Department of Mathematics

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Publications

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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.
Asmussen, S. & Klüppelberg, C. (1997). Stationary M/G/1 excursions in the presence of heavy tails. Journal of Applied Probability, 34(1), 208-212.
Asmussen, S. (1998). A probabilistic look at the Wiener-Hopf equation. SIAM Rev., 40(2), 189-201.
Asmussen, S. & Højgaard, B. (1996). Finite horizon ruin probabilities for Markov-modulated risk processes with heavy tails. Theory Stoch. Process., 2(18)(1-2), 96-107.
Asmussen, S. & Taksar, M. (1997). Controlled diffusion models for optimal dividend pay-out. Insurance Math. Econom., 20(1), 1-15.
Asmussen, S. (1998). Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities. Annals of Applied Probability, 8(2), 354-374.
Asmussen, S. & Binswanger, K. (1997). Simulation of ruin probabilities for subexponential claims. ASTIN Bulletin: The Journal of the IAA, 27(2), 297-318.
Asmussen, S. & Turova, T. S. (1998). Stationarity properties of neural networks. Journal of Applied Probability, 35(4), 783-794.
Asmussen, S. & Rubinstein, R. Y. (1999). Sensitivity analysis of insurance risk models via simulation. Management Science, 45(8), 1125-1141. https://doi.org/10.1287/mnsc.45.8.1125
Asmussen, S., Schmidli, H. & Schmidt, V. (1999). Tail probabilities for non-standard risk and queueing processes with subexponential jumps. Advances in Applied Probability, 31(2), 422-447.
Asmussen, S. & Højgaard, B. (1999). Approximations for finite horizon ruin probabilities in the renewal model. Scandinavian Actuarial Journal, (2), 106-119.
Asmussen, S. & O'Cinneide, C. A. (1998). Representations for matrix-geometric and matrix-exponential steady-state distributions with applications to many-server queues. Comm. Statist. Stochastic Models, 14(1-2), 369-387.
Asmussen, S. & Kalashnikov, V. (1999). Failure rates of regenerative systems with heavy tails. Journal of Mathematical Sciences, 93(4), 486-500.
Asmussen, S. & Kella, O. (2000). A multi-dimensional martingale for Markov additive processes and its applications. Advances in Applied Probability, 32(2), 376-393.
Asmussen, S., Binswanger, K. & Højgaard, B. (2000). Rare events simulation for heavy-tailed distributions. Bernoulli, 6(2), 303-322.
Asmussen, S., Klüppelberg, C. & Sigman, K. (1999). Sampling at subexponential times, with queueing applications. Stochastic Process. Appl., 79(2), 265-286.
Asmussen, S. & Møller, J. R. (1999). Tail asymptotics for M/G/1 type queueing processes with subexponential increments. Queueing Systems Theory Appl., 33(1-3), 153-176.
Asmussen, S., Højgaard, B. & Taksar, M. (2000). Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation. Finance and Stochastics, 4(3), 299-324.
Asmussen, S. & Bladt, M. (1999). Point processes with finite-dimensional conditional probabilities. Stochastic Process. Appl., 82(1), 127-142.
Asmussen, S. & O'Cinneide, C. (2002). On the tail of the waiting time in a Markov-modulated M/G/1 queue. Oper. Res., 50(3), 559-565.
Asmussen, S. & Collamore, J. F. (1999). Exact asymptotics for a large deviations problem for the GI/G/1 queue. Markov Process. Related Fields, 5(4), 451-476.
Asmussen, S. & Kella, O. (2001). On optional stopping of some exponential martingales for Lévy processes with or without reflection. Stochastic Process. Appl., 91(1), 47-55.
Asmussen, S. & Møller, J. R. (2001). Calculation of the steady state waiting time distribution in GI/PH/c and MAP/PH/c queues. Queueing Syst., 37(1-3), 9-29.
Asmussen, S. & Jobmann, M. (2002). Exact buffer overflow calculations for queues via martingales. Queueing Syst., 42(1), 63-90.
Asmussen, S., Kalashnikov, V., Konstantinides, D., Klüppelberg, C. & Tsitsiashvili, G. (2002). A local limit theorem for random walk maxima with heavy tails. Statist. Probab. Lett., 56(2), 399-404.
Asmussen, S., Avram, F. & Usabel, M. (2002). Erlangian approximations for finite-horizon ruin probabilities. ASTIN Bulletin: The Journal of the IAA, 32(2), 267-281.
Asmussen, S. & Kroese, D. P. (2006). Improved algorithms for rare event simulation with heavy tails. Advances in Applied Probability, 38(2), 545-558.

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