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: 92 Co-Authors with 127 Joint Publications 2,237 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, 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 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 146 Publications have been cited 5,230 times in 3,764 Documents Cited by ▼ Year ▼ Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001 Asmussen, Søren 845 2003 Ruin probabilities. 2nd ed. Zbl 1247.91080 Asmussen, Søren; Albrecher, Hansjörg 420 2010 Stochastic simulation: Algorithms and analysis. Zbl 1126.65001 Asmussen, Søren; Glynn, Peter W. 306 2007 Applied probability and queues. Zbl 0624.60098 Asmussen, Søren 274 1987 Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529 Asmussen, Søren; Taksar, Michael 227 1997 Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037 Asmussen, Søren; Avram, Florin; Pistorius, Martijn R. 175 2004 Ruin probabilities. Zbl 0960.60003 Asmussen, Søren 158 1997 Branching processes. Zbl 0516.60095 Asmussen, S.; Hering, H. 145 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 130 2000 Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047 Asmussen, Søren; Rosiński, Jan 123 2001 Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104 Asmussen, Søren; Nerman, Olle; Olsson, Marita 122 1996 Risk theory in a Markovian environment. Zbl 0684.62073 Asmussen, Søren 108 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 72 2003 Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028 Asmussen, Soren; Avram, Florin; Usabel, Miguel 70 2002 Marked point processes as limits of Markovian arrival streams. Zbl 0778.60035 Asmussen, Søren; Koole, Ger 57 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 48 1995 Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017 Asmussen, Søren; Kroese, Dirk P. 46 2006 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022 Albrecher, Hansjörg; Asmussen, Søren 44 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 43 1999 Sampling at subexponential times, with queueing applications. Zbl 0961.60080 Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl 43 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 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 Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036 Asmussen, Søren; Pihlsgård, Mats 36 2007 Stationarity detection in the initial transient problem. Zbl 0842.68106 Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann 36 1992 Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009 Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik 36 2006 Extreme value theory for queues via cycle maxima. Zbl 0926.60072 Asmussen, Søren 35 1998 Computational methods in risk theory: a matrix-algorithmic approach. Zbl 0748.62058 Asmussen, Søren; Rolski, Tomasz 35 1992 Rare events simulation for heavy-tailed distributions. Zbl 0958.65010 Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne 32 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 Collapsibility and response variables in contingency tables. Zbl 0549.62041 Asmussen, Søren; Edwards, David 30 1983 Branching random walks. II. Zbl 0322.60065 Kaplan, Norman; Asmussen, Soren 29 1976 The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112 Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul 28 2013 Matrix-analytic models and their analysis. Zbl 0959.60085 Asmussen, Søren 27 2000 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 Branching random walks. I. Zbl 0317.60034 Asmussen, Soren; Kaplan, Norman 26 1976 Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027 Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo 25 2011 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 Convergence rates for branching processes. Zbl 0329.60053 Asmussen, Soren 21 1976 Ladder heights and the Markov-modulated M/G/1 queue. Zbl 0734.60091 Asmussen, Søren 21 1991 On the Laplace transform of the lognormal distribution. Zbl 1386.60066 Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 20 2016 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 19 1994 Monotone stochastic recursions and their duals. Zbl 1095.60519 Asmussen, Søren; Sigman, Karl 19 1996 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 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 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 A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015 Asmussen, Søren; Glynn, Peter W. 15 2011 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 Rate modulation in dams and ruin problems. Zbl 0860.60060 Asmussen, Søren; Kella, Offer 15 1996 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 Heavy tails, importance sampling and cross-entropy. Zbl 1073.62028 Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y. 14 2005 Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093 Asmussen, Søren; Bladt, Mogens 14 1994 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 Risk and insurance. A graduate text. Zbl 1447.91001 Asmussen, Søren; Steffensen, Mogens 12 2020 Lévy processes with two-sided reflection. Zbl 1338.60126 Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats 11 2015 Exponential family techniques for the lognormal left tail. Zbl 1468.62257 Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 11 2016 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 Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory. Zbl 0744.60108 Asmussen, Soren; Ramaswami, V. 10 1990 A Markov chain approach to periodic queues. Zbl 0623.60116 Asmussen, Søren; Thorisson, Hermann 10 1987 Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018 Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter 10 2002 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 Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081 Asmussen, Søren; Teugels, Jozef L. 9 1996 Matrix representations of life insurance payments. Zbl 1452.91262 Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens 9 2020 The heavy traffic limit of a class of Markovian queueing models. Zbl 0632.60065 Asmussen, Søren 8 1987 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 Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029 Asmussen, Søren; Kortschak, Dominik 8 2015 Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151 Asmussen, Søren; Biard, Romain 7 2011 Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408 Asmussen, Søren; Pihlsgård, Mats 7 2005 Tail asymptotics of light-tailed Weibull-like sums. Zbl 1395.62031 Asmussen, Søren; Hashorva, Enkelejd; Laub, Patrick J.; Taimre, Thomas 7 2017 A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068 Asmussen, Søren; Ivanovs, Jevgenijs 7 2018 Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088 Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael 7 2013 On optional stopping of some exponential martingales for Lévy processes with or without reflection. Zbl 1047.60038 Asmussen, Søren; Kella, Offer 6 2001 Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101 Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li 6 1994 Some martingale methods in the limit theory of supercritical branching processes. Zbl 0402.60083 Asmussen, Soren 6 1978 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 Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033 Asmussen, Søren 6 2014 Discretization error for a two-sided reflected Lévy process. Zbl 1408.60036 Asmussen, Søren; Ivanovs, Jevgenijs 6 2018 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 12 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 4 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 6 2018 Regular variation in a fixed-point problem for single- and multi-class branching processes and queues. Zbl 1443.60077 Asmussen, Søren; Foss, Sergey 4 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 7 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 20 2016 Exponential family techniques for the lognormal left tail. Zbl 1468.62257 Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo 11 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 11 2015 Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029 Asmussen, Søren; Kortschak, Dominik 8 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 28 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 25 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 420 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. 306 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. 46 2006 Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022 Albrecher, Hansjörg; Asmussen, Søren 44 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. 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. 175 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 845 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 70 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 1 2002 Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047 Asmussen, Søren; Rosiński, Jan 123 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 130 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 32 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 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 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 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 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 227 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 122 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 48 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 19 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 cited Publications top 5 cited Publications all top 5 Cited by 3,801 Authors 76 Asmussen, Søren 74 Mandjes, Michel Robertus Hendrikus 48 Albrecher, Hansjörg 48 Boxma, Onno Johan 47 Yang, Hailiang 44 Glynn, Peter W. 42 Palmowski, Zbigniew 40 Zhang, Zhimin 39 Zwart, Bert P. 33 Ivanovs, Jevgeņijs 32 Perry, David 31 Blanchet, Jose H. 29 Foss, Sergey G. 25 Bladt, Mogens 25 Chen, Anyue 25 Kyprianou, Andreas E. 25 Li, Junping 25 Whitt, Ward 25 Yamazaki, Kazutoshi 24 Latouche, Guy 24 Stadje, Wolfgang 23 Avram, Florin 23 Wang, Yuebao 22 Cheung, Eric C. K. 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 Jin, Zhuo 19 Landriault, David 18 Dębicki, Krzysztof 18 Li, Shuanming 17 Guo, Junyi 17 Pistorius, Martijn R. 17 Sigman, Karl 17 Willmot, Gordon E. 16 Bladt, Martin 16 Lefèvre, Claude 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 Masuyama, Hiroyuki 15 Stanford, David A. 15 Taylor, Peter Gerrard 15 Vlasiou, Maria 14 Klüppelberg, Claudia 14 Liu, Jingchen 14 Ren, Yanxia 14 Song, Renming 14 Wang, Rongming 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 12 Bean, Nigel G. 12 Dieker, A. B. 12 Gao, Zhiqiang 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 Gatto, Riccardo 11 Janssen, Augustus Josephus Elizabeth Maria 11 Kawai, Reiichiro 11 Korshunov, Dmitry Alekseevich 11 Politis, Konstadinos G. 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 Chen, Yiqing 10 Clémençon, Stéphan 10 Constantinescu, Corina D. 10 Denisov, Denis E. 10 Goffard, Pierre-Olivier 10 Grandits, Peter 10 Kim, Bara 10 Li, Quanlin 10 Lu, Yi ...and 3,701 more Authors all top 5 Cited in 365 Serials 278 Insurance Mathematics & Economics 233 Queueing Systems 217 Journal of Applied Probability 193 Stochastic Processes and their Applications 133 Methodology and Computing in Applied Probability 127 Advances in Applied Probability 120 Stochastic Models 119 The Annals of Applied Probability 105 Statistics & Probability Letters 102 Scandinavian Actuarial Journal 73 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 43 Communications in Statistics. Theory and Methods 41 Bernoulli 36 ASTIN Bulletin 33 Journal of Industrial and Management Optimization 32 The Annals of Probability 27 Journal of Statistical Physics 27 Applied Mathematics and Computation 27 Acta Mathematicae Applicatae Sinica. English Series 27 Finance and Stochastics 27 Mathematical Methods of Operations Research 27 North American Actuarial Journal 26 Journal of Theoretical Probability 25 Extremes 23 Stochastics 21 Journal of Mathematical Sciences (New York) 21 Quantitative Finance 21 European Actuarial Journal 19 Journal of Mathematical Analysis and Applications 18 Journal of Statistical Planning and Inference 18 Probability Theory and Related Fields 18 Stochastic Systems 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 Journal of Mathematical Biology 15 Applied Mathematics and Optimization 14 Mathematical Biosciences 14 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 14 Computational Statistics and Data Analysis 14 Cybernetics and Systems Analysis 14 Electronic Journal of Probability 14 INFORMS Journal on Computing 14 Statistics and Computing 14 Modern Stochastics. Theory and Applications 13 Mathematics of Operations Research 13 Applied Mathematical Modelling 13 Theory of Probability and Mathematical Statistics 12 Computers & Mathematics with Applications 12 Lithuanian Mathematical Journal 12 Scandinavian Journal of Statistics 12 Theory of Probability and its Applications 12 Journal of Multivariate Analysis 12 Operations Research 12 Acta Applicandae Mathematicae 12 Mathematical Problems in Engineering 12 Mathematical Finance 12 Applied Stochastic Models in Business and Industry 12 Science China. Mathematics 11 The Annals of Statistics 11 Scandinavian Actuarial Journal 11 Communications in Statistics. Simulation and Computation 11 Monte Carlo Methods and Applications 11 ACM Transactions on Modeling and Computer Simulation 11 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 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 Journal of Systems Science and Complexity 10 ALEA. Latin American Journal of Probability and Mathematical Statistics 10 SIAM Journal on Financial Mathematics 10 SIAM/ASA Journal on Uncertainty Quantification 9 Naval Research Logistics 9 Acta Mathematica Sinica. English Series 8 Ukrainian Mathematical Journal 8 Siberian Mathematical Journal 8 Linear Algebra and its Applications 8 SIAM Journal on Scientific Computing 7 Journal of Computational Physics 7 Mathematical and Computer Modelling 7 Journal of Statistical Computation and Simulation 7 Discrete Dynamics in Nature and Society 7 Sibirskie Èlektronnye Matematicheskie Izvestiya 7 Journal of the Korean Statistical Society 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 Lifetime Data Analysis 6 Journal of Physics A: Mathematical and Theoretical ...and 265 more Serials all top 5 Cited in 46 Fields 2,778 Probability theory and stochastic processes (60-XX) 1,313 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 764 Operations research, mathematical programming (90-XX) 742 Statistics (62-XX) 375 Numerical analysis (65-XX) 266 Systems theory; control (93-XX) 218 Computer science (68-XX) 120 Biology and other natural sciences (92-XX) 96 Calculus of variations and optimal control; optimization (49-XX) 62 Statistical mechanics, structure of matter (82-XX) 57 Partial differential equations (35-XX) 48 Combinatorics (05-XX) 42 Integral equations (45-XX) 37 Integral transforms, operational calculus (44-XX) 25 Ordinary differential equations (34-XX) 24 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) 12 Information and communication theory, circuits (94-XX) 11 Measure and integration (28-XX) 9 Real functions (26-XX) 7 Special functions (33-XX) 6 Functions of a complex variable (30-XX) 5 Difference and functional equations (39-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 4 Global analysis, analysis on manifolds (58-XX) 4 Classical thermodynamics, heat transfer (80-XX) 4 Quantum theory (81-XX) 4 Geophysics (86-XX) 3 History and biography (01-XX) 3 Field theory and polynomials (12-XX) 3 Functional analysis (46-XX) 2 Convex and discrete geometry (52-XX) 2 Differential geometry (53-XX) 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 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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.