S. Asmussen

发表

Stochastic Simulation: Algorithms and Analysis

Peter W. Glynn, Søren Asmussen, P. Glynn, 2007 .

Applied Probability and Queues

S. Asmussen, D. Gaver, S. Asmussen, 1989 .

HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY

Dirk P. Kroese, R. Rubinstein, S. Asmussen, 2005 .

Performance evaluation for the score function method in sensitivity analysis and stochastic optimization

R. Rubinstein, S. Asmussen, 1992 .

The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models

R. Rubinstein, S. Asmussen, 1992, Advances in Applied Probability.

Collapsibility and response variables in contingency tables

D. Edwards, S. Asmussen, 1983 .

Applied Probability and Queues

A. W. Kemp, Søren Asmussen, S. Asmussen, 1989 .

Exponential Families and Regression in the Monte Carlo Study of Queues and Random Walks

S. Asmussen, 1990 .

Conjugate processes and the silumation of ruin problems

S. Asmussen, 1985 .

Regenerative rare events simulation via likelihood ratios

R. Rubinstein, S. Asmussen, Chia-Li Wang, 1994, Journal of Applied Probability.

Risk theory in a Markovian environment

S. Asmussen, 1989 .

Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/ 1 queue

S. Asmussen, 1982 .

BUSY PERIOD ANALYSIS, RARE EVENTS AND TRANSIENT BEHAVIOR IN FLUID FLOW MODELS

S. Asmussen, 1994 .

Response surface estimation and sensitivity analysis via efficient change of measure

R. Rubinstein, S. Asmussen, 1993 .

Sensitivity Analysis of Insurance Risk Models Via Simulation

R. Rubinstein, S. Asmussen, 1999 .

Simulation of Ruin Probabilities for Subexponential Claims

S. Asmussen, K. Binswanger, 1997, ASTIN Bulletin.

Improved algorithms for rare event simulation with heavy tails

Dirk P. Kroese, S. Asmussen, 2006, Advances in Applied Probability.

Rare events simulation for heavy-tailed distributions

S. Asmussen, K. Binswanger, Bjarne Højgaard, 2000 .

On preemptive-repeat LIFO queues

Peter W. Glynn, Søren Asmussen, P. Glynn, 2017, Queueing Syst. Theory Appl..

Markov Renewal Methods in Restart Problems in Complex Systems

S. Asmussen, L. Lipsky, Stephen Thompson, 2016 .

Stationary M/G/1 excursions in the presence of heavy tails

C. Klüppelberg, S. Asmussen, 1997, Journal of Applied Probability.

Stationary distributions for fluid flow models with or without Brownian noise

S. Asmussen, 1995 .

Ruin probabilities via local adjustment coefficients

S. Asmussen, Hanne Mandrup Nielsen, 1995 .

Equilibrium properties of the M/G/1 queue

S. Asmussen, 1981 .

Russian and American put options under exponential phase-type Lévy models

S. Asmussen, M. Pistorius, F. Avram, 2004 .

A Markov chain approach to periodic queues

H. Thorisson, S. Asmussen, 1987, Journal of Applied Probability.

Light Traffic Equivalence in Single-Server Queues

S. Asmussen, 1992 .

The heavy traffic limit of a class of Markovian queueing models

S. Asmussen, 1987 .

Ruin probabilities for Lévy processes

S. Asmussen, H. Albrecher, 2010 .

Convergence rates for M/G/1 queues and ruin problems with heavy tails

J. Teugels, S. Asmussen, 1996, Journal of Applied Probability.

Stationarity detection in the initial transient problem

Peter W. Glynn, Søren Asmussen, Hermann Thorisson, 1992, TOMC.

On Coupling and Weak Convergence to Stationarity

S. Asmussen, 1992 .

Tail probabilities for non-standard risk and queueing processes with subexponential jumps

S. Asmussen, H. Schmidli, V. Schmidt, 1999, Advances in Applied Probability.

Steady-State Simulation

Peter W. Glynn, Søren Asmussen, P. Glynn, 2007 .

Large Deviations in Rare Events Simulation: Examples, Counterexamples and Alternatives

S. Asmussen, 2002 .

Local Time Asymptotics for Centered Lévy Processes with Two-Sided Reflection

S. Asmussen, Lars Nørvang Andersen, 2011 .

Sampling at subexponential times, with queueing applications

K. Sigman, C. Klüppelberg, S. Asmussen, 1999 .

Marked point processes as limits of Markovian arrival streams

S. Asmussen, G. Koole, 1993 .

Rare events simulation for heavy-tailed

S. Asmussen, K. Binswanger, 2000 .

Phase-Type Models in Life Insurance:Fitting and Valuation of Equity-Linked Benefits

S. Asmussen, Hailiang Yang, P. Laub, 2019, Risks.

Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion

Peter W. Glynn, Søren Asmussen, Jim Pitman, 1995 .

Markov dependence in renewal equations and random sums with heavy tails

S. Asmussen, Julie Thøgersen, 2017 .

Time inhomogeneity in longest gap and longest run problems

S. Asmussen, J. Ivanovs, Anders Ronn Nielsen, 2015, 1510.00579.

Second order corrections for the limits of normalized ruin times in the presence of heavy tails

S. Asmussen, D. Kortschak, 2011, 1112.2543.

Large claims approximations for risk processes in a Markovian environment

C. Klüppelberg, S. Asmussen, L. Henriksen, 1994 .

Approximations of small jumps of Lévy processes with a view towards simulation

S. Asmussen, J. Rosínski, 2001, Journal of Applied Probability.

Extreme Value Theory for Queues Via Cycle Maxima

S. Asmussen, 1998 .

Subexponential asymptotics for stochastic processes : extremal behavior, stationary distributions and first passage probabilities

S. Asmussen, 1998 .

Exponential families generated by phase-type distributions and other Markov lifetimes

S. Asmussen, 1989 .

Levy Processes with Two-Sided Reflection

Peter W. Glynn, Søren Asmussen, Lars Nørvang Andersen, 2015 .

Conditional Monte Carlo for sums, with applications to insurance and finance

Søren Asmussen, S. Asmussen, 2018, Annals of Actuarial Science.

Orthonormal Polynomial Expansions and Lognormal Sum Densities

S. Asmussen, P. Laub, P. Goffard, 2015, Risk and Stochastics.

Approximating the Laplace transform of the sum of dependent lognormals

Jens Ledet Jensen, Patrick J. Laub, Leonardo Rojas-Nandayapa, 2015, Advances in Applied Probability.

Exponential Family Techniques for the Lognormal Left Tail

Jens Ledet Jensen, Leonardo Rojas-Nandayapa, Soren Asmussen, 2014, 1403.4689.

Point processes with finite-dimensional conditional probabilities

Mogens Bladt, Søren Asmussen, M. Bladt, 1999 .

Matrix-exponential distributions

Søren Asmussen, Colm Art O'Cinneide, C. O'Cinneide, 2006 .

A new proof of convergence of MCMC via the ergodic theorem

Peter W. Glynn, Søren Asmussen, P. Glynn, 2011 .

Controlled diffusion models for optimal dividend pay-out

Søren Asmussen, Michael I. Taksar, S. Asmussen, 1997 .

07 THIELE CENTRE for applied mathematics in natural science

S. Asmussen, L. N. Andersen, 2005 .

Large deviations results for subexponential tails, with applications to insurance risk

Claudia Klüppelberg, Søren Asmussen, C. Klüppelberg, 1996 .

Branching random walks I

Søren Asmussen, Norman Kaplan, S. Asmussen, 1976 .

Ruin probabilities

Søren Asmussen, S. Asmussen, 2001, Advanced series on statistical science and applied probability.

Chapter IV: Ruin Theory

S. Asmussen, Mogens Steffensen, 2020 .

Tail asymptotics of light-tailed Weibull-like sums

Thomas Taimre, Enkelejd Hashorva, Patrick J. Laub, 2017 .

Distinguishing Log-Concavity from Heavy Tails

S. Asmussen, Jaakko Lehtomaa, 2017 .

Lévy Processes, Phase-Type Distributions, and Martingales

S. Asmussen, 2014 .

Tail asymptotics for the sum of two heavy-tailed dependent risks

Hansjörg Albrecher, Søren Asmussen, Dominik Kortschak, 2006 .

Asymptotics for Sums of Random Variables with Local Subexponential Behaviour

S. Asmussen, S. Foss, S. Foss, 2003, 1303.4709.

Erlangian Approximations for Finite-Horizon Ruin Probabilities

Florin Avram, Søren Asmussen, S. Asmussen, 2002, ASTIN Bulletin.

Strong limit theorems for general supercritical branching processes with applications to branching diffusions

Søren Asmussen, S. Asmussen, H. Hering, 1976 .

Branching Processes: Variation, Growth and Extinction of Populations Edited by P. Haccou, P. Jagers, and V. A. Vatutin

Søren Asmussen, S. Asmussen, 2006 .

On cycle maxima, first passage problems and extreme value theory for queues

David Perry, Søren Asmussen, S. Asmussen, 1992 .

Obituary: Marcel F. Neuts 1935-2014

S. Asmussen, B. F. Nielsen, 2014, Journal of Applied Probability.

Phase Type Distributions—II

S. Asmussen, M. Olsson, 2006 .

Matrix‐analytic Models and their Analysis

Søren Asmussen, S. Asmussen, 2000 .

Phase-Type Representations in Random Walk and Queueing Problems

Søren Asmussen, S. Asmussen, 1992 .

Computational methods in risk theory: A matrix-algorithmic approach

Søren Asmussen, Tomasz Rolski, S. Asmussen, 1992 .

Finite horizon ruin probabilities for Markov-modulated risk processes with heavy tails

Søren Asmussen, Bjarne Højgaard, S. Asmussen, 1996 .

Phase-type distributions and risk processes with state-dependent premiums

Mogens Bladt, Søren Asmussen, M. Bladt, 1996 .

Does Markov-Modulation Increase the Risk?

Søren Asmussen, Tomasz Rolski, S. Asmussen, 1995, ASTIN Bulletin.

Approximations for the probability of ruin within finite time

Søren Asmussen, S. Asmussen, 1984 .

Variance Reduction for Simulating Transient GI/G/1 Behavior

S. Asmussen, Chia-Li Wang, 1996 .

Failure rates of regenerative systems with heavy tails

S. Asmussen, S. Asmussen, V. Kalashnikov, 1999 .

Chapter II: Experience Rating

S. Asmussen, Mogens Steffensen, 2020 .

Continuous Time Markov Branching Processes

S. Asmussen, H. Hering, 1983 .

Matrix representations of life insurance payments

M. Bladt, S. Asmussen, Mogens Steffensen, 2020, European Actuarial Journal.

Asymptotics of sums of lognormal random variables with Gaussian copula

Søren Asmussen, Leonardo Rojas-Nandayapa, S. Asmussen, 2008 .

A factorization of a Lévy process over a phase-type horizon

S. Asmussen, J. Ivanovs, 2018, Stochastic Models.

Large deviations and fast simulation in the presence of boundaries

Hans-Peter Schwefel, Søren Asmussen, Manfred Jobmann, 2002 .

Exact Buffer Overflow Calculations for Queues via Martingales

Hans-Peter Schwefel, Søren Asmussen, Manfred R. Jobmann, 2002, Queueing Syst. Theory Appl..

AD-A 251 516 STATIONARITY DETECTION IN THE INITIAL TRANSIENT PROBLEM

H. Thorisson, S. Asmussen, Peter, 2022 .

Ruin Probabilities: Second Edition

S. Asmussen, H. Albrecher, 2000 .

Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market

S. Asmussen, B. Christensen, Julie Thøgersen, 2019, Insurance: Mathematics and Economics.

Lévy Matters V

Peter W. Glynn, Søren Asmussen, Frank Aurzada, 2015 .

Semi-Markov Queues with Heavy Tails

S. Asmussen, 1999 .

A local limit theorem for random walk maxima with heavy tails

C. Klüppelberg, S. Asmussen, D. Konstantinides, 2002 .

Ruin probabilities for a regenerative Poisson gap generated risk process

S. Asmussen, R. Biard, 2011 .

Rate modulation in dams and ruin problems

S. Asmussen, O. Kella, 1996, Journal of Applied Probability.

Marked point processes as limits of Markovian arrival streams

S. Asmussen, G. Koole, 1993, Journal of Applied Probability.

Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation

S. Asmussen, B. Christensen, Julie Thøgersen, 2019, Risks.

Recent Developments in Financial and Insurance Mathematics and the Interplay with the Industry

R. Korn, N. Bäuerle, S. Asmussen, 2007 .

Ruin probabilities via local adjustment coefficients

S. Asmussen, Hanne Mandrup Nielsen, 1995, Journal of Applied Probability.

Martingale central limit theorems and asymptotic estimation theory for multitype branching processes

S. Asmussen, N. Keiding, 1978, Advances in Applied Probability.

Convergence Rates for Branching Processes

S. Asmussen, 1976 .

Applied probability and queues, Second Edition

Søren Asmussen, S. Asmussen, 2003, Applications of mathematics.

Some general tools and results

Søren Asmussen, S. Asmussen, 2000 .

An Operational Calculus for Matrix-Exponential Distributions, with Applications to a Brownian (q, Q) Inventory Model

Søren Asmussen, David Perry, S. Asmussen, 1998, Math. Oper. Res..

On the Laplace Transform of the Lognormal Distribution

Søren Asmussen, Jens Ledet Jensen, Leonardo Rojas-Nandayapa, 2014, Methodology and Computing in Applied Probability.

On the risk of credibility premium rules

Søren Asmussen, Corina Constantinescu, Julie Thøgersen, 2021, Scandinavian Actuarial Journal.

Further general tools and results

Hansjörg Albrecher, Søren Asmussen, S. Asmussen, 2010 .

Computers and Simulation

Søren Asmussen, Alan G. Konheim, Guy Latouche, 1984 .

Phase Type Distributions (Update)

Søren Asmussen, Marita Olsson, S. Asmussen, 2004 .

Editorial introduction

Søren Asmussen, Onno J. Boxma, S. Asmussen, 2009, Queueing Syst. Theory Appl..

Monotone Stochastic Recursions and their Duals

Søren Asmussen, Karl Sigman, K. Sigman, 1996, Probability in the Engineering and Informational Sciences.

A tutorial on queuing networks

Søren Asmussen, S. Asmussen, 1993 .

Risk comparisons of premium rules: optimality and a life insurance study

Søren Asmussen, Jakob R. Møller, S. Asmussen, 2003 .

On optional stopping of some exponential martingales for Lévy processes with or without reflection

Offer Kella, Søren Asmussen, S. Asmussen, 2001 .

Editor's preface

Chris Rogers, Søren Asmussen, Peter Jagers, 2014, Journal of Applied Probability.

On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance

S. Asmussen, 2022, Finance and Stochastics.

Simulation of Stochastic Processes

S. Asmussen, 2006 .

On the Laplace Transform of the Lognormal Distribution

S. Asmussen, L. Rojas-Nandayapa, Jens Ledet Jensen, 2014, Methodology and Computing in Applied Probability.

Stability and busy periods in a multiclass queue with state-dependent arrival rates

S. Asmussen, J. Hasenbein, P. Ernst, 2018, Queueing Systems.

On preemptive-repeat LIFO queues

P. Glynn, S. Asmussen, 2017, Queueing Systems.

Poisson's equation for queues driven by a Markovian marked point process

Mogens Bladt, Søren Asmussen, M. Bladt, 1994, Queueing Syst. Theory Appl..

Some modified branching diffusion models

S. Asmussen, H. Hering, 1977 .

A Literature Review on Lognormal Sums

Søren Asmussen, Jens Ledet Jensen, Leonardo Rojas-Nandayapa, 2014 .

Markov Bridges, Bisection and Variance Reduction

Søren Asmussen, Asger Hobolth, A. Hobolth, 2012 .

07 THIELE CENTRE for applied mathematics in natural science

S. Asmussen, L. N. Andersen, 2005 .

Regenerative simulation of TES processes

Benjamin Melamed, Søren Asmussen, S. Asmussen, 1994 .

Regular variation in a fixed-point problem for single- and multi-class branching processes and queues

Sergey Foss, Soren Asmussen, S. Asmussen, 2017, Advances in Applied Probability.

Checkpointing in Failure Recovery in Computing and Data Transmission

Lester Lipsky, Søren Asmussen, Stephen Thompson, 2014, ASMTA.

Efficient simulation of tail probabilities of sums of correlated lognormals

Sandeep Juneja, Søren Asmussen, Jose H. Blanchet, 2011, Ann. Oper. Res..

Queueing Simulation in Heavy Traffic

Søren Asmussen, S. Asmussen, 1992, Math. Oper. Res..

Chapter I: Basics

S. Asmussen, Mogens Steffensen, 2020 .

Portfolio size as function of the premium: modelling and optimization

S. Asmussen, M. Taksar, B. Christensen, 2013 .

Almost sure behavior of linear functionals of supercritical branching processes

S. Asmussen, 1977 .

Ruin probabilities expressed in terms of storage processes

Søren Asmussen, S. Asmussen, Søren Schock Petersen, 1988, Advances in Applied Probability.

Rejection rules in theM/G/1 queue

David Perry, Soren Asmussen, S. Asmussen, 1995, Queueing Syst. Theory Appl..

A practical dependability measure for degradable computer systems with non-exponential degradation

Erland Jonsson, Søren Asmussen, Mikael Andersson, 1994 .

A Practical Dependability Measure for Embedded Computer Systems

Erland Jonsson, Søren Asmussen, S. Asmussen, 1993 .

On the completion time distribution for tasks that must restart from the beginning if a failure occurs

Lester Lipsky, Søren Asmussen, Robert Sheahan, 2006, PERV.

Tail asymptotics for M/G/1 type queueing processes with subexponential increments

Søren Asmussen, Jakob R. Møller, S. Asmussen, 1999, Queueing Syst. Theory Appl..

A sample path approach to mean busy periods for Markov-modulated queues and fluids

Mogens Bladt, Søren Asmussen, M. Bladt, 1994, Advances in Applied Probability.

Ladder heights and the Markov-modulated M/G/1 queue☆

Søren Asmussen, S. Asmussen, 1991 .

Approximations for finite horizon ruin probabilities in the renewal model

S. Asmussen, Bjarne Højgaard, 1999 .

Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues

Colm Art O'Cinneide, C. O'Cinneide, S. Asmussen, 1998 .

An Attempt to Quantitative Modelling of Behavioural Security

Erland Jonsson, Søren Asmussen, Mikael Andersson, 1995 .

A Dependability Measure for Degradable Computing Systems

Erland Jonsson, Søren Asmussen, S. Asmussen, 1992 .

Large deviation results for time-dependent queue length distributions

Hermann Thorisson, H. Thorisson, S. Asmussen, 1988 .

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

Søren Asmussen, Michael I. Taksar, Bjarne Højgaard, 2000, Finance Stochastics.

A multi-dimensional martingale for Markov additive processes and its applications

Offer Kella, Søren Asmussen, S. Asmussen, 2000, Advances in Applied Probability.

Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality

Søren Asmussen, Tomasz Rolski, S. Asmussen, 1994, Math. Oper. Res..

On the Tail of the Waiting Time in a Markov-Modulated M/G/1 Queue

Søren Asmussen, Colm Art O'Cinneide, C. O'Cinneide, 2002, Oper. Res..

Chapter IX: Extreme Value Theory

S. Asmussen, Mogens Steffensen, 2020 .

Chapter XIII: Selected Further Topics

S. Asmussen, Mogens Steffensen, 2020 .

Discretization error for a two-sided reflected Lévy process

S. Asmussen, J. Ivanovs, 2018, Queueing Systems.

Loss Rates for Lévy Processes with Two Reflecting Barriers

Søren Asmussen, Mats Pihlsgård, S. Asmussen, 2007, Math. Oper. Res..

Discretization error for a two-sided reflected Lévy process

Søren Asmussen, Jevgenijs Ivanovs, S. Asmussen, 2017, Queueing Syst. Theory Appl..

Calculation of the Steady State Waiting Time Distribution in GI/PH/c and MAP/PH/c Queues

Søren Asmussen, Jakob R. Møller, S. Asmussen, 2001, Queueing Syst. Theory Appl..

Harris Recurrence and MCMC: A Simplified Approach

S. Asmussen, Peter W. Glynn, 2010 .

Exact Buffer Overflow Calculations for Queues via Martingales

S. Asmussen, H. Schwefel, M. Jobmann, 2002, Queueing Syst. Theory Appl..

Rare Events in the Presence of Heavy Tails

Søren Asmussen, S. Asmussen, 1996 .

Ladder height distributions with marks

Søren Asmussen, S. Asmussen, V. Schmidt, 1995 .

Stochastic Simulation: Algorithms and Analysis

P. Glynn, S. Asmussen, 2007 .

Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

M. Bladt, S. Asmussen, 2021, Quantitative Finance.

On the longest gap between power-rate arrivals

S. Asmussen, J. Segers, J. Ivanovs, 2017, Bernoulli.

On some fixed-point problems connecting branching and queueing

S. Asmussen, 2018 .

From PH/MAP to ME/RAP

M. Bladt, S. Asmussen, 2022, Queueing Systems.

A Note on Skewness in Regenerative Simulation

Søren Asmussen, Tobias Rydén, T. Rydén, 2010, Commun. Stat. Simul. Comput..

Tail asymptotics for dependent subexponential differences

Hansjörg Albrecher, Søren Asmussen, Dominik Kortschak, 2012 .

Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory

Søren Asmussen, S. Asmussen, V. Ramaswami, 1990 .