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Publications

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Asmussen, S. (1984). Approximations for the probability of ruin within finite time. Scandinavian Actuarial Journal, (1), 31-57.
Asmussen, S. (1985). Erratum: "Approximations for the probability of ruin within finite time". Scandinavian Actuarial Journal, (1), 64.
Asmussen, S. (1985). Conjugate processes and the simulation of ruin problems. Stochastic Process. Appl., 20(2), 213-229.
Asmussen, S. (1987). Applied probability and queues. John Wiley and Sons.
Asmussen, S. & Thorisson, H. (1988). Large deviation results for time-dependent queue length distributions. Comm. Statist. Stochastic Models, 4(1), 99-116.
Asmussen, S. & Johansen, H. (1986). Über eine Stetigkeitsfrage betreffend das Bedienungssystem GI/G/s. Elektron. Informationsverarb. Kybernet. EIK, 22(10-11), 565-570.
Asmussen, S. & Thorisson, H. (1987). A Markov chain approach to periodic queues. Journal of Applied Probability, 24(1), 215-225.
Asmussen, S. (1989). Risk theory in a Markovian environment. Scandinavian Actuarial Journal, (2), 69-100.
Asmussen, S. (1987). The heavy traffic limit of a class of Markovian queueing models. Oper. Res. Lett., 6(6), 301-306.
Asmussen, S. (1992). Queueing simulation in heavy traffic. Math. Oper. Res., 17(1), 84-111.
Asmussen, S. & Schock Petersen, S. (1988). Ruin probabilities expressed in terms of storage processes. Advances in Applied Probability, 20(4), 913-916.
Asmussen, S. (1989). Validating the heavy-traffic performance of regenerative simulation. Comm. Statist. Stochastic Models, 5(4), 617-628.
Asmussen, S. (1990). Exponential families and regression in the Monte Carlo study of queues and random walks. Annals of Statistics, 18(4), 1851-1867.
Asmussen, S. (1989). Exponential families generated by phase-type distributions and other Markov lifetimes. Scandinavian Journal of Statistics, 16(4), 319-334.
Asmussen, S. (1989). Aspects of matrix Wiener-Hopf factorisation in applied probability. Math. Sci., 14(2), 101-116.
Asmussen, S. (1992). Phase-type representations in random walk and queueing problems. Annals of Probability, 20(2), 772-789.
Asmussen, S. (1991). Ladder heights and the Markov-modulated M/G/1 queue. Stochastic Process. Appl., 37(2), 313-326.
Asmussen, S. & Ramaswami, V. (1990). Probabilistic interpretations of some duality results for the matrix paradigms in queueing theory. Comm. Statist. Stochastic Models, 6(4), 715-733.
Asmussen, S. & Rubinstein, R. (1992). The efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models. Advances in Applied Probability, 24(1), 172-201.
Asmussen, S. (1992). Light traffic equivalence in single-server queues. Annals of Applied Probability, 2(3), 555-574.
Asmussen, S. (1992). On coupling and weak convergence to stationarity. Annals of Applied Probability, 2(3), 739-751.
Asmussen, S. & Foss, S. G. (1993). Renovation, regeneration, and coupling in multiple-server queues in continuous time. In H. Niemi, G. Högnäs, A. N. Shiryaev & A. V. Melnikov (Eds.), Proceedings of the Third Finnish-Soviet symposium on probability theory and mathematical statistics (pp. 1-6). VSP.
Asmussen, S. & Rubenstein, R. Y. (1993). Response surface estimation and sensitivity analysis via efficient change of measure. Comm. Statist. Stochastic Models, 9(3), 313-339.
Asmussen, S. & Schmidt, V. (1993). The ascending ladder height distribution for a certain class of dependent random walks. Statist. Neerlandica, 47(4), 269-277.
Asmussen, S. & Rolski, T. (1992). Computational methods in risk theory: a matrix-algorithmic approach. Insurance Math. Econom., 10(4), 259-274.
Asmussen, S. & Koole, G. (1993). Marked point processes as limits of Markovian arrival streams. Journal of Applied Probability, 30(2), 368-372.
Asmussen, S. & Perry, D. (1992). On cycle maxima, first passage problems and extreme value theory for queues. Comm. Statist. Stochastic Models, 8(3), 421-458.
Asmussen, S. & Rolski, T. (1994). Risk theory in a periodic environment: the Cramér-Lundberg approximation and Lundberg's inequality. Math. Oper. Res., 19(2), 410-433.
Asmussen, S. & Johnsson, E. (1992). A practical measure for some attributes in degradable computing systems. In Nordic seminar on dependable computing systems: compendium (pp. 413-426). Norges Tekniske Høgskole.
Asmussen, S., Glynn, P. W. & Thorisson, H. (1992). Stationarity detection in the initial transient problem. ACM Transactions on Modeling and Computer Simulation, 2(2), 130-157.
Asmussen, S. & Bladt, M. (1996). Renewal theory and queueing algorithms for matrix-exponential distributions. In A. S. Alfa & S. R. Chakravarthy (Eds.), Matrix-analytic methods in stochastic models (pp. 313-341). Marcel Dekker.
Asmussen, S. & Wang, C.-L. (1996). Variance reduction for simulating transient GI/G/1 behavior. Probab. Engrg. Inform. Sci., 10(2), 197-205.
Asmussen, S., Rubinstein, R. & Wang, C.-L. (1994). Regenerative rare events simulation via likelihood ratios. Journal of Applied Probability, 31(3), 797-815.
Asmussen, S. (1995). Stationary distributions for fluid flow models with or without Brownian noise. Comm. Statist. Stochastic Models, 11(1), 21-49.
Asmussen, S. & Melamed, B. (1994). Regenerative simulation of TES processes. Acta Applicandae Mathematicae, 34(1-2), 237-260.
Asmussen, S., Henriksen, L. F. & Klüppelberg, C. (1994). Large claims approximations for risk processes in a Markovian environment. Stochastic Process. Appl., 54(1), 29-43.
Asmussen, S. & Bladt, M. (1996). Phase-type distributions and risk processes with state-dependent premiums. Scandinavian Actuarial Journal, (1), 19-36.
Asmussen, S. (1994). Busy period analysis, rare events and transient behavior in fluid flow models. Journal of Applied Mathematics and Stochastic Analysis, 7(3), 269-299.
Asmussen, S. & Bladt, M. (1994). Poisson's equation for queues driven by a Markovian marked point process. Queueing Systems Theory Appl., 17(1-2), 235-274.
Asmussen, S. & Bladt, M. (1994). A sample path approach to mean busy periods for Markov-modulated queues and fluids. Advances in Applied Probability, 26(4), 1117-1121.
Asmussen, S., Glynn, P. & Pitman, J. (1995). Discretization error in simulation of one-dimensional reflecting Brownian motion. Annals of Applied Probability, 5(4), 875-896.
Asmussen, S. & Schmidt, V. (1995). Ladder height distributions with marks. Stochastic Process. Appl., 58(1), 105-119.
Asmussen, S. & Kella, O. (1996). Rate modulation in dams and ruin problems. Journal of Applied Probability, 33(2), 523-535.
Asmussen, S. & Nielsen, H. M. (1995). Ruin probabilities via local adjustment coefficients. Journal of Applied Probability, 32(3), 736-755.
Asmussen, S., Nerman, O. & Olsson, M. (1996). Fitting phase-type distributions via the EM algorithm. Scandinavian Journal of Statistics, 23(4), 419-441.
Asmussen, S., Frey, A., Rolski, T. & Schmidt, V. (1995). Does Markov-modulation increase the risk? ASTIN Bulletin: The Journal of the IAA, 25(1), 49-66.
Asmussen, S. & Sigman, K. (1996). Monotone stochastic recursions and their duals. Probab. Engrg. Inform. Sci., 10(1), 1-20.
Asmussen, S. & Perry, D. (1998). An operational calculus for matrix-exponential distributions, with applications to a Brownian (q,Q) inventory model. Math. Oper. Res., 23(1), 166-176.
Asmussen, S. & Teugels, J. L. (1996). Convergence rates for M/G/1 queues and ruin problems with heavy tails. Journal of Applied Probability, 33(4), 1181-1190.
Asmussen, S. & Klüppelberg, C. (1996). Large deviations results for subexponential tails, with applications to insurance risk. Stochastic Process. Appl., 64(1), 103-125.

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Lars Madsen