zbl 0958.91026
Asmussen, Søren; Højgaard, Bjarne; Taksar, Michael
128
2000
A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081
Asmussen, Søren; Kella, Offer
53
2000
Rare events simulation for heavy-tailed distributions. Zbl 0958.65010
Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne
30
2000
Matrix-analytic models and their analysis. Zbl 0959.60085
Asmussen, Søren
26
2000
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
43
1999
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
43
1999
Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077
Asmussen, Søren; Bladt, Mogens
18
1999
Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071
Asmussen, Søren; Møller, Jakob R.
14
1999
Sensitivity analysis of insurance risk models via simulation. Zbl 1231.91140
Asmussen, Søren; Rubinstein, Reuven Y.
4
1999
Approximations for finite horizon ruin probabilities in the renewal model. Zbl 0952.91039
Asmussen, Søren; Højgaard, Bjarne
3
1999
Semi-Markov queues with heavy tails. Zbl 0984.60099
Asmussen, Soren
3
1999
Exact asymptotics for a large deviations problem for the GI/G/1 queue. Zbl 0948.60088
Asmussen, S.; Collamore, J. F.
2
1999
Stochastic simulation with a view towards stochastic processes. Zbl 0981.65013
Asmussen, Søren
2
1999
Failure rates of regenerative systems with heavy tails. Zbl 0954.60073
Asmussen, S.; Kalashnikov, V.
1
1999
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
80
1998
Extreme value theory for queues via cycle maxima. Zbl 0926.60072
Asmussen, Søren
34
1998
A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040
Asmussen, Søren
15
1998
An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model. Zbl 0981.60069
Asmussen, Søren; Perry, David
13
1998
Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues. Zbl 0934.60082
Asmussen, Søren; O’Cinneide, Colm Art
9
1998
Stationarity properties of neural networks. Zbl 0933.60097
Asmussen, Søren; Turova, Tatyana S.
1
1998
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
222
1997
Ruin probabilities. Zbl 0960.60003
Asmussen, Søren
158
1997
Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064
Asmussen, Søren; Bladt, Mogens
43
1997
Phase-type distributions and related point processes: Fitting and recent advances. Zbl 0865.62057
Asmussen, Søren
5
1997
Stationary M/G/1 excursions in the presence of heavy tails. Zbl 0876.60080
Asmussen, Søren; Klüppelberg, Claudia
3
1997
Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104
Asmussen, Søren; Nerman, Olle; Olsson, Marita
115
1996
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
49
1996
Monotone stochastic recursions and their duals. Zbl 1095.60519
Asmussen, Søren; Sigman, Karl
19
1996
Rate modulation in dams and ruin problems. Zbl 0860.60060
Asmussen, Søren; Kella, Offer
15
1996
Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081
Asmussen, Søren; Teugels, Jozef L.
9
1996
Phase-type distributions and risk processes with state-dependent premiums. Zbl 0876.62089
Asmussen, Søren; Bladt, Mogens
8
1996
Finite horizon ruin probabilities for Markov-modulated risk processes with heavy tails. Zbl 0892.62078
Asmussen, Søren; Højgaard, Bjarne
4
1996
Rare events in the presence of heavy tails. Zbl 0856.60101
Asmussen, Søren
1
1996
Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086
Asmussen, Søren
103
1995
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
46
1995
Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080
Perry, David; Asmussen, Søren
31
1995
Steady state rare events simulation in queueing models and its complexity properties. Zbl 0848.60085
Asmussen, Søren; Rubinstein, Reuven Y.
18
1995
Ruin probabilities via local adjustment coefficients. Zbl 0834.60099
Asmussen, Søren; Nielsen, Hanne Mandrup
16
1995
Stationary distributions via first passage times. Zbl 0866.60077
Asmussen, Søren
14
1995
Ladder height distributions with marks. Zbl 0829.60093
Asmussen, Søren; Schmidt, Volker
5
1995
Risk theory in a periodic environment: The Cramér-Lundberg approximation and Lundberg’s inequality. Zbl 0801.60091
Asmussen, Søren; Rolski, Tomasz
25
1994
Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067
Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia
19
1994
Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086
Asmussen, Søren
18
1994
Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093
Asmussen, Søren; Bladt, Mogens
14
1994
...and 46 more Documents
all top 5

Cited by 3,680 Authors

76 Asmussen, Søren
74 Mandjes, Michel Robertus Hendrikus
48 Boxma, Onno Johan
47 Yang, Hailiang
46 Albrecher, Hansjörg
43 Glynn, Peter W.
42 Palmowski, Zbigniew
39 Zhang, Zhimin
39 Zwart, Bert P.
32 Ivanovs, Jevgeņijs
32 Perry, David
31 Blanchet, Jose H.
31 Cheung, Eric C. K.
29 Foss, Sergey G.
25 Chen, Anyue
25 Kyprianou, Andreas E.
25 Li, Junping
25 Whitt, Ward
24 Latouche, Guy
24 Stadje, Wolfgang
24 Yamazaki, Kazutoshi
23 Avram, Florin
23 Wang, Yuebao
22 Bladt, Mogens
22 Tang, Qihe
21 Kella, Offer
21 Yuen, Kam Chuen
20 He, Qi-Ming
20 van Leeuwaarden, Johan S. H.
20 Yang, Yang
20 Yin, Chuancun
19 Landriault, David
18 Dębicki, Krzysztof
18 Jin, Zhuo
17 Guo, Junyi
17 Li, Shuanming
17 Pistorius, Martijn R.
17 Sigman, Karl
17 Willmot, Gordon E.
16 Loisel, Stéphane
16 Wang, Kaiyong
16 Yang, Hu
15 Ahn, Soohan
15 Badescu, Andrei L.
15 Breuer, Lothar
15 Frostig, Esther
15 Hashorva, Enkelejd
15 Lefèvre, Claude
15 Masuyama, Hiroyuki
15 Taylor, Peter Gerrard
15 Vlasiou, Maria
14 Bladt, Martin
14 Klüppelberg, Claudia
14 Liu, Jingchen
14 Ren, Yanxia
14 Song, Renming
14 Stanford, David A.
14 Zhao, Yiqiang Q.
13 Adan, Ivo J. B. F.
13 Kortschak, Dominik
13 Miyazawa, Masakiyo
13 Pérez Garmendia, Jose Luis
13 Ren, Jiandong
13 Rolski, Tomasz
13 Wang, Rongming
12 Bean, Nigel G.
12 Dieker, A. B.
12 Gapeev, Pavel V.
12 Krishnamoorthy, Achyutha
12 Liu, Yuanyuan
12 O’Reilly, Małgorzata M.
12 Schmidli, Hanspeter
12 Šiaulys, Jonas
12 Woo, Jae-Kyung
12 Wu, Rong
11 Alsmeyer, Gerold
11 Barron, Yonit
11 Borovkov, Aleksandr Alekseevich
11 Gao, Zhiqiang
11 Gatto, Riccardo
11 Janssen, Augustus Josephus Elizabeth Maria
11 Kawai, Reiichiro
11 Korshunov, Dmitry Alekseevich
11 Rabehasaina, Landy
11 Samorodnitsky, Gennady Pinkhosovich
11 Telek, Miklós
11 Thonhauser, Stefan
10 Afanas’eva, Larisa Grigor’evna
10 Bäuerle, Nicole
10 Bertail, Patrice
10 Clémençon, Stéphan
10 Denisov, Denis E.
10 Goffard, Pierre-Olivier
10 Kim, Bara
10 Li, Quanlin
10 Lu, Yi
10 Nazarathy, Yoni
10 Politis, Konstadinos G.
10 Ramaswami, Vaidyanathan
10 Rojas-Nandayapa, Leonardo
...and 3,580 more Authors
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Cited in 354 Serials

275 Insurance Mathematics & Economics
233 Queueing Systems
215 Journal of Applied Probability
187 Stochastic Processes and their Applications
127 Methodology and Computing in Applied Probability
126 Advances in Applied Probability
118 Stochastic Models
116 The Annals of Applied Probability
104 Statistics & Probability Letters
95 Scandinavian Actuarial Journal
72 Journal of Computational and Applied Mathematics
69 European Journal of Operational Research
68 Annals of Operations Research
50 Operations Research Letters
47 Probability in the Engineering and Informational Sciences
41 Bernoulli
36 Communications in Statistics. Theory and Methods
35 ASTIN Bulletin
32 The Annals of Probability
32 Journal of Industrial and Management Optimization
27 Journal of Statistical Physics
27 Applied Mathematics and Computation
27 Mathematical Methods of Operations Research
27 North American Actuarial Journal
26 Acta Mathematicae Applicatae Sinica. English Series
26 Journal of Theoretical Probability
26 Finance and Stochastics
25 Extremes
23 Stochastics
21 Journal of Mathematical Sciences (New York)
21 Quantitative Finance
19 Journal of Mathematical Analysis and Applications
19 European Actuarial Journal
18 Journal of Statistical Planning and Inference
18 Probability Theory and Related Fields
16 Journal of Optimization Theory and Applications
16 Stochastic Analysis and Applications
16 International Journal of Theoretical and Applied Finance
16 Frontiers of Mathematics in China
15 Stochastic Systems
14 Journal of Mathematical Biology
14 Mathematical Biosciences
14 Computational Statistics and Data Analysis
14 Cybernetics and Systems Analysis
14 Electronic Journal of Probability
14 Modern Stochastics. Theory and Applications
13 Applied Mathematics and Optimization
13 Applied Mathematical Modelling
13 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
13 Theory of Probability and Mathematical Statistics
13 Statistics and Computing
12 Computers & Mathematics with Applications
12 Lithuanian Mathematical Journal
12 Theory of Probability and its Applications
12 Mathematics of Operations Research
12 Acta Applicandae Mathematicae
12 INFORMS Journal on Computing
12 Mathematical Problems in Engineering
12 Mathematical Finance
12 Science China. Mathematics
11 Scandinavian Journal of Statistics
11 The Annals of Statistics
11 Journal of Multivariate Analysis
11 Operations Research
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
10 SIAM Journal on Control and Optimization
10 Probability and Mathematical Statistics
10 Computers & Operations Research
10 Automation and Remote Control
10 Monte Carlo Methods and Applications
10 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
10 Journal of Systems Science and Complexity
9 Naval Research Logistics
9 Communications in Statistics. Simulation and Computation
9 Acta Mathematica Sinica. English Series
9 ALEA. Latin American Journal of Probability and Mathematical Statistics
9 SIAM Journal on Financial Mathematics
9 SIAM/ASA Journal on Uncertainty Quantification
8 Ukrainian Mathematical Journal
8 Siberian Mathematical Journal
8 SIAM Journal on Scientific Computing
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
6 Journal of Computational Physics
6 Kybernetika
6 Theoretical Population Biology
6 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
6 Sequential Analysis
6 Journal of Economic Dynamics & Control
6 SIAM Journal on Applied Mathematics
6 SIAM Journal on Optimization
6 Statistics & Risk Modeling
6 Journal of Theoretical Biology
...and 254 more Serials
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Cited in 43 Fields

2,719 Probability theory and stochastic processes (60-XX)
1,271 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
753 Operations research, mathematical programming (90-XX)
711 Statistics (62-XX)
369 Numerical analysis (65-XX)
253 Systems theory; control (93-XX)
213 Computer science (68-XX)
117 Biology and other natural sciences (92-XX)
89 Calculus of variations and optimal control; optimization (49-XX)
60 Statistical mechanics, structure of matter (82-XX)
55 Partial differential equations (35-XX)
45 Combinatorics (05-XX)
41 Integral equations (45-XX)
38 Integral transforms, operational calculus (44-XX)
24 Ordinary differential equations (34-XX)
21 Dynamical systems and ergodic theory (37-XX)
19 Operator theory (47-XX)
18 Linear and multilinear algebra; matrix theory (15-XX)
15 Approximations and expansions (41-XX)
13 Fluid mechanics (76-XX)
12 Number theory (11-XX)
11 Information and communication theory, circuits (94-XX)
10 Measure and integration (28-XX)
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7 Special functions (33-XX)
6 Functions of a complex variable (30-XX)
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4 Classical thermodynamics, heat transfer (80-XX)
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3 Quantum theory (81-XX)
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2 Mechanics of deformable solids (74-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)

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