Edit Profile (opens in new tab) Asmussen, Søren Co-Author Distance 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: 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: 91 Co-Authors with 127 Joint Publications 2,250 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 Korn, Ralf 1 Korshunov, Dmitriĭ 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, L. C. G. 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 all top 5 Fields 144 Probability theory and stochastic processes (60-XX) 32 Statistics (62-XX) 32 Operations research, mathematical programming (90-XX) 28 Numerical analysis (65-XX) 28 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 148 Publications have been cited 5,619 times in 4,080 Documents Cited by ▼ Year ▼ Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001 Asmussen, Søren 933 2003 Ruin probabilities. 2nd ed. Zbl 1247.91080 Asmussen, Søren; Albrecher, Hansjörg 493 2010 Stochastic simulation: Algorithms and analysis. Zbl 1126.65001 Asmussen, Søren; Glynn, Peter W. 370 2007 Applied probability and queues. Zbl 0624.60098 Asmussen, Søren 283 1987 Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529 Asmussen, Søren; Taksar, Michael 238 1997 Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037 Asmussen, Søren; Avram, Florin; Pistorius, Martijn R. 177 2004 Branching processes. Zbl 0516.60095 Asmussen, S.; Hering, H. 169 1983 Ruin probabilities. Zbl 0960.60003 Asmussen, Søren 158 1997 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 134 2000 Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047 Asmussen, Søren; Rosiński, Jan 134 2001 Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104 Asmussen, Søren; Nerman, Olle; Olsson, Marita 130 1996 Risk theory in a Markovian environment. Zbl 0684.62073 Asmussen, Søren 110 1989 Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086 Asmussen, Søren 105 1995 Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034 Asmussen, Søren 85 1998 Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053 Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry 72 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 58 1993 A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081 Asmussen, Søren; Kella, Offer 54 2000 Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020 Asmussen, S.; Klüppelberg, C. 51 1996 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147 Asmussen, Søren; Glynn, Peter; Pitman, Jim 50 1995 Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017 Asmussen, Søren; Kroese, Dirk P. 50 2006 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022 Albrecher, Hansjörg; Asmussen, Søren 49 2006 Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064 Asmussen, Søren; Bladt, Mogens 44 1997 Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033 Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker 44 1999 Sampling at subexponential times, with queueing applications. Zbl 0961.60080 Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 42 1999 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 40 1984 Stationarity detection in the initial transient problem. Zbl 0842.68106 Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann 37 1992 Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue. Zbl 0501.60076 Asmussen, Soren 37 1982 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009 Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 37 2006 Collapsibility and response variables in contingency tables. Zbl 0549.62041 Asmussen, Søren; Edwards, David 37 1983 Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036 Asmussen, Søren; Pihlsgård, Mats 36 2007 Computational methods in risk theory: a matrix-algorithmic approach. Zbl 0748.62058 Asmussen, Søren; Rolski, Tomasz 35 1992 Branching random walks. II. Zbl 0322.60065 Kaplan, Norman; Asmussen, Soren 35 1976 Extreme value theory for queues via cycle maxima. Zbl 0926.60072 Asmussen, Søren 35 1998 Rare events simulation for heavy-tailed distributions. Zbl 0958.65010 Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne 33 2000 Strong limit theorems for general supercritical branching processes with applications to branching diffusions. Zbl 0325.60081 Asmussen, Soren; Hering, Heinrich 32 1976 Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080 Perry, David; Asmussen, Søren 31 1995 The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112 Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul 30 2013 Branching random walks. I. Zbl 0317.60034 Asmussen, Soren; Kaplan, Norman 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 27 2002 Matrix-analytic models and their analysis. Zbl 0959.60085 Asmussen, Søren 27 2000 On the Laplace transform of the lognormal distribution. Zbl 1386.60066 Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 26 2016 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 25 1985 Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027 Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo 24 2011 Convergence rates for branching processes. Zbl 0329.60053 Asmussen, Soren 22 1976 Ladder heights and the Markov-modulated M/G/1 queue. Zbl 0734.60091 Asmussen, Søren 21 1991 Monotone stochastic recursions and their duals. Zbl 1095.60519 Asmussen, Søren; Sigman, Karl 21 1996 Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067 Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia 19 1994 Queueing simulation in heavy traffic. Zbl 0754.60101 Asmussen, Søren 18 1992 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 On cycle maxima, first passage problems and extreme value theory for queues. Zbl 0762.60086 Asmussen, Søren; Perry, David 17 1992 Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086 Asmussen, Søren 17 1994 Ruin probabilities via local adjustment coefficients. Zbl 0834.60099 Asmussen, Søren; Nielsen, Hanne Mandrup 16 1995 Risk and insurance. A graduate text. Zbl 1447.91001 Asmussen, Søren; Steffensen, Mogens 16 2020 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015 Asmussen, Søren; Glynn, Peter W. 16 2011 Necessary and sufficient conditions for complete convergence in the law of large numbers. Zbl 0426.60026 Asmussen, Soren; Kurtz, Thomas G. 15 1980 A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040 Asmussen, Søren 15 1998 Lévy processes with two-sided reflection. Zbl 1338.60126 Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats 15 2015 Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093 Asmussen, Søren; Bladt, Mogens 14 1994 Stationary distributions via first passage times. Zbl 0866.60077 Asmussen, Søren 14 1995 Rate modulation in dams and ruin problems. Zbl 0860.60060 Asmussen, Søren; Kella, Offer 14 1996 Heavy tails, importance sampling and cross-entropy. Zbl 1073.62028 Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y. 14 2005 Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071 Asmussen, Søren; Møller, Jakob R. 14 1999 Aspects of matrix Wiener-Hopf factorisation in applied probability. Zbl 0688.60055 Asmussen, Søren 13 1989 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 Martingale central limit theorems and asymptotic estimation theory for multitype branching processes. Zbl 0391.60076 Asmussen, Soren; Keiding, Niels 12 1978 Exponential family techniques for the lognormal left tail. Zbl 1468.62257 Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 12 2016 Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory. Zbl 0744.60108 Asmussen, Soren; Ramaswami, V. 10 1990 Strong limit theorems for supercritical immigration-branching processes. Zbl 0348.60117 Asmussen, Soren; Hering, Heinrich 10 1977 Exponential families generated by phase-type distributions and other Markov lifetimes. Zbl 0697.60076 Asmussen, Søren 10 1989 Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018 Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter 10 2002 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. 10 2001 A Markov chain approach to periodic queues. Zbl 0623.60116 Asmussen, Søren; Thorisson, Hermann 10 1987 Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081 Asmussen, Søren; Teugels, Jozef L. 9 1996 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 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 Matrix representations of life insurance payments. Zbl 1452.91262 Bladt, Mogens; 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 Almost sure behavior of linear functionals of supercritical branching processes. Zbl 0376.60083 Asmussen, Soren 8 1977 Tail asymptotics of light-tailed Weibull-like sums. Zbl 1395.62031 Asmussen, Søren; Hashorva, Enkelejd; Laub, Patrick J.; Taimre, Thomas 8 2017 The heavy traffic limit of a class of Markovian queueing models. Zbl 0632.60065 Asmussen, Søren 8 1987 A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068 Asmussen, Søren; Ivanovs, Jevgenijs 7 2018 On some two-sex population models. Zbl 0442.60080 Asmussen, Soren 7 1980 Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408 Asmussen, Søren; Pihlsgård, Mats 7 2005 Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088 Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael 7 2013 Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151 Asmussen, Søren; Biard, Romain 7 2011 Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029 Asmussen, Søren; Kortschak, Dominik 7 2015 Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101 Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li 6 1994 Regular variation in a fixed-point problem for single- and multi-class branching processes and queues. Zbl 1443.60077 Asmussen, Søren; Foss, Sergey 6 2018 Equilibrium properties of the M/G/1 queue. Zbl 0464.60089 Asmussen, Soren 6 1981 Some martingale methods in the limit theory of supercritical branching processes. Zbl 0402.60083 Asmussen, Soren 6 1978 On optional stopping of some exponential martingales for Lévy processes with or without reflection. Zbl 1047.60038 Asmussen, Søren; Kella, Offer 6 2001 Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033 Asmussen, Søren 6 2014 On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance. Zbl 1494.91151 Asmussen, Søren 3 2022 Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models. Zbl 1490.91204 Asmussen, Søren; Bladt, Mogens 2 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 16 2020 Matrix representations of life insurance payments. Zbl 1452.91262 Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens 9 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 5 2019 A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068 Asmussen, Søren; Ivanovs, Jevgenijs 7 2018 Regular variation in a fixed-point problem for single- and multi-class branching processes and queues. Zbl 1443.60077 Asmussen, Søren; Foss, Sergey 6 2018 Discretization error for a two-sided reflected Lévy process. Zbl 1408.60036 Asmussen, Søren; Ivanovs, Jevgenijs 6 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 8 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. 2 2017 On the Laplace transform of the lognormal distribution. Zbl 1386.60066 Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 26 2016 Exponential family techniques for the lognormal left tail. Zbl 1468.62257 Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 12 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 6 2016 Markov renewal methods in restart problems in complex systems. Zbl 1354.60109 Asmussen, Søren; Lipsky, Lester; Thompson, Stephen 5 2016 Lévy processes with two-sided reflection. Zbl 1338.60126 Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats 15 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 4 2014 The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112 Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul 30 2013 Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088 Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael 7 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 24 2011 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015 Asmussen, Søren; Glynn, Peter W. 16 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 493 2010 Special issue: 100 years of queueing – the Erlang centennial. Selected papers based on the presentations at the conference, Copenhagen, Danmark, April 1–3, 2009. Zbl 1205.94008 1 2009 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. 370 2007 Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036 Asmussen, Søren; Pihlsgård, Mats 36 2007 Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017 Asmussen, Søren; Kroese, Dirk P. 50 2006 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022 Albrecher, Hansjörg; Asmussen, Søren 49 2006 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009 Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 37 2006 Heavy tails, importance sampling and cross-entropy. Zbl 1073.62028 Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y. 14 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. 177 2004 Pricing of some exotic options with NIG-Lévy input. Zbl 1102.91330 Rasmus, Sebastian; Asmussen, Søren; Wiktorsson, Magnus 1 2004 Transient properties of many-server queues and related QBDs. Zbl 1061.90027 Asmussen, Søren; Pihlsgård, Mats 1 2004 Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001 Asmussen, Søren 933 2003 Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053 Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry 72 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 27 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 2 2002 Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047 Asmussen, Søren; Rosiński, Jan 134 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. 10 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 134 2000 A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081 Asmussen, Søren; Kella, Offer 54 2000 Rare events simulation for heavy-tailed distributions. Zbl 0958.65010 Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne 33 2000 Matrix-analytic models and their analysis. Zbl 0959.60085 Asmussen, Søren 27 2000 Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033 Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker 44 1999 Sampling at subexponential times, with queueing applications. Zbl 0961.60080 Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 42 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 Stochastic simulation with a view towards stochastic processes. Zbl 0981.65013 Asmussen, Søren 3 1999 Semi-Markov queues with heavy tails. Zbl 0984.60099 Asmussen, Soren 3 1999 Approximations for finite horizon ruin probabilities in the renewal model. Zbl 0952.91039 Asmussen, Søren; Højgaard, Bjarne 3 1999 Exact asymptotics for a large deviations problem for the GI/G/1 queue. Zbl 0948.60088 Asmussen, S.; Collamore, J. F. 2 1999 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 85 1998 Extreme value theory for queues via cycle maxima. Zbl 0926.60072 Asmussen, Søren 35 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 238 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 44 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 130 1996 Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020 Asmussen, S.; Klüppelberg, C. 51 1996 Monotone stochastic recursions and their duals. Zbl 1095.60519 Asmussen, Søren; Sigman, Karl 21 1996 Rate modulation in dams and ruin problems. Zbl 0860.60060 Asmussen, Søren; Kella, Offer 14 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 105 1995 Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147 Asmussen, Søren; Glynn, Peter; Pitman, Jim 50 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 ...and 48 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 4,164 Authors 80 Mandjes, Michel Robertus Hendrikus 76 Asmussen, Søren 52 Albrecher, Hansjörg 51 Boxma, Onno Johan 47 Palmowski, Zbigniew 47 Yang, Hailiang 46 Glynn, Peter W. 40 Zhang, Zhimin 40 Zwart, Bert P. 34 Perry, David 33 Blanchet, Jose H. 33 Ivanovs, Jevgeņijs 30 Foss, Sergey G. 29 Li, Junping 29 Whitt, Ward 28 Kyprianou, Andreas E. 27 Bladt, Mogens 26 Yamazaki, Kazutoshi 25 Chen, Anyue 25 Latouche, Guy 25 Stadje, Wolfgang 23 Avram, Florin 23 Wang, Yuebao 22 Cheung, Eric C. K. 22 Landriault, David 22 Tang, Qihe 22 Yang, Yang 22 Yuen, Kam Chuen 21 Kella, Offer 20 He, Qi-Ming 20 van Leeuwaarden, Johan S. H. 20 Yin, Chuancun 19 Jin, Zhuo 19 Willmot, Gordon E. 18 Dębicki, Krzysztof 18 Li, Shuanming 17 Badescu, Andrei L. 17 Guo, Junyi 17 Loisel, Stéphane 17 Pistorius, Martijn R. 17 Sigman, Karl 17 Vlasiou, Maria 17 Wang, Kaiyong 16 Bladt, Martin 16 Frostig, Esther 16 Lefèvre, Claude 16 Masuyama, Hiroyuki 16 Yang, Hu 15 Ahn, Soohan 15 Breuer, Lothar 15 Hashorva, Enkelejd 15 Ren, Yanxia 15 Song, Renming 15 Stanford, David A. 15 Taylor, Peter Gerrard 14 Klüppelberg, Claudia 14 Liu, Jingchen 14 Miyazawa, Masakiyo 14 Pérez Garmendia, Jose Luis 14 Wang, Rongming 14 Zhao, Yiqiang Q. 13 Adan, Ivo J. B. F. 13 Constantinescu, Corina D. 13 Korshunov, Dmitriĭ Alekseevich 13 Kortschak, Dominik 13 Krishnamoorthy, Achyutha 13 Politis, Konstadinos G. 13 Ren, Jiandong 13 Rolski, Tomasz 12 Alsmeyer, Gerold 12 Bean, Nigel G. 12 Dieker, A. B. 12 Gao, Zhiqiang 12 Gapeev, Pavel V. 12 Grandits, Peter 12 Liu, Yuanyuan 12 O’Reilly, Małgorzata M. 12 Samorodnitsky, Gennady Pinkhosovich 12 Schmidli, Hanspeter 12 Šiaulys, Jonas 12 Telek, Miklós 12 Woo, Jae-Kyung 12 Wu, Rong 11 Avanzi, Benjamin 11 Barron, Yonit 11 Bäuerle, Nicole 11 Bertail, Patrice 11 Borovkov, Aleksandr Alekseevich 11 Clémençon, Stéphan 11 Denisov, Denis E. 11 Gatto, Riccardo 11 Iksanov, Aleksander M. 11 Janssen, Augustus Josephus Elizabeth Maria 11 Kawai, Reiichiro 11 Lam, Henry 11 Morozov, Evsey 11 Nazarathy, Yoni 11 Rabehasaina, Landy 11 Rojas-Nandayapa, Leonardo 11 Siu, Tak Kuen ...and 4,064 more Authors all top 5 Cited in 392 Serials 295 Insurance Mathematics & Economics 236 Queueing Systems 224 Journal of Applied Probability 207 Stochastic Processes and their Applications 138 Methodology and Computing in Applied Probability 130 Advances in Applied Probability 122 Stochastic Models 121 The Annals of Applied Probability 112 Scandinavian Actuarial Journal 107 Statistics & Probability Letters 79 Journal of Computational and Applied Mathematics 75 Annals of Operations Research 71 European Journal of Operational Research 52 Operations Research Letters 49 Communications in Statistics. Theory and Methods 47 Probability in the Engineering and Informational Sciences 45 Bernoulli 37 ASTIN Bulletin 34 Journal of Theoretical Probability 33 The Annals of Probability 33 Journal of Industrial and Management Optimization 30 Journal of Statistical Physics 30 Applied Mathematics and Computation 28 Acta Mathematicae Applicatae Sinica. 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Mathematics 12 SIAM/ASA Journal on Uncertainty Quantification 11 The Annals of Statistics 11 Naval Research Logistics 11 Scandinavian Actuarial Journal 11 SIAM Journal on Control and Optimization 11 Communications in Statistics. Simulation and Computation 11 Monte Carlo Methods and Applications 11 Electronic Journal of Statistics 11 SIAM Journal on Financial Mathematics 10 Journal of Computational Physics 10 Probability and Mathematical Statistics 10 Computers & Operations Research 10 Automation and Remote Control 10 Journal of Physics A: Mathematical and Theoretical 9 Acta Mathematica Sinica. English Series 8 Ukrainian Mathematical Journal 8 Mathematics and Computers in Simulation 8 Siberian Mathematical Journal 8 Journal of Statistical Computation and Simulation 8 Linear Algebra and its Applications 8 SIAM Journal on Scientific Computing 8 Journal of Statistical Mechanics: Theory and Experiment 8 Journal of Theoretical Biology 7 Theoretical Population Biology 7 Sequential Analysis 7 Mathematical and Computer Modelling 7 Discrete Dynamics in Nature and Society 7 Statistical Inference for Stochastic Processes 7 Stochastics and Dynamics 7 Sibirskie Èlektronnye Matematicheskie Izvestiya 7 Journal of the Korean Statistical Society 6 Kybernetika ...and 292 more Serials all top 5 Cited in 48 Fields 2,978 Probability theory and stochastic processes (60-XX) 1,405 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 833 Statistics (62-XX) 810 Operations research, mathematical programming (90-XX) 412 Numerical analysis (65-XX) 285 Systems theory; control (93-XX) 232 Computer science (68-XX) 131 Biology and other natural sciences (92-XX) 103 Calculus of variations and optimal control; optimization (49-XX) 76 Statistical mechanics, structure of matter (82-XX) 68 Partial differential equations (35-XX) 53 Combinatorics (05-XX) 47 Integral equations (45-XX) 41 Integral transforms, operational calculus (44-XX) 27 Ordinary differential equations (34-XX) 27 Dynamical systems and ergodic theory (37-XX) 22 Operator theory (47-XX) 19 Linear and multilinear algebra; matrix theory (15-XX) 16 Fluid mechanics (76-XX) 15 Approximations and expansions (41-XX) 13 Number theory (11-XX) 13 Information and communication theory, circuits (94-XX) 11 Real functions (26-XX) 11 Measure and integration (28-XX) 8 Special functions (33-XX) 8 Quantum theory (81-XX) 6 Functions of a complex variable (30-XX) 6 Difference and functional equations (39-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 5 Geophysics (86-XX) 4 History and biography (01-XX) 4 Differential geometry (53-XX) 4 Global analysis, analysis on manifolds (58-XX) 4 Classical thermodynamics, heat transfer (80-XX) 3 Field theory and polynomials (12-XX) 3 Functional analysis (46-XX) 3 Convex and discrete geometry (52-XX) 3 Mathematics education (97-XX) 2 General and overarching topics; collections (00-XX) 2 Mechanics of deformable solids (74-XX) 1 Mathematical logic and foundations (03-XX) 1 Commutative algebra (13-XX) 1 Associative rings and algebras (16-XX) 1 Group theory and generalizations (20-XX) 1 General topology (54-XX) 1 Mechanics of particles and systems (70-XX) 1 Optics, electromagnetic theory (78-XX) 1 Relativity and gravitational theory (83-XX) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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