Søren Asmussen

  1. 2017
  2. Submitted
  3. Published

    Distinguishing log-concavity from heavy tails. / Asmussen, Søren; Lehtomaa, Jaakko Valtteri.

    2017.

    Research output: ResearchWorking paper

  4. Submitted
  5. Submitted

    On preemptive-repeat LIFO queues. / Asmussen, Søren; Glynn, P.W.

    2017.

    Research output: Research - peer-reviewWorking paper

  6. Submitted

    Tail asymptotics for light-tailed weibull-like sums. / Asmussen, Søren; Laub, Patrick; Taimre, T.

    2017.

    Research output: ResearchWorking paper

  7. Published

    Time inhomogeneity in longest gap and longest run problems. / Asmussen, Søren; Ivanovs, Jevgenijs; Rønn-Nielsen, Anders.

    In: Stochastic Processes and Their Applications, Vol. 127, No. 2, 2017, p. 574-589.

    Research output: Research - peer-reviewJournal article

  8. 2016
  9. Published

    Approximating the Laplace transform of the sum of dependent lognormals. / Laub, Patrick J.; Asmussen, Søren; Jensen, Jens L.; Rojas-Nandayapa, Leonardo.

    In: Advances in Applied Probability, Vol. 48, No. A, 2016, p. 203-215.

    Research output: Research - peer-reviewJournal article

  10. Published

    Distinguishing log-concavity from heavy tails. / Asmussen, Søren; Lehtomaa, Jaakko Valtteri.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2016.

    Research output: ResearchWorking paper

  11. Published

    Exponential Family Techniques for the Lognormal Left Tail. / Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo.

    In: Scandinavian Journal of Statistics, Vol. 43, No. 3, 2016, p. 774-787.

    Research output: Research - peer-reviewJournal article

  12. Published

    Linear algebraic methods in RESTART problems in Markovian systems. / Thompson, S; Lipsky, L.; Asmussen, Søren.

    Principles of Performance and Reliability Modeling and Evaluation: Essays in Honor of Kishor Trivedi on his 70th Birthday. ed. / L. Fiondella; A. Puliafito. Vol. Part 3 Springer International Publishing, 2016. p. 449-479.

    Research output: Research - peer-reviewBook chapter

  13. Published

    Markov Dependence in Renewal Equations and Random Sums with Heavy Tails. / Asmussen, Søren; Thøgersen, Julie.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2016.

    Research output: ResearchWorking paper

  14. Published

    Markov Renewal Methods in Restart Problems in Complex Systems. / Asmussen, Søren; Lipsky, Lester; Thompson, Stephen.

    The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. ed. / Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen; D. Almut E. Veraart. Cham : Springer, 2016. p. 501-527.

    Research output: Research - peer-reviewBook chapter

  15. Published

    On the Laplace transform of the lognormal distribution. / Jensen, Jens Ledet; Asmussen, Søren; Rojas-Nandayapa, Leonardo.

    In: Methodology and Computing in Applied Probability, Vol. 18, No. 2, 2016, p. 441-458.

    Research output: Research - peer-reviewJournal article

  16. Published

    Orthonormal polynomial expansions and lognormal sum densities. / Asmussen, Søren; Goffard, Pierre-Olivier; Laub, Patrick.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2016.

    Research output: ResearchWorking paper

  17. Published

    Orthonormal polynomial expansions and lognormal sum densities. / Asmussen, Søren; Laub, Patrick; Goffard, Pierre-Olivier.

    Risk and Stochastics. Ragnar Norberg at 70. ed. / P. Barrieu. World Scientific, 2016.

    Research output: Research - peer-reviewBook chapter

  18. Published

    Stability and tail asymptotics in a multiclass queue with state dependent arrival rates. / Asmussen, Søren; Ernst, P; Hasenbein, J.

    In: arXiv, 2016.

    Research output: ResearchJournal article

  19. 2015
  20. Published

    Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails. / Asmussen, Søren; Kortschak, Dominik.

    In: Methodology and Computing in Applied Probability, Vol. 17, No. 2, 2015, p. 1-21.

    Research output: Research - peer-reviewJournal article

  21. Published

    Lévy Matters V : Functionals of Levy Processes. / Andersen, Lars Nørvang; Asmussen, Søren; Aurzada, Frank; Glynn, Peter W.; Maejima, Makoto; Pihlsgard, Mats; Simon, Thomas.

    Springer, 2015. 224 p.

    Research output: Research - peer-reviewBook

  22. Published

    Lévy processes with two-sided reflection. / Andersen, Lars Nørvang; Asmussen, Søren; Glynn, Peter W.; Pihlsgård, Mats.

    Lévy Matters V. Springer Lecture Notes in Mathematics, 2015. p. 67-182.

    Research output: ResearchBook chapter

  23. Published

    Markov Renewal Methods in Restart Problems in Complex Systems. / Asmussen, Søren; Lipsky, Lester; Thompson, Stephen.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2015.

    Research output: ResearchWorking paper

  24. Published

    Markov renewal methods in RESTART problems in complex systems. / Asmussen, Søren; Lipsky, L.; Thompson, S.

    The Fascination of Probability, Statistics, and their Applications. In Honour of Ole E. Barndorff-Nielsen. ed. / Mark Podolskij; Robert Stelzer; Steen Thorbjørnsen; Almut E.D. Veraart. Springer Verlag, 2015. p. 501-527.

    Research output: Research - peer-reviewArticle in proceedings

  25. Published

    Time inhomogeneity in longest gap and longest run problems. / Asmussen, Søren; Ivanovs, Jevgenijs; Rønn-Nielsen, Anders.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2015.

    Research output: ResearchWorking paper

  26. 2014
  27. Accepted/In press

    JOE GANI, 90 YEARS. / Asmussen, Soren; Daley, Daryl J.; Glynn, Peter W.; Kelly, Frank; Taylor, Peter G.

    In: Journal of Applied Probability, Vol. 51, No. 4, 12.2014.

    Research output: Research - peer-reviewJournal article

  28. Published

    Checkpointing in failure recovery in computing and data transmission. / Asmussen, Søren; Lipsky, Lester; Thompson, Stephen.

    Analytical and Stochastic Modeling Techniques and Applications. ed. / B. Sericola; M. Telek; G. Horváth. Springer, 2014. p. 253-272.

    Research output: Research - peer-reviewArticle in proceedings

  29. Published

    Exponential Family Techniques for the Lognormal Left Tail. / Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2014.

    Research output: ResearchWorking paper

  30. Published

    Lévy processes, phase-type distributions, and martingales. / Asmussen, Søren.

    In: Stochastic Models, Vol. 30, No. 4, 2014, p. 443-468.

    Research output: Research - peer-reviewJournal article

  31. Published

    Obituary: Marcel F. Neuts 1935-2014. / Asmussen, Søren; Nielsen, Bo Friis.

    In: Journal of Applied Probability, Vol. 51, No. 4, 2014, p. 895-897.

    Research output: CommunicationJournal article

  32. Published

    On exceedance times for some processes with dependent increments. / Asmussen, Soren; Foss, Sergey.

    In: Journal of Applied Probability, Vol. 51, No. 1, 2014, p. 136-151.

    Research output: Research - peer-reviewJournal article

  33. 2013
  34. Published

    Error rates and improved algorithms for rare event simulation with heavy Weibull tails. / Asmussen, Søren; Kortschak, Dominik.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2013.

    Research output: ResearchWorking paper

  35. Published

    Modeling and performance of Bonus-Malus Systems: Stationarity versus age-correction. / Asmussen, Søren.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2013.

    Research output: ResearchWorking paper

  36. Published

    On the Laplace transform of the Lognormal distribution. / Asmussen, Søren; Jensen, Jens Ledet; Rojas-Nandayapa, Leonardo.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2013.

    Research output: ResearchWorking paper

  37. Published

    Portfolio size as function of the premium : modelling and optimization. / Asmussen, S.; Christensen, B.J.; Taksar, Michael.

    In: Stochastics, Vol. 85, No. 4 (Taksar Memorial Issue), 2013, p. 575-588.

    Research output: Research - peer-reviewJournal article

  38. Published

    Portfolio size as funktion of the premium: modeling and optimization. / Asmussen, Søren; Christensen, Bent Jesper; Taksar, Michael I.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2013.

    Research output: ResearchWorking paper

  39. Published

    Second order corrections for the limits of normalized ruin times in the presence of heavy tails. / Kortschak, Dominik; Asmussen, Søren.

    In: Stochastic Systems, Vol. 3, No. 2, 2013, p. 591-633.

    Research output: Research - peer-reviewJournal article

  40. Published

    The M/M/1 queue with inventory, lost sale, and general lead times. / Saffari, Mohammad; Asmussen, S.; Haji, Rasoul.

    In: Queueing Systems, Vol. 75, No. 1, 2013, p. 65-77.

    Research output: Research - peer-reviewJournal article

  41. 2012
  42. Published

    Tail asymptotics for dependent subexponential differences. / Albrecher, H.; Asmussen, S.; Kortschak, D.

    In: Siberian Mathematical Journal, Vol. 53, No. 6, 01.01.2012, p. 965-983.

    Research output: Research - peer-reviewJournal article

  43. Published

    Markov bridges, bisection and variance reduction. / Asmussen, Søren; Hobolth, Asger.

    Monte Carlo and Quasi-Monte Carlo Methods 2010. ed. / Leszek Plaskota; Henryk Wozniakowski. Springer, 2012. p. 3-22.

    Research output: Research - peer-reviewArticle in proceedings

  44. Published

    On Exceedance Times for Some Processes with Dependent Increments. / Asmussen, Søren; Foss, Sergey.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2012.

    Research output: ResearchWorking paper

  45. Published

    On error rates in rare event simulation with heavy tails. / Asmussen, Søren; Kortschak, Dominik.

    T.N. Thiele Centre, Department of Mathematics, Aarhus University, 2012.

    Research output: ResearchWorking paper

  46. Published

    On error rates in rare event simulation with heavy tails. / Asmussen, S.; Kortschak, D.

    Proceedings of the 2012 Winter Simulation Conference (WSC). IEEE Press, 2012. p. 1-11.

    Research output: Research - peer-reviewArticle in proceedings

  47. 2011
  48. Published

    Second order corrections for the limits of normalized ruin times in the presence of heavy tails. / Asmussen, Søren; Kortschak, Dominik.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2011.

    Research output: ResearchWorking paper

  49. Published

    Tail asymptotics for dependent subexponential differences. / Albrecher, H; Asmussen, Søren; Kortschak, D.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2011.

    Research output: ResearchWorking paper

  50. Published

    Ruin probabilities for a regenerative Poisson gap generated risk process. / Asmussen, Søren; Biard, Romain.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2011.

    Research output: ResearchWorking paper

  51. Published

    Markov bridges, bisection and variance reduction. / Asmussen, Søren; Hobolth, Asger.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2011.

    Research output: ResearchWorking paper

  52. Published

    A new proof of convergence of MCMC via the ergodic theorem. / Asmussen, Søren; Glynn, Peter W.

    In: Statistics & Probability Letters, Vol. 81, No. 10, 2011, p. 1482-1485.

    Research output: Research - peer-reviewJournal article

  53. Published

    A note on skewness in regenerative simulation. / Asmussen, Søren; Rydén, Tobias.

    In: Communications in Statistics: Simulation and Computation, Vol. 40, No. 1, 2011, p. 45-57.

    Research output: Research - peer-reviewJournal article

  54. Published

    Efficient simulation of tail probabilities of sums of correlated lognormals. / Asmussen, Søren; Blanchet, José; Juneja, sandeep; Rojas-Nandayapa, Leonardo.

    In: Annals of Operations Research, Vol. 189, No. 1, 2011, p. 5-23.

    Research output: Research - peer-reviewJournal article

  55. Published

    Local time asymptotics for centered Lévy processes with two-sided reflection. / Andersen, Lars Nørvang; Asmussen, Søren.

    In: Stochastic Models, Vol. 27, No. 2, 2011, p. 202-219.

    Research output: Research - peer-reviewJournal article

  56. Published

    Ruin probabilities for a regenerative Poisson gap generated risk process. / Asmussen, Søren; Biard, Romain.

    In: European Actuarial Journal, Vol. 1, No. 1, 2011, p. 3-22.

    Research output: Research - peer-reviewJournal article

  57. 2010
  58. Published

    The M/M/1 queue with inventory, lost sale and general lead times. / Saffari, Mohammad; Asmussen, Søren; Haji, Rasoul.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2010.

    Research output: ResearchWorking paper

  59. Published

    Harris Recurrence and MCMC: A Simplified Approach. / Asmussen, Søren; Glynn, Peter W.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2010.

    Research output: ResearchWorking paper

  60. Published

    Failure Recovery via RESTART: Wallclock Models. / Asmussen, Søren; Rønn-Nielsen, Anders.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2010.

    Research output: ResearchWorking paper

  61. Published

    Rare event simulation. / Asmussen, Søren.

    Encyclopedia of quantitative finance. ed. / Rama Cont. Wiley, 2010.

    Research output: CommunicationEncyclopedia entry

  62. Published

    Ruin probabilities. / Asmussen, Søren; Albrecher, Hansjörg.

    2. ed. New Jersey : World Scientific Publishing Co Pte Ltd, 2010. 602 p.

    Research output: ResearchBook

  63. Published

    Ruin theory. / Asmussen, Søren.

    Encyclopedia of quantitative finance. ed. / Rama Cont. Wiley, 2010.

    Research output: CommunicationEncyclopedia entry

  64. Published

    Section 21: Actuarial methods. / Asmussen, Søren (Editor); Lyang, H. (Editor).

    Encyclopedia of quantitative finance. ed. / Rama Cont. Wiley, 2010.

    Research output: CommunicationBook chapter

  65. 2009
  66. Published

    Local time asymptotics for centered Lévy processes with two-sided reflection. / Andersen, Lars Nørvang; Asmussen, Søren.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2009.

    Research output: ResearchWorking paper

  67. Published

    Importance sampling for failure probabilities in computing and data transmission. / Asmussen, Søren.

    In: Journal of Applied Probability, Vol. 46, No. 3, 2009, p. 768-790.

    Research output: Research - peer-reviewJournal article

  68. 2008
  69. Published

    Importance Sampling for Failure Probabilities in Computing and Data Transmission. / Asmussen, Søren.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2008.

    Research output: ResearchWorking paper

  70. Published

    Efficient simulation of tail probabilities of sums of correlated lognormals. / Asmussen, Søren; Blanchet, José; Juneja, Sandeep; Rojas-Nandayapa, Leonardo.

    Århus : Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2008.

    Research output: ResearchWorking paper

  71. Published

    Asymptotic behaviour of total times for jobs that must start over if a failure occurs. / Asmussen, Søren; Fiorini, Pierre; Lipsky, Lester; Rolski, Tomasz; Sheahan, Robert.

    In: Mathematics of Operations Research, Vol. 33, No. 4, 2008, p. 932-944.

    Research output: Research - peer-reviewJournal article

  72. Published

    Asymptotics of sums of lognormal random variables with Gaussian copula. / Asmussen, Søren; Rojas-Nandayapa, Leonardo.

    In: Statistics & Probability Letters, Vol. 78, No. 16, 2008, p. 2709-2714.

    Research output: Research - peer-reviewJournal article

  73. Published

    Forskelligt om risiko. / Asmussen, Søren.

    In: Matilde, Vol. 35, 2008, p. 14-18.

    Research output: CommunicationJournal article

  74. Published

    Parallel computing, failure recovery and extreme values. / Andersen, Lars Nørvang; Asmussen, Søren.

    In: Journal of Statistical Theory and Practice, Vol. 2, No. 2, 2008, p. 279-292.

    Research output: Research - peer-reviewJournal article

  75. Published

    Pricing equity default swaps under an approximation to the CGMY Lévy model. / Asmussen, Søren; Madan, Dilip; Pistorius, Martijn.

    In: Journal of Computational Finance, Vol. 11, No. 2, 2008, p. 79-93.

    Research output: Research - peer-reviewJournal article

  76. 2007
  77. Published

    Parallel computing, failure recovery, and extreme values. / Andersen, Lars Nørvang; Asmussen, Søren.

    Århus : Department of Mathematical Sciences , University of Aarhus, 2007.

    Research output: ResearchWorking paper

  78. Published

    Asymptotic behavior of total times For jobs that must start over if a failure occurs. / Asmussen, Søren; Fiorini, Pierre; Lipsky, Lester; Rolski, Tomasz; Sheahan, Robert.

    Århus : Department of Mathematical Sciences , University of Aarhus, 2007.

    Research output: ResearchWorking paper

  79. Published

    Efficient simulation of finite horizon problems in queueing and insurance risk. / Rojas-Nandayapa, Leonardo; Asmussen, Søren.

    Århus : Department of Mathematical Sciences , University of Aarhus, 2007.

    Research output: ResearchWorking paper

  80. Published

    Efficient simulation of finite horizon problems in queueing and insurance risk. / Rojas-Nandayapa, Leonardo; Asmussen, Søren.

    In: Queueing Systems, Vol. 57, No. 2-3, 2007, p. 85-97.

    Research output: Research - peer-reviewJournal article

  81. Published

    Loss rates for Lévy processes with two reflecting barriers. / Asmussen, Søren; Pihlsgård, Mats.

    In: Mathematics of Operations Research, Vol. 32, 2007, p. 308-321.

    Research output: Research - peer-reviewJournal article

  82. Published

    Stochastic simulation : algorithms and analysis. / Asmussen, Søren; Glynn, Peter W.

    New York : Springer, 2007. 476 p.

    Research output: ResearchBook

  83. 2006
  84. Published

    Sums of Dependent Lognormal Random Variables : Asymptotics and Simulation. / Asmussen, Søren; Rojas-Nandayapa, Leonardo.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2006.

    Research output: ResearchWorking paper

  85. Published

    Improved algorithms for rare event simulation with heavy tails. / Asmussen, Søren; Kroese, Dirk P.

    In: Advances in Applied Probability, Vol. 38, No. 2, 2006, p. 545-558.

    Research output: Research - peer-reviewJournal article

  86. Published

    On the completion time distribution for tasks that must restart from the beginning if failure occurs. / Asmussen, Søren; Sheahan, R.; Lipsky, L.; Fiorini, P.M.

    In: Performance Evaluation Review, Vol. 34, 2006.

    Research output: Research - peer-reviewJournal article

  87. Published

    Ruin probabilities and aggregate claims distributions for shot noise Cox processes. / Asmussen, Søren; Albrecher, H.

    In: Scand. Art. J., Vol. 2006, 2006, p. 86-110.

    Research output: Research - peer-reviewJournal article

  88. Published

    Tail asymptotics for sums of dependent risks. / Asmussen, Søren; Albrecher, H.; Kortschak, D.

    In: Extremes, Vol. 9, 2006, p. 107-130.

    Research output: Research - peer-reviewJournal article

  89. 2005
  90. Published

    Tail Asymptotics for the Sum of two Heavy-tailed Dependent Risks. / Albrecher, H.; Asmussen, Søren.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2005.

    Research output: ResearchWorking paper

  91. Published

    Ruin Probabilities and Aggregrate Claims Distributions for Shot Noise Cox Processes. / Albrecher, H.; Asmussen, Søren.

    Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 2005.

    Research output: ResearchWorking paper

  92. Published

    Heavy tails, importance sampling and cross-entropy. / Asmussen, Søren; Kroese, D.P.; Rubinstein, R.Y.

    In: Stochastic Models, Vol. 21, 2005, p. 57-76.

    Research output: Research - peer-reviewJournal article

  93. Published

    Performance analysis with truncated heavy-tailed distributions. / Asmussen, Søren; Pihlsgård, M.

    In: Methodology and Computing in Applied Probability, Vol. 7, 2005, p. 439-457.

    Research output: Research - peer-reviewJournal article

  94. Published

    Pricing equity default swaps using the CGMY Levy process. / Asmussen, Søren; Madan, D.; Pistorius, M.

    2005.

    Research output: ResearchWorking paper

  95. 2004
  96. Published

    Improved Algorithms for Rare Event Simulation with Heavy Tails. / Asmussen, S.; Kroese, D.P.

    MaPhySto, Aarhus Universitet, 2004.

    Research output: ResearchWorking paper

  97. Published

    Performance analysis with truncated heavy-tailed distributions. / Asmussen, S.; Pihlsgård, M.

    Århus : MaPhySto, Aarhus Universitet, 2004.

    Research output: ResearchWorking paper

  98. Published

    Pricing of some exotic options with NIG-Levy input. / Rasmus, Sebastian; Asmussen, S.; Wiktorsson, Magnus.

    Computational science - ICCS 2004. ed. / Marian Burbak. Springer, 2004. p. 795-802.

    Research output: Research - peer-reviewArticle in proceedings

  99. Published

    Random variable. / Asmussen, Søren.

    Encyclopedia of actuarial science. ed. / Jozef Teugels; Bjørn Sundt. Wiley, 2004. p. 3.

    Research output: ResearchEncyclopedia entry

  100. Published

    Rare event. / Asmussen, Søren.

    Encyclopedia of actuarial science. ed. / Jozef Teugels; Bjørn Sundt. Wiley, 2004. p. 1378-1379.

    Research output: ResearchEncyclopedia entry

  101. Published

    Russian and American put options under exponential phase-type Lévy models. / Asmussen, S.; Avram, F.; Pistorius, M.

    In: Stochastic Processes and Their Applications, Vol. 109, No. 1, 2004, p. 79-111.

    Research output: Research - peer-reviewJournal article

  102. Published

    Section: Probability theory. / Asmussen, Søren (Editor).

    Encyclopedia of actuarial science. ed. / Jozef Teugels; Bjørn Sundt. Wiley, 2004.

    Research output: ResearchBook chapter

  103. Published

    Simulation of stochastic processes. / Asmussen, Søren.

    Encyclopedia of actuarial science. ed. / Jozef Teugels; Bjørn Sundt. Wiley, 2004. p. 1570-1572.

    Research output: ResearchEncyclopedia entry

  104. Published

    Stochastic processes. / Asmussen, Søren.

    Encyclopedia of actuarial science. ed. / Jozef Teugels; Bjørn Sundt. Wiley, 2004. p. 3.

    Research output: ResearchEncyclopedia entry

  105. Published

    Symposium on probability and algorithm : University of Aarhus, friday September 26, 2003. / Asmussen, Søren (Editor).

    Århus : MaPhySto, University of Aarhus, 2004. 7 p.

    Research output: ResearchAnthology

  106. Published

    Terminal distributions of skipfree Markov additive processes with absorbtion. / Asmussen, S.

    Århus : MaPhySto, Aarhus Universitet, 2004.

    Research output: ResearchWorking paper

  107. Published

    Transient properties of many-server queues and related QBDs. / Asmussen, S.; Pihlsgård, M.

    In: Queueing Systems, Vol. 46, No. 3-4, 2004, p. 249-270.

    Research output: Research - peer-reviewJournal article

  108. 2003
  109. Published

    Applied Probability and Queues. / Asmussen, S.

    2. ed. New York : Springer, 2003. 438 p.

    Research output: ResearchBook

  110. Published

    Asymptotics for sums of random variables with local subexponential behaviour. / Asmussen, Søren; Foss, Serguei; Korshunov, Dmitry.

    In: Journal of Theoretical Probability, Vol. 16, No. 2, 2003, p. 489-518.

    Research output: Research - peer-reviewJournal article

  111. Published

    Heavy Tails, Importance Sampling and Cross-Entropy. / Asmussen, S.; Kroese, Dirk P.; Rubinstein, Reuven Y.

    Århus : MaPhySto, University of Aarhus, 2003.

    Research output: ResearchWorking paper

  112. Published

    Risk comparison of premium rules : optimality and a life insurance study. / Asmussen, S.; Møller, Jakob R.

    In: Insurance: Mathematics and Economics, Vol. 32, No. 3, 2003, p. 331-344.

    Research output: Research - peer-reviewJournal article

  113. 2002
  114. Published

    A local limit theorem for random walk maxima with heavy tails. / Asmussen, Søren; Kalashnikov, Vladimir; Konstantinides, Dimitrios; Klüppelberg, Claudia; Tsitsiashvili, Gurami.

    In: Statist. Probab. Lett., Vol. 56, No. 2, 2002, p. 399-404.

    Research output: Research - peer-reviewJournal article

  115. Published

    Erlangian approximations for finite-horizon ruin probabilities. / Asmussen, Søren; Avram, Florin; Usabel, Miguel.

    In: ASTIN Bull., Vol. 32, No. 2, 2002, p. 267-281.

    Research output: Research - peer-reviewJournal article

  116. Published

    Exact buffer overflow calculations for queues via martingales. / Asmussen, Søren; Jobmann, Manfred.

    In: Queueing Syst., Vol. 42, No. 1, 2002, p. 63-90.

    Research output: Research - peer-reviewJournal article

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