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Asmussen, Søren

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Author ID: asmussen.soren Recent zbMATH articles by "Asmussen, Søren"
Published as: Asmussen, S.; Asmussen, Soeren; Asmussen, Soren; Asmussen, Søren; Asmussen, Sœren
External Links: MGP · Wikidata · GND
Documents Indexed: 160 Publications since 1976, including 12 Books
Reviewing Activity: 97 Reviews
Biographic References: 1 Publication
all top 5

Co-Authors

39 single-authored
7 Glynn, Peter W.
7 Rubinstein, Reuven Y.
6 Bladt, Mogens
6 Rojas-Nandayapa, Leonardo
5 Klüppelberg, Claudia
5 Pihlsgård, Mats
4 Albrecher, Hansjörg
4 Andersen, Lars Nørvang
4 Foss, Sergey G.
4 Hering, Heinrich
4 Højgaard, Bjarne
4 Ivanovs, Jevgeņijs
4 Kortschak, Dominik
4 Thorisson, Hermann
3 Jensen, Jens Ledet
3 Kella, Offer
3 Møller, Jakob Riishede
3 Perry, David
3 Rolski, Tomasz
3 Schmidt, Volker
3 Taksar, Michael I.
2 Avram, Florin
2 Christensen, Bent Jesper
2 Jobmann, Manfred
2 Kalashnikov, Vladimir Vyacheslavovich
2 Kaplan, Norman L.
2 Kroese, Dirk P.
2 Laub, Patrick J.
2 Lipsky, Lester R.
2 Nerman, Olle
2 O’Cinneide, Colm Art
2 Schwefel, Hans-Peter
2 Sigman, Karl
2 Steffensen, Mogens
2 Thøgersen, Julie
2 Wang, Chiali
1 Aurzada, Frank
1 Barndorff-Nielsen, Ole Eiler
1 Bäuerle, Nicole
1 Biard, Romain
1 Binswanger, Klemens
1 Blanchet, Jose H.
1 Boxma, Onno Johan
1 Collamore, Jeffrey F.
1 Edwards, David A.
1 Ernst, Philip A.
1 Fiorini, Pierre M.
1 Fuckerieder, Pascal
1 Haji, Rasoul
1 Hasenbein, John J.
1 Hashorva, Enkelejd
1 Henriksen, Lotte Fløe
1 Hobolth, Asger
1 Jagers, Peter
1 Johansen, Helle
1 Juneja, Sandeep
1 Keiding, Niels
1 Klebaner, Fima C.
1 Konstantinides, Dimitrios G.
1 Koole, Ger
1 Korn, Ralf
1 Korshunov, Dmitry
1 Kurtz, Thomas Gordon
1 Maejima, Makoto
1 Melamed, Benjamin
1 Molchanov, Ilya S.
1 Nielsen, Bo Friis
1 Nielsen, Hanne Mandrup
1 Olsson, Marita
1 Petersen, Søren Schock
1 Pistorius, Martijn R.
1 Pitman, Jim William
1 Ramaswami, Vaidyanathan
1 Rasmus, Sebastian
1 Rogers, Chris B.
1 Rønn-Nielsen, Anders
1 Rosiński, Jan
1 Rydén, Tobias
1 Saffari, Mohammad
1 Schmidli, Hanspeter
1 Segers, Johan
1 Sheahan, Robert
1 Simon, Thomas
1 Taimre, Thomas
1 Teugels, Jozef L.
1 Thompson, Stephen
1 Tsitsiashvili, Gurami Sh.
1 Turova, Tatyana S.
1 Usábel, Miguel A.
1 Vatutin, Vladimir Alekseevich
1 Wiktorsson, Magnus
all top 5

Serials

13 Journal of Applied Probability
13 Stochastic Processes and their Applications
12 Queueing Systems
11 Advances in Applied Probability
7 Communications in Statistics. Stochastic Models
5 Mathematics of Operations Research
5 Insurance Mathematics & Economics
5 Stochastic Models
4 Scandinavian Journal of Statistics
4 The Annals of Probability
4 Scandinavian Actuarial Journal
4 The Annals of Applied Probability
3 Statistics & Probability Letters
3 Methodology and Computing in Applied Probability
2 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
2 Bernoulli
2 Extremes
2 Probability in the Engineering and Informational Sciences
2 Advanced Series on Statistical Science & Applied Probability
2 European Actuarial Journal
1 Mathematical Biosciences
1 The Annals of Statistics
1 The Australian Journal of Statistics
1 Biometrika
1 Management Science
1 Mathematica Scandinavica
1 The Mathematical Scientist
1 Operations Research
1 Siberian Mathematical Journal
1 Statistica Neerlandica
1 Transactions of the American Mathematical Society
1 Operations Research Letters
1 Probability and Mathematical Statistics
1 Acta Applicandae Mathematicae
1 Journal of Theoretical Probability
1 Journal of Applied Mathematics and Stochastic Analysis
1 Annals of Operations Research
1 Communications in Statistics. Simulation and Computation
1 Elektronische Informationsverarbeitung und Kybernetik
1 SIAM Review
1 Journal of Mathematical Sciences (New York)
1 ACM Transactions on Modeling and Computer Simulation
1 Finance and Stochastics
1 Markov Processes and Related Fields
1 Scandinavian Actuarial Journal
1 Theory of Stochastic Processes
1 ASTIN Bulletin
1 Oberwolfach Reports
1 Stochastics
1 Lecture Notes in Mathematics
1 Stochastic Modelling and Applied Probability
1 Journal of Statistical Theory and Practice
1 Stochastic Systems
1 Applications of Mathematics
1 Probability Theory and Stochastic Modelling
1 Wiley Series in Probability and Mathematical Statistics
1 Progress in Probability and Statistics

Publications by Year

Citations contained in zbMATH Open

140 Publications have been cited 4,388 times in 3,100 Documents Cited by Year
Applied probability and queues. 2nd revised and extended ed. Zbl 1029.60001
Asmussen, Søren
705
2003
Ruin probabilities. 2nd ed. Zbl 1247.91080
Asmussen, Søren; Albrecher, Hansjörg
273
2010
Ruin probabilities. Zbl 0960.60003
Asmussen, Søren
268
1997
Applied probability and queues. Zbl 0624.60098
Asmussen, Søren
258
1987
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
221
2007
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
180
1997
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
146
2004
Branching processes. Zbl 0516.60095
Asmussen, S.; Hering, H.
119
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
111
2000
Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047
Asmussen, Søren; Rosiński, Jan
94
2001
Fitting phase-type distributions via the EM algorithm. Zbl 0898.62104
Asmussen, Søren; Nerman, Olle; Olsson, Marita
93
1996
Risk theory in a Markovian environment. Zbl 0684.62073
Asmussen, Søren
91
1989
Stationary distributions for fluid flow models with or without Brownian noise. Zbl 0817.60086
Asmussen, Søren
89
1995
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
71
1998
Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053
Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry
58
2003
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
51
2002
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
48
1996
Marked point processes as limits of Markovian arrival streams. Zbl 0778.60035
Asmussen, Søren; Koole, Ger
48
1993
A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081
Asmussen, Søren; Kella, Offer
42
2000
Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017
Asmussen, Søren; Kroese, Dirk P.
41
2006
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
40
1999
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
38
1999
Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009
Asmussen, Søren; Rojas-Nandayapa, Leonardo
36
2008
Phase-type representations in random walk and queueing problems. Zbl 0755.60049
Asmussen, Søren
36
1992
Approximations for the probability of ruin within finite time. Zbl 0568.62092
Asmussen, Søren
36
1984
Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036
Asmussen, Søren; Pihlsgård, Mats
34
2007
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
34
1995
Computational methods in risk theory: a matrix-algorithmic approach. Zbl 0748.62058
Asmussen, Søren; Rolski, Tomasz
34
1992
Conditioned limit theorems relating a random walk to its associate, with applications to risk reserve processes and the GI/G/1 queue. Zbl 0501.60076
Asmussen, Soren
33
1982
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
31
2006
Stationarity detection in the initial transient problem. Zbl 0842.68106
Asmussen, Søren; Glynn, Peter W.; Thorisson, Hermann
31
1992
Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064
Asmussen, Søren; Bladt, Mogens
30
1997
Rare events simulation for heavy-tailed distributions. Zbl 0958.65010
Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne
29
2000
Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080
Perry, David; Asmussen, Søren
29
1995
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
28
2006
Extreme value theory for queues via cycle maxima. Zbl 0926.60072
Asmussen, Søren
28
1998
Collapsibility and response variables in contingency tables. Zbl 0549.62041
Asmussen, Søren; Edwards, David
28
1983
A local limit theorem for random walk maxima with heavy tails. Zbl 0997.60047
Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami
25
2002
Matrix-analytic models and their analysis. Zbl 0959.60085
Asmussen, Søren
24
2000
Strong limit theorems for general supercritical branching processes with applications to branching diffusions. Zbl 0325.60081
Asmussen, Soren; Hering, Heinrich
24
1976
Conjugate processes and the simulation of ruin problems. Zbl 0574.60095
Asmussen, Søren
23
1985
Branching random walks. II. Zbl 0322.60065
Kaplan, Norman; Asmussen, Soren
22
1976
The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112
Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul
21
2013
Efficient simulation of tail probabilities of sums of correlated lognormals. Zbl 1279.60027
Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo
20
2011
Risk theory in a periodic environment: The Cramér-Lundberg approximation and Lundberg’s inequality. Zbl 0801.60091
Asmussen, Søren; Rolski, Tomasz
19
1994
Ladder heights and the Markov-modulated M/G/1 queue. Zbl 0734.60091
Asmussen, Søren
19
1991
Branching random walks. I. Zbl 0317.60034
Asmussen, Soren; Kaplan, Norman
19
1976
Steady state rare events simulation in queueing models and its complexity properties. Zbl 0848.60085
Asmussen, Søren; Rubinstein, Reuven Y.
18
1995
Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067
Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia
18
1994
On cycle maxima, first passage problems and extreme value theory for queues. Zbl 0762.60086
Asmussen, Søren; Perry, David
17
1992
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
16
2008
Ruin probabilities via local adjustment coefficients. Zbl 0834.60099
Asmussen, Søren; Nielsen, Hanne Mandrup
16
1995
Ruin probabilities expressed in terms of storage processes. Zbl 0657.60111
Asmussen, Søren; Petersen, Søren Schock
16
1988
Monotone stochastic recursions and their duals. Zbl 1095.60519
Asmussen, Søren; Sigman, Karl
15
1996
Necessary and sufficient conditions for complete convergence in the law of large numbers. Zbl 0426.60026
Asmussen, Soren; Kurtz, Thomas G.
15
1980
Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086
Asmussen, Søren
14
1994
Queueing simulation in heavy traffic. Zbl 0754.60101
Asmussen, Søren
14
1992
Aspects of matrix Wiener-Hopf factorisation in applied probability. Zbl 0688.60055
Asmussen, Søren
14
1989
Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071
Asmussen, Søren; Møller, Jakob R.
13
1999
A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040
Asmussen, Søren
13
1998
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
12
2016
Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028
Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y.
12
2005
Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077
Asmussen, Søren; Bladt, Mogens
12
1999
An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model. Zbl 0981.60069
Asmussen, Søren; Perry, David
12
1998
Rate modulation in dams and ruin problems. Zbl 0860.60060
Asmussen, Søren; Kella, Offer
12
1996
Stationary distributions via first passage times. Zbl 0866.60077
Asmussen, Søren
12
1995
Martingale central limit theorems and asymptotic estimation theory for multitype branching processes. Zbl 0391.60076
Asmussen, Soren; Keiding, Niels
12
1978
Convergence rates for branching processes. Zbl 0329.60053
Asmussen, Soren
12
1976
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
11
2011
A Markov chain approach to periodic queues. Zbl 0623.60116
Asmussen, Søren; Thorisson, Hermann
11
1987
Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093
Asmussen, Søren; Bladt, Mogens
10
1994
Strong limit theorems for supercritical immigration-branching processes. Zbl 0348.60117
Asmussen, Soren; Hering, Heinrich
10
1977
Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018
Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter
9
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.
9
2001
Convergece rates for \(M/G/1\) queues and ruin problems with heavy tails. Zbl 0881.60081
Asmussen, Søren; Teugels, Jozef L.
9
1996
Light traffic equivalence in single-server queues. Zbl 0762.60085
Asmussen, Søren
9
1992
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
Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory. Zbl 0744.60108
Asmussen, Soren; Ramaswami, V.
9
1990
Exponential families generated by phase-type distributions and other Markov lifetimes. Zbl 0697.60076
Asmussen, Søren
9
1989
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
8
1998
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
Exponential family techniques for the lognormal left tail. Zbl 06628983
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
7
2016
Ruin probabilities for a regenerative Poisson gap generated risk process. Zbl 1229.91151
Asmussen, Søren; Biard, Romain
7
2011
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
The heavy traffic limit of a class of Markovian queueing models. Zbl 0632.60065
Asmussen, Søren
6
1987
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
Tail asymptotics of light-tailed Weibull-like sums. Zbl 1395.62031
Asmussen, Søren; Hashorva, Enkelejd; Laub, Patrick J.; Taimre, Thomas
5
2017
Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029
Asmussen, Søren; Kortschak, Dominik
5
2015
Local time asymptotics for centered Lévy processes with two-sided reflection. Zbl 1229.60061
Andersen, Lars Nørvang; Asmussen, Søren
5
2011
Sensitivity analysis of insurance risk models via simulation. Zbl 1231.91140
Asmussen, Søren; Rubinstein, Reuven Y.
5
1999
Phase-type distributions and related point processes: Fitting and recent advances. Zbl 0865.62057
Asmussen, Søren
5
1997
Ladder height distributions with marks. Zbl 0829.60093
Asmussen, Søren; Schmidt, Volker
5
1995
Renovation, regeneration, and coupling in multiple-server queues in continuous time. Zbl 0814.60087
Asmussen, S.; Foss, S. G.
5
1993
Large deviation results for time-dependent queue length distributions. Zbl 0646.60096
Asmussen, Søren; Thorisson, Hermann
5
1988
On some two-sex population models. Zbl 0442.60080
Asmussen, Soren
5
1980
Markov renewal methods in restart problems in complex systems. Zbl 1354.60109
Asmussen, Søren; Lipsky, Lester; Thompson, Stephen
4
2016
Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408
Asmussen, Søren; Pihlsgård, Mats
4
2005
Matrix representations of life insurance payments. Zbl 1452.91262
Bladt, Mogens; Asmussen, Søren; Steffensen, Mogens
1
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
2
2019
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
Discretization error for a two-sided reflected Lévy process. Zbl 1408.60036
Asmussen, Søren; Ivanovs, Jevgenijs
2
2018
Regular variation in a fixed-point problem for single- and multi-class branching processes and queues. Zbl 1443.60077
Asmussen, Søren; Foss, Sergey
1
2018
A factorization of a Lévy process over a phase-type horizon. Zbl 1411.60068
Asmussen, Søren; Ivanovs, Jevgenijs
1
2018
Tail asymptotics of light-tailed Weibull-like sums. Zbl 1395.62031
Asmussen, Søren; Hashorva, Enkelejd; Laub, Patrick J.; Taimre, Thomas
5
2017
Time inhomogeneity in longest gap and longest run problems. Zbl 1395.60009
Asmussen, Søren; Ivanovs, Jevgenijs; Nielsen, Anders Rønn
3
2017
On the Laplace transform of the lognormal distribution. Zbl 1386.60066
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
12
2016
Exponential family techniques for the lognormal left tail. Zbl 06628983
Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo
7
2016
Markov renewal methods in restart problems in complex systems. Zbl 1354.60109
Asmussen, Søren; Lipsky, Lester; Thompson, Stephen
4
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
1
2016
Error rates and improved algorithms for rare event simulation with heavy Weibull tails. Zbl 1347.60029
Asmussen, Søren; Kortschak, Dominik
5
2015
Lévy processes with two-sided reflection. Zbl 1338.60126
Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats
3
2015
Lévy processes, phase-type distributions, and martingales. Zbl 1305.60033
Asmussen, Søren
3
2014
On exceedance times for some processes with dependent increments. Zbl 1296.60120
Asmussen, Søren; Foss, Sergey
3
2014
The M/M/1 queue with inventory, lost sale, and general lead times. Zbl 1273.60112
Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul
21
2013
Portfolio size as function of the premium: modelling and optimization. Zbl 1292.91088
Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael
3
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
3
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
20
2011
A new proof of convergence of MCMC via the ergodic theorem. Zbl 1232.65015
Asmussen, Søren; Glynn, Peter W.
11
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
273
2010
Asymptotics of sums of lognormal random variables with Gaussian copula. Zbl 1151.60009
Asmussen, Søren; Rojas-Nandayapa, Leonardo
36
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
16
2008
Stochastic simulation: Algorithms and analysis. Zbl 1126.65001
Asmussen, Søren; Glynn, Peter W.
221
2007
Loss rates for Lévy processes with two reflecting barriers. Zbl 1341.60036
Asmussen, Søren; Pihlsgård, Mats
34
2007
Improved algorithms for rare event simulation with heavy tails. Zbl 1097.65017
Asmussen, Søren; Kroese, Dirk P.
41
2006
Tail asymptotics for the sum of two heavy-tailed dependent risks. Zbl 1142.60009
Albrecher, Hansjörg; Asmussen, Søren; Kortschak, Dominik
31
2006
Ruin probabilities and aggregate claims distributions for shot noise Cox processes. Zbl 1129.91022
Albrecher, Hansjörg; Asmussen, Søren
28
2006
Heavy tails, importance sampling and cross - entropy. Zbl 1073.62028
Asmussen, Søren; Kroese, Dirk P.; Rubinstein, Reuven Y.
12
2005
Performance analysis with truncated heavy-tailed distributions. Zbl 1102.68408
Asmussen, Søren; Pihlsgård, Mats
4
2005
Russian and American put options under exponential phase-type Lévy models. Zbl 1075.60037
Asmussen, Søren; Avram, Florin; Pistorius, Martijn R.
146
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
705
2003
Asymptotics for sums of random variables with local subexponential behaviour. Zbl 1033.60053
Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry
58
2003
Risk comparisons of premium rules: Optimality and a life insurance study. Zbl 1024.62040
Asmussen, Søren; Møller, Jakob R.
2
2003
Erlangian approximations for finite-horizon ruin probabilities. Zbl 1081.60028
Asmussen, Soren; Avram, Florin; Usabel, Miguel
51
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
25
2002
Exact buffer overflow calculations for queues via martingales. Zbl 1035.90018
Asmussen, Søren; Jobmann, Manfred; Schwefel, Hans-Peter
9
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
2
2002
Approximations of small jumps of Lévy processes with a view towards simulation. Zbl 0989.60047
Asmussen, Søren; Rosiński, Jan
94
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
111
2000
A multi-dimensional martingale for Markov additive processes and its applications. Zbl 0961.60081
Asmussen, Søren; Kella, Offer
42
2000
Rare events simulation for heavy-tailed distributions. Zbl 0958.65010
Asmussen, Søren; Binswanger, Klemens; Højgaard, Bjarne
29
2000
Matrix-analytic models and their analysis. Zbl 0959.60085
Asmussen, Søren
24
2000
Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Zbl 0942.60033
Asmussen, Søren; Schmidli, Hanspeter; Schmidt, Volker
40
1999
Sampling at subexponential times, with queueing applications. Zbl 0961.60080
Asmussen, Søren; Klüppelberg, Claudia; Sigman, Karl
38
1999
Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Zbl 0955.60071
Asmussen, Søren; Møller, Jakob R.
13
1999
Point processes with finite-dimensional conditional probabilities. Zbl 0997.60077
Asmussen, Søren; Bladt, Mogens
12
1999
Sensitivity analysis of insurance risk models via simulation. Zbl 1231.91140
Asmussen, Søren; Rubinstein, Reuven Y.
5
1999
Approximations for finite horizon ruin probabilities in the renewal model. Zbl 0952.91039
Asmussen, Søren; Højgaard, Bjarne
4
1999
Semi-Markov queues with heavy tails. Zbl 0984.60099
Asmussen, Soren
3
1999
Exact asymptotics for a large deviations problem for the GI/G/1 queue. Zbl 0948.60088
Asmussen, S.; Collamore, J. F.
2
1999
Stochastic simulation with a view towards stochastic processes. Zbl 0981.65013
Asmussen, Søren
2
1999
Subexponential asymptotics for stochastic processes: Extremal behavior, stationary distributions and first passage probabilities. Zbl 0942.60034
Asmussen, Søren
71
1998
Extreme value theory for queues via cycle maxima. Zbl 0926.60072
Asmussen, Søren
28
1998
A probabilistic look at the Wiener-Hopf equation. Zbl 0926.60040
Asmussen, Søren
13
1998
An operational calculus for matrix-exponential distributions, with applications to a Brownian \((q,Q)\) inventory model. Zbl 0981.60069
Asmussen, Søren; Perry, David
12
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
8
1998
Stationarity properties of neural networks. Zbl 0933.60097
Asmussen, Søren; Turova, Tatyana S.
1
1998
Ruin probabilities. Zbl 0960.60003
Asmussen, Søren
268
1997
Controlled diffusion models for optimal dividend pay-out. Zbl 1065.91529
Asmussen, Søren; Taksar, Michael
180
1997
Renewal theory and queueing algorithms for matrix-exponential distributions. Zbl 0872.60064
Asmussen, Søren; Bladt, Mogens
30
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
93
1996
Large deviations results for subexponential tails, with applications to insurance risk. Zbl 0879.60020
Asmussen, S.; Klüppelberg, C.
48
1996
Monotone stochastic recursions and their duals. Zbl 1095.60519
Asmussen, Søren; Sigman, Karl
15
1996
Rate modulation in dams and ruin problems. Zbl 0860.60060
Asmussen, Søren; Kella, Offer
12
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
89
1995
Discretization error in simulation of one-dimensional reflecting Brownian motion. Zbl 0853.65147
Asmussen, Søren; Glynn, Peter; Pitman, Jim
34
1995
Rejection rules in the \(M/G/1\) queue. Zbl 0835.60080
Perry, David; Asmussen, Søren
29
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
12
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
19
1994
Large claims approximations for risk processes in a Markovian environment. Zbl 0814.60067
Asmussen, Søren; Henriksen, Lotte Fløe; Klüppelberg, Claudia
18
1994
Busy period analysis, rare events and transient behavior in fluid flow models. Zbl 0826.60086
Asmussen, Søren
14
1994
Poisson’s equation for queues driven by a Markovian marked point process. Zbl 0809.60093
Asmussen, Søren; Bladt, Mogens
10
1994
Regenerative rare events simulation via likelihood ratios. Zbl 0822.62101
Asmussen, Sœren; Rubinstein, Reuven Y.; Wang, Chia-Li
6
1994
A sample path approach to mean busy periods for Markov-modulated queues and fluids. Zbl 0826.60085
Asmussen, Søren; Bladt, Mogens
3
1994
Regenerative simulation of TES processes. Zbl 0804.65146
Asmussen, Søren; Melamed, Benjamin
2
1994
Marked point processes as limits of Markovian arrival streams. Zbl 0778.60035
Asmussen, Søren; Koole, Ger
48
1993
Renovation, regeneration, and coupling in multiple-server queues in continuous time. Zbl 0814.60087
Asmussen, S.; Foss, S. G.
5
1993
Response surface estimation and sensitivity analysis via efficient change of measure. Zbl 0777.60084
Asmussen, Søren; Rubinstein, Reuven Y.
3
1993
The ascending ladder height distribution for a certain class of dependent random walks. Zbl 0829.60060
Asmussen, S.; Schmidt, V.
2
1993
...and 40 more Documents
all top 5

Cited by 3,184 Authors

69 Asmussen, Søren
59 Mandjes, Michel Robertus Hendrikus
47 Yang, Hailiang
40 Boxma, Onno Johan
39 Glynn, Peter W.
37 Zwart, Bert P.
35 Albrecher, Hansjörg
33 Palmowski, Zbigniew
30 Blanchet, Jose H.
29 Perry, David
28 Zhang, Zhimin
26 Ivanovs, Jevgeņijs
24 Cheung, Eric C. K.
23 Chen, Anyue
23 Stadje, Wolfgang
23 Tang, Qihe
23 Wang, Yuebao
22 Foss, Sergey G.
22 Kyprianou, Andreas E.
22 Latouche, Guy
21 Avram, Florin
21 Landriault, David
21 Whitt, Ward
21 Yin, Chuancun
20 Li, Junping
19 Pistorius, Martijn R.
19 Willmot, Gordon E.
19 Yamazaki, Kazutoshi
18 He, Qi-Ming
17 Kella, Offer
17 van Leeuwaarden, Johan S. H.
17 Yuen, Kam Chuen
16 Ahn, Soohan
16 Badescu, Andrei L.
16 Dębicki, Krzysztof
16 Guo, Junyi
16 Hashorva, Enkelejd
16 Loisel, Stéphane
16 Wang, Kaiyong
16 Yang, Hu
15 Bladt, Mogens
15 Breuer, Lothar
15 Frostig, Esther
15 Lefèvre, Claude
15 Sigman, Karl
15 Vlasiou, Maria
14 Jin, Zhuo
14 Kortschak, Dominik
14 Stanford, David A.
13 Klüppelberg, Claudia
13 Li, Shuanming
13 Liu, Jingchen
13 Schmidli, Hanspeter
13 Taylor, Peter Gerrard
13 Wu, Rong
12 Adan, Ivo J. B. F.
12 Dieker, A. B.
12 Gatto, Riccardo
12 Politis, Konstadinos
12 Ren, Jiandong
12 Rolski, Tomasz
11 Alsmeyer, Gerold
11 Borovkov, Aleksandr Alekseevich
11 Cai, Jun
11 Dickson, David C. M.
11 Janssen, Augustus Josephus Elizabeth Maria
11 Malinovskiĭ, Vsevolod Konstantinovich
11 Masuyama, Hiroyuki
11 Miyazawa, Masakiyo
11 Pérez Garmendia, Jose Luis
11 Ren, Yanxia
11 Samorodnitsky, Gennady Pinkhosovich
11 Song, Renming
11 Wang, Rongming
11 Zhao, Yiqiang Q.
10 Afanaseva, Larisa G.
10 Bean, Nigel G.
10 Bertail, Patrice
10 Clémençon, Stéphan
10 Korshunov, Dmitry
10 Krishnamoorthy, Achyutha
10 Li, Quanlin
10 Maller, Ross Arthur
10 O’Reilly, Małgorzata M.
10 Rabehasaina, Landy
10 Ramaswami, Vaidyanathan
10 Rojas-Nandayapa, Leonardo
10 Siu, Tak Kuen
10 Yin, Gang George
9 Barron, Yonit
9 Bäuerle, Nicole
9 Hu, Yijun
9 Kim, Bara
9 Macci, Claudio
9 Pitts, Susan M.
9 Taksar, Michael I.
9 Zhou, Ming
8 Baccelli, François Louis
8 Bai, Lihua
8 Ball, Frank G.
...and 3,084 more Authors
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Cited in 307 Serials

291 Insurance Mathematics & Economics
202 Queueing Systems
187 Journal of Applied Probability
175 Stochastic Processes and their Applications
109 Statistics & Probability Letters
109 The Annals of Applied Probability
108 Advances in Applied Probability
105 Stochastic Models
87 Methodology and Computing in Applied Probability
75 Scandinavian Actuarial Journal
70 Journal of Computational and Applied Mathematics
62 European Journal of Operational Research
59 Annals of Operations Research
46 Operations Research Letters
37 Probability in the Engineering and Informational Sciences
33 ASTIN Bulletin
32 Bernoulli
29 The Annals of Probability
25 Acta Mathematicae Applicatae Sinica. English Series
25 Mathematical Methods of Operations Research
23 Journal of Statistical Physics
23 Journal of Theoretical Probability
21 Communications in Statistics. Theory and Methods
21 Finance and Stochastics
21 Extremes
20 Journal of Statistical Planning and Inference
19 European Actuarial Journal
18 Journal of Mathematical Analysis and Applications
18 Journal of Industrial and Management Optimization
17 Applied Mathematics and Computation
17 Probability Theory and Related Fields
16 Stochastic Analysis and Applications
16 International Journal of Theoretical and Applied Finance
15 Quantitative Finance
14 Mathematical Biosciences
14 Journal of Optimization Theory and Applications
14 Computational Statistics and Data Analysis
14 Cybernetics and Systems Analysis
14 Journal of Mathematical Sciences (New York)
13 Frontiers of Mathematics in China
13 Stochastic Systems
12 Journal of Mathematical Biology
12 Acta Applicandae Mathematicae
12 Applied Mathematical Modelling
12 Mathematical Problems in Engineering
12 North American Actuarial Journal
11 Computers & Mathematics with Applications
11 The Annals of Statistics
11 Scandinavian Actuarial Journal
11 Theory of Probability and Mathematical Statistics
11 ACM Transactions on Modeling and Computer Simulation
11 Applied Stochastic Models in Business and Industry
11 Stochastics
10 Theory of Probability and its Applications
10 Applied Mathematics and Optimization
10 Automation and Remote Control
10 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
10 Mathematical Finance
10 Journal of the Korean Statistical Society
10 Electronic Journal of Statistics
9 Scandinavian Journal of Statistics
9 Journal of Multivariate Analysis
9 Computers & Operations Research
9 Monte Carlo Methods and Applications
9 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
9 Journal of Systems Science and Complexity
9 Science China. Mathematics
9 Statistics and Computing
9 Modern Stochastics. Theory and Applications
8 Journal of Computational Physics
8 Siberian Mathematical Journal
8 Probability and Mathematical Statistics
8 INFORMS Journal on Computing
8 Acta Mathematica Sinica. English Series
7 Lithuanian Mathematical Journal
7 Ukrainian Mathematical Journal
7 Mathematics of Operations Research
7 Mathematical and Computer Modelling
7 Journal of Statistical Computation and Simulation
7 Linear Algebra and its Applications
7 Electronic Journal of Probability
7 Discrete Dynamics in Nature and Society
7 SIAM/ASA Journal on Uncertainty Quantification
6 Operations Research
6 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
6 Communications in Statistics. Simulation and Computation
6 SIAM Journal on Scientific Computing
5 Kybernetika
5 Mathematics and Computers in Simulation
5 Naval Research Logistics
5 SIAM Journal on Numerical Analysis
5 Theoretical Population Biology
5 Sequential Analysis
5 Statistical Science
5 SIAM Journal on Applied Mathematics
5 Top
5 Sibirskie Èlektronnye Matematicheskie Izvestiya
5 ALEA. Latin American Journal of Probability and Mathematical Statistics
5 Journal of Theoretical Biology
4 Problems of Information Transmission
...and 207 more Serials
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Cited in 44 Fields

2,338 Probability theory and stochastic processes (60-XX)
1,088 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
662 Operations research, mathematical programming (90-XX)
613 Statistics (62-XX)
321 Numerical analysis (65-XX)
206 Systems theory; control (93-XX)
181 Computer science (68-XX)
92 Biology and other natural sciences (92-XX)
65 Calculus of variations and optimal control; optimization (49-XX)
47 Statistical mechanics, structure of matter (82-XX)
37 Partial differential equations (35-XX)
36 Combinatorics (05-XX)
28 Integral transforms, operational calculus (44-XX)
27 Integral equations (45-XX)
22 Ordinary differential equations (34-XX)
17 Linear and multilinear algebra; matrix theory (15-XX)
16 Dynamical systems and ergodic theory (37-XX)
14 Approximations and expansions (41-XX)
14 Operator theory (47-XX)
10 Number theory (11-XX)
10 Fluid mechanics (76-XX)
8 Information and communication theory, circuits (94-XX)
7 Measure and integration (28-XX)
7 Special functions (33-XX)
6 Functions of a complex variable (30-XX)
5 Difference and functional equations (39-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
4 Real functions (26-XX)
4 Geophysics (86-XX)
3 Field theory and polynomials (12-XX)
3 Functional analysis (46-XX)
3 Global analysis, analysis on manifolds (58-XX)
3 Classical thermodynamics, heat transfer (80-XX)
2 History and biography (01-XX)
2 Convex and discrete geometry (52-XX)
2 Quantum theory (81-XX)
2 Mathematics education (97-XX)
1 General and overarching topics; collections (00-XX)
1 Mathematical logic and foundations (03-XX)
1 Commutative algebra (13-XX)
1 General topology (54-XX)
1 Mechanics of particles and systems (70-XX)
1 Mechanics of deformable solids (74-XX)
1 Optics, electromagnetic theory (78-XX)

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