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1

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

Mohammad Saffari, Søren Asmussen, Rasoul Haji

Journal:

Queueing Systems

Year:

2013

Language:

english

File:

PDF, 147 KB

english, 2013

2

On the Laplace Transform of the Lognormal Distribution

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

Journal:

Methodology and Computing in Applied Probability

Year:

2016

Language:

english

File:

PDF, 531 KB

english, 2016

3

Approximations of Small Jumps of Lévy Processes with a View Towards Simulation

Søren Asmussen and Jan Rosiński

Journal:

Journal of Applied Probability

Year:

2001

Language:

english

File:

PDF, 942 KB

english, 2001

4

Marked Point Processes as Limits of Markovian Arrival Streams

Søren Asmussen and Ger Koole

Journal:

Journal of Applied Probability

Year:

1993

Language:

english

File:

PDF, 853 KB

english, 1993

5

Stationarity detection in the initial transient problem

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

Journal:

ACM Transactions on Modeling and Computer Simulation

Year:

1992

Language:

english

File:

PDF, 1.74 MB

english, 1992

6

Convergence Rates for Branching Processes

Journal:

The Annals of Probability

Year:

1976

Language:

english

File:

PDF, 599 KB

english, 1976

7

Sensitivity Analysis of Insurance Risk Models via Simulation

Søren Asmussen and Reuven Y. Rubinstein

Journal:

Management Science

Year:

1999

Language:

english

File:

PDF, 642 KB

english, 1999

8

Computational methods in risk theory: A matrix-algorithmic approach

Søren Asmussen, Tomasz Rolski

Journal:

Insurance: Mathematics and Economics

Year:

1992

Language:

english

File:

PDF, 1.14 MB

english, 1992

9

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

Søren Asmussen, Florin Avram, Martijn R. Pistorius

Journal:

Stochastic Processes and their Applications

Year:

2004

Language:

english

File:

PDF, 457 KB

english, 2004

10

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

Søren Asmussen, Bjarne Højgaard, Michael Taksar

Journal:

Finance and Stochastics

Year:

2000

Language:

english

File:

PDF, 301 KB

english, 2000

11

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

Søren Asmussen, Offer Kella

Journal:

Stochastic Processes and their Applications

Year:

2001

Language:

english

File:

PDF, 102 KB

english, 2001

12

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

Søren Asmussen, Claudia Klüppelberg

Journal:

Stochastic Processes and their Applications

Year:

1996

Language:

english

File:

PDF, 1.28 MB

english, 1996

13

Fitting Phase-Type Distributions via the EM Algorithm

Søren Asmussen, Olle Nerman and Marita Olsson

Journal:

Scandinavian Journal of Statistics

Year:

1996

Language:

english

File:

PDF, 2.02 MB

english, 1996

14

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

Journal:

The Annals of Statistics

Year:

1990

Language:

english

File:

PDF, 1.31 MB

english, 1990

15

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

Asmussen, Søren, Bladt, Mogens

Journal:

Scandinavian Actuarial Journal

Year:

1996

Language:

english

File:

PDF, 750 KB

english, 1996

16

Lévy Processes, Phase-Type Distributions, and Martingales

Asmussen, Søren

Journal:

Stochastic Models

Year:

2014

Language:

english

File:

PDF, 331 KB

english, 2014

17

On Some Two-Sex Population Models

Journal:

The Annals of Probability

Year:

1980

Language:

english

File:

PDF, 1.14 MB

english, 1980

18

Phase-Type Representations in Random Walk and Queueing Problems

Journal:

The Annals of Probability

Year:

1992

Language:

english

File:

PDF, 1.37 MB

english, 1992

19

Almost Sure Behavior of Linear Functionals of Supercritical Branching Processes

Journal:

Transactions of the American Mathematical Society

Year:

1977

Language:

english

File:

PDF, 1.15 MB

english, 1977

20

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

Søren Asmussen and Tomasz Rolski

Journal:

Mathematics of Operations Research

Year:

1994

Language:

english

File:

PDF, 956 KB

english, 1994

21

Obituary: Marcel F. Neuts 1935-2014

Asmussen, Søren, Nielsen, Bo Friis

Journal:

Journal of Applied Probability

Year:

2014

Language:

english

File:

PDF, 140 KB

english, 2014

22

Sensitivity Analysis of Insurance Risk Models via Simulation

Asmussen, Søren, Rubinstein, Reuven Y.

Journal:

Management Science

Year:

1999

Language:

english

File:

PDF, 247 KB

english, 1999

23

Queueing Simulation in Heavy Traffic

Søren Asmussen

Journal:

Mathematics of Operations Research

Year:

1992

Language:

english

File:

PDF, 956 KB

english, 1992

24

Matrix-Analytic Models and Their Analysis

Søren Asmussen

Journal:

Scandinavian Journal of Statistics

Year:

2000

Language:

english

File:

PDF, 2.97 MB

english, 2000

25

Exponential Families Generated by Phase-Type Distributions and Other Markov Lifetimes

Søren Asmussen

Journal:

Scandinavian Journal of Statistics

Year:

1989

Language:

english

File:

PDF, 1.74 MB

english, 1989

26

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

Asmussen, Søren, Rolski, Tomasz

Journal:

Mathematics of Operations Research

Year:

1994

Language:

english

File:

PDF, 1.05 MB

english, 1994

27

Erlangian Approximations for Finite-Horizon Ruin Probabilities

Asmussen, Soren, Avram, Florin, Usabel, Miguel

Journal:

Year:

2002

Language:

english

File:

PDF, 642 KB

english, 2002

28

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

Asmussen, Søren

Journal:

Annals of Actuarial Science

Year:

2018

Language:

english

File:

PDF, 691 KB

english, 2018

29

Second Order Corrections for the Limits of Normalized Ruin Times in the Presence of Heavy Tails

Asmussen, Søren, Kortschak, Dominik

Journal:

Stochastic Systems

Year:

2013

Language:

english

File:

PDF, 359 KB

english, 2013

30

The heavy traffic limit of a class of Markovian queueing models

Søren Asmussen

Journal:

Operations Research Letters

Year:

1987

Language:

english

File:

PDF, 579 KB

english, 1987

31

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

Søren Asmussen

Journal:

Stochastic Processes and their Applications

Year:

1991

Language:

english

File:

PDF, 773 KB

english, 1991

32

Large claims approximations for risk processes in a Markovian environment

Søren Asmussen, Lotte Fløe Henriksen, Claudia Klüppelberg

Journal:

Stochastic Processes and their Applications

Year:

1994

Language:

english

File:

PDF, 790 KB

english, 1994

33

Ladder height distributions with marks

Søren Asmussen, Volker Schmidt

Journal:

Stochastic Processes and their Applications

Year:

1995

Language:

english

File:

PDF, 706 KB

english, 1995

34

Asymptotics of sums of lognormal random variables with Gaussian copula

Søren Asmussen, Leonardo Rojas-Nandayapa

Journal:

Statistics & Probability Letters

Year:

2008

Language:

english

File:

PDF, 845 KB

english, 2008

35

A new proof of convergence of MCMC via the ergodic theorem

Søren Asmussen, Peter W. Glynn

Journal:

Statistics & Probability Letters

Year:

2011

Language:

english

File:

PDF, 207 KB

english, 2011

36

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

Søren Asmussen, Jakob R. Møller

Journal:

Insurance: Mathematics and Economics

Year:

2003

Language:

english

File:

PDF, 151 KB

english, 2003

37

Controlled diffusion models for optimal dividend pay-out

Søren Asmussen, Michael Taksar

Journal:

Insurance: Mathematics and Economics

Year:

1997

Language:

english

File:

PDF, 664 KB

english, 1997

38

The interplay between insurance, finance and control

Søren Asmussen, Ole.E. Barndorff-Nielsen

Journal:

Insurance: Mathematics and Economics

Year:

1998

Language:

english

File:

PDF, 82 KB

english, 1998

39

Large deviations and fast simulation in the presence of boundaries

Søren Asmussen, Pascal Fuckerieder, Manfred Jobmann, Hans-Peter Schwefel

Journal:

Stochastic Processes and their Applications

Year:

2002

Language:

english

File:

PDF, 204 KB

english, 2002

40

Sampling at subexponential times, with queueing applications

Søren Asmussen, Claudia Klüppelberg, Karl Sigman

Journal:

Stochastic Processes and their Applications

Year:

1999

Language:

english

File:

PDF, 161 KB

english, 1999

41

Point processes with finite-dimensional conditional probabilities

Søren Asmussen, Mogens Bladt

Journal:

Stochastic Processes and their Applications

Year:

1999

Language:

english

File:

PDF, 257 KB

english, 1999

42

Equilibrium properties of theM/G/1 queue

Søren Asmussen

Journal:

Probability Theory and Related Fields

Year:

1981

Language:

english

File:

PDF, 701 KB

english, 1981

43

Regenerative simulation of TES processes

Søren Asmussen, Benjamin Melamed

Journal:

Acta Applicandae Mathematicae

Year:

1994

Language:

english

File:

PDF, 1.19 MB

english, 1994

44

Bilateral conjunctival oxygen tension measurements

Jan Asmussen, Søren Gellett, Hans Pilegaard, Finn Gottrup

Journal:

Journal of Clinical Monitoring and Computing

Year:

1993

Language:

english

File:

PDF, 441 KB

english, 1993

45

Efficient simulation of tail probabilities of sums of

Søren Asmussen, José Blanchet, Sandeep Juneja, Leonardo Rojas-Nandayapa

Journal:

Annals of Operations Research

Year:

2011

Language:

english

File:

PDF, 597 KB

english, 2011

46

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

Hansjörg Albrecher, Søren Asmussen, Dominik Kortschak

Journal:

Year:

2006

Language:

english

File:

PDF, 352 KB

english, 2006

47

Performance Analysis with Truncated Heavy-Tailed Distributions

Søren Asmussen, Mats Pihlsgård

Journal:

Methodology and Computing in Applied Probability

Year:

2005

Language:

english

File:

PDF, 658 KB

english, 2005

48

Efficient simulation of finite horizon problems in queueing and insurance risk

Leonardo Rojas-Nandayapa, Søren Asmussen

Journal:

Queueing Systems

Year:

2007

Language:

english

File:

PDF, 537 KB

english, 2007

49

Editorial introduction

Søren Asmussen, Onno J. Boxma

Journal:

Queueing Systems

Year:

2009

Language:

english

File:

PDF, 201 KB

english, 2009

50

Ruin probabilities for a regenerative Poisson gap generated risk process

Søren Asmussen, Romain Biard

Journal:

European Actuarial Journal

Year:

2011

Language:

english

File:

PDF, 344 KB

english, 2011

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