Søren Asmussen

Research output

Research output per year 1976 1992 1994 1995 1996 1998 1999 2002 2004 2007 2008 2010 2011 2013 2015 2016 2017 2025

• 146 Journal article
• 39 Working paper
• 16 Article in proceedings
• 12 Book chapter
• 17 More
  • 7 Book
  • 7 Encyclopedia entry
  • 2 Letter
  • 1 Anthology

Research output per year

Research output per year

Search results

• 2017

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

  Asmussen, S., 2017, (Submitted).

  Research output: Working paper/Preprint › Working paper › Research

• On preemptive-repeat LIFO queues

  Asmussen, S. & Glynn, P. W., 2017, (Submitted).

  Research output: Working paper/Preprint › Working paper › Research › peer-review

• Regular variation in a fixpoint problem for single- and multiclass queues and branching processes

  Asmussen, S. & Foss, S., 2017.

  Research output: Working paper/Preprint › Working paper › Research

• Tail asymptotics of light-tailed Weibull-like sums

  Asmussen, S., Hashorva, E., Laub, P. & Taimre, T., 2017, p. 235-256, 22 p.

  Research output: Working paper/Preprint › Working paper › Research

  • Random Number 100%
  11 Citations (Scopus)
• 2016

  Distinguishing log-concavity from heavy tails

  Asmussen, S. & Lehtomaa, J. V., 2016, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 16 p. (Thiele Research Reports, Vol. 6, 2016).

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File
  164 Downloads (Pure)

• Markov Dependence in Renewal Equations and Random Sums with Heavy Tails

  Asmussen, S. & Thøgersen, J., 2016, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 18 p. (Thiele Research Reports, Vol. 2, 2016).

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File
  194 Downloads (Pure)

• Orthonormal polynomial expansions and lognormal sum densities

  Asmussen, S., Goffard, P.-O. & Laub, P., 2016, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 20 p. (Thiele Research Reports, Vol. 1, 2016).

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File
  262 Downloads (Pure)
• 2015

  Markov Renewal Methods in Restart Problems in Complex Systems

  Asmussen, S., Lipsky, L. & Thompson, S., 2015, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 25 p. (Thiele Research Reports; No. 01).

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File
  178 Downloads (Pure)

• Time inhomogeneity in longest gap and longest run problems

  Asmussen, S., Ivanovs, J. & Rønn-Nielsen, A., 2015, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 17 p. (Thiele Research Reports; No. 07).

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File
  103 Downloads (Pure)
• 2014

  Exponential Family Techniques for the Lognormal Left Tail

  Asmussen, S., Jensen, J. L. & Rojas-Nandayapa, L., 2014, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 19 p. (Thiele Research Reports; No. 01).

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Exponential Family 100%
  • Left Tail 100%
  • Asymptotics 50%
  • Esscher transform 50%
  • Asymptotic Formula 50%
  427 Downloads (Pure)
• 2013

  Error rates and improved algorithms for rare event simulation with heavy Weibull tails

  Asmussen, S. & Kortschak, D., 2013, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 21 p. (Thiele Research Reports; No. 02).

  Research output: Working paper/Preprint › Working paper › Research

  Open Access

  File
  10 Citations (Scopus)

  210 Downloads (Pure)

• Modeling and performance of Bonus-Malus Systems: Stationarity versus age-correction

  Asmussen, S., 2013, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 25 p. (Thiele Research Reports; No. 05).

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Stationarity 100%
  • Bonus-Malus System 100%
  • Markov Chain 100%
  • Malus 100%
  • Random Variable 50%
  375 Downloads (Pure)

• On the Laplace transform of the Lognormal distribution

  Asmussen, S., Jensen, J. L. & Rojas-Nandayapa, L., 2013, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 25 p. (Thiele Research Reports; No. 06).

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Closed Form 100%
  • Laplace Transform 100%
  • Lognormal Distribution 100%
  • Statistics 50%
  • Probability Theory 50%
  614 Downloads (Pure)

• Portfolio size as funktion of the premium: modeling and optimization

  Asmussen, S., Christensen, B. J. & Taksar, M. I., 2013, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 17 p. (Thiele Research Reports; No. 01).

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Risk Process 100%
  • Ruin Probability 100%
  • Free Interest Rate 100%
  • arrival rate λ 100%
  • Stochastics 100%
  234 Downloads (Pure)
• 2012

  On error rates in rare event simulation with heavy tails

  Asmussen, S. & Kortschak, D., 2012, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 12 p. (Thiele Research Reports; No. 01).

  Research output: Working paper/Preprint › Working paper › Research

  File
  6 Citations (Scopus)

  153 Downloads (Pure)

• On Exceedance Times for Some Processes with Dependent Increments

  Asmussen, S. & Foss, S., 2012, T.N. Thiele Centre, Department of Mathematics, Aarhus University, 17 p. (Thiele Research Reports; No. 02).

  Research output: Working paper/Preprint › Working paper › Research

  File
  196 Downloads (Pure)
• 2011

  Markov bridges, bisection and variance reduction

  Asmussen, S. & Hobolth, A., 1 Jan 2011, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 18 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Variance Reduction 100%
  • Sample Path 100%
  • Modeling Tool 50%
  • Operations Research 50%
  • Importance Sampling 50%
  330 Downloads (Pure)

• Ruin probabilities for a regenerative Poisson gap generated risk process

  Asmussen, S. & Biard, R., 3 Feb 2011, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 17 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Poisson Arrival 100%
  8 Citations (Scopus)

  141 Downloads (Pure)

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

  Asmussen, S. & Kortschak, D., 10 Dec 2011, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 27 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Finite Time 100%
  151 Downloads (Pure)

• Tail asymptotics for dependent subexponential differences

  Albrecher, H., Asmussen, S. & Kortschak, D., 8 Sept 2011, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 20 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Case Scenario 100%
  222 Downloads (Pure)
• 2010

  Failure Recovery via RESTART: Wallclock Models

  Asmussen, S. & Rønn-Nielsen, A., 4 Mar 2010, Århus: Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 20 p.

  Research output: Working paper/Preprint › Working paper › Research

  File
  138 Downloads (Pure)

• Harris Recurrence and MCMC: A Simplified Approach

  Asmussen, S. & Glynn, P. W., 6 Jul 2010, Århus: Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 7 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Irreducible Markov Chain 100%
  • Transition Density 100%
  423 Downloads (Pure)

• The M/M/1 queue with inventory, lost sale and general lead times

  Saffari, M., Asmussen, S. & Haji, R., 11 Sept 2010, Århus: Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 14 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Random Variable 100%
  • Queueing System 100%
  • Cost Function 100%
  • Arriving Customer 100%
  • Queue Length 100%
  609 Downloads (Pure)
• 2009

  Local time asymptotics for centered Lévy processes with two-sided reflection

  Andersen, L. N. & Asmussen, S., 1 Feb 2009, Århus: Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 17 p.

  Research output: Working paper/Preprint › Working paper › Research

  File
  227 Downloads (Pure)
• 2008

  Efficient simulation of tail probabilities of sums of correlated lognormals

  Asmussen, S., Blanchet, J., Juneja, S. & Rojas-Nandayapa, L., 11 Sept 2008, Århus: Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 21 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Tail Probability 100%
  • Importance Sampling 66%
  • Probability Theory 33%
  • Covariance Matrix 33%
  • Relative Error 33%
  326 Downloads (Pure)

• Importance Sampling for Failure Probabilities in Computing and Data Transmission

  Asmussen, S., 14 Nov 2008, Århus: Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 26 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Asymptotics 100%
  • Probability Theory 100%
  • Importance Sampling 100%
  • Data Transmission 100%
  • Conditionals 50%
  176 Downloads (Pure)
• 2007

  Asymptotic behavior of total times For jobs that must start over if a failure occurs

  Asmussen, S., Fiorini, P., Lipsky, L., Rolski, T. & Sheahan, R., 9 Jun 2007, Århus: Department of Mathematical Sciences , University of Aarhus, 22 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Asymptotics 100%
  • Asymptotic Behavior 100%
  • Total Time 100%
  • Time Distribution 50%
  • Tauberian Theorem 25%
  303 Downloads (Pure)

• Efficient simulation of finite horizon problems in queueing and insurance risk

  Rojas-Nandayapa, L. & Asmussen, S., 3 Mar 2007, Århus: Department of Mathematical Sciences , University of Aarhus, 19 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Service Time 100%
  2 Citations (Scopus)

  274 Downloads (Pure)

• Parallel computing, failure recovery, and extreme values

  Andersen, L. N. & Asmussen, S., 13 Aug 2007, Århus: Department of Mathematical Sciences , University of Aarhus, 18 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • random time δ 100%
  • Limit Theorem 100%
  • Extreme Value Distribution 100%
  • Extreme Value 100%
  • Parallel Processors 100%
  235 Downloads (Pure)
• 2006

  Sums of Dependent Lognormal Random Variables: Asymptotics and Simulation

  Asmussen, S. & Rojas-Nandayapa, L., 1 Jan 2006, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 24 p.

  Research output: Working paper/Preprint › Working paper › Research

  File
  86 Downloads (Pure)
• 2005

  Pricing equity default swaps using the CGMY Levy process

  Asmussen, S., Madan, D. & Pistorius, M., 2005.

  Research output: Working paper/Preprint › Working paper › Research

• Ruin Probabilities and Aggregrate Claims Distributions for Shot Noise Cox Processes

  Albrecher, H. & Asmussen, S., 8 Aug 2005, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 27 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Shot Noise 100%
  • Arrival Process 50%
  223 Downloads (Pure)

• Tail Asymptotics for the Sum of two Heavy-tailed Dependent Risks

  Albrecher, H. & Asmussen, S., 9 Aug 2005, Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet, 23 p.

  Research output: Working paper/Preprint › Working paper › Research

  File

  • Distribution Function 100%
  215 Downloads (Pure)
• 2004

  Improved Algorithms for Rare Event Simulation with Heavy Tails

  Asmussen, S. & Kroese, D. P., 2004, MaPhySto, Aarhus Universitet, 18 p.

  Research output: Working paper/Preprint › Working paper › Research

• Performance analysis with truncated heavy-tailed distributions

  Asmussen, S. & Pihlsgård, M., 2004, Århus: MaPhySto, Aarhus Universitet, 24 p.

  Research output: Working paper/Preprint › Working paper › Research

• Terminal distributions of skipfree Markov additive processes with absorbtion

  Asmussen, S., 2004, Århus: MaPhySto, Aarhus Universitet, 11 p.

  Research output: Working paper/Preprint › Working paper › Research
• 2003

  Heavy Tails, Importance Sampling and Cross-Entropy

  Asmussen, S., Kroese, D. P. & Rubinstein, R. Y., 2003, Århus: MaPhySto, University of Aarhus, 20 p.

  Research output: Working paper/Preprint › Working paper › Research
• 2002

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

  Asmussen, S., Avram, F. & Pistorius, M. R., 2002, Århus: MaPhySto, University of Aarhus, 34 p.

  Research output: Working paper/Preprint › Working paper › Research

• Transient properties of many-server queues and related QBD's

  Asmussen, S. & Pihlsgård, M., 2002, Århus: MaPhySto, Aarhus Universitet, 24 p.

  Research output: Working paper/Preprint › Working paper › Research