Publications

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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.

Asmussen, S., Jonsson, E. & Andersson, M. (1994). A practical dependability measure for degradable computer systems with non-exponential degradation. In T. Ruokonen (Ed.), Safeprocess '94: IFAC symposium on fault detection supervision and safety for technical processes (Vol. 2, pp. 227-233). Finnish Society of Automation.

Asmussen, S. & Rubinstein, R. Y. (1995). Steady state rare events simulation in queueing models and its complexity properties. In J. H. Dshalalow (Ed.), Advances in queueing theory, methods, and open problems (pp. 429-466). CRC Press.

Asmussen, S. (1995). Stationary distributions via first passage times. In J. H. Dshalalow (Ed.), Advances in queueing theory, methods, and open problems (pp. 79-102). CRC Press.

Asmussen, S. (2000). Ruin probabilities. World Scientific. Advanced Series on Statistical Science and Applied Probability Vol. 2

Asmussen, S. & Glynn, P. W. (2007). Stochastic simulation: algorithms and analysis. Springer.

Asmussen, S. (1986). Estimation theory for multitype branching processes. In J. Janssen (Ed.), Semi-Markov models: theory and applications (pp. 385-395). Plenum Publishing Corporation.

Asmussen, S. (1991). Phase-type representation of waiting times. In J. W. Cohen & C. D. Pack (Eds.), Queueing, performance and control in ATM (pp. 157-159). North-Holland.

Asmussen, S. & Rubinstein, R. (1992). Performance evaluation for the score function method in sensitivity analysis and stochastic optimization. In G. Pflug & U. Dieter (Eds.), Simulation and optimization (pp. 1-13). Springer.

Asmussen, S. (1993). A tutorial on queueing networks. In O. E. Barndorff-Nielsen, J. L. Jensen & W. S. Kendall (Eds.), Networks and chaos: statistical and probabilistic aspects (pp. 251-275). Chapman /.

Asmussen, S. (1996). Phase-type distributions and related point processes: fitting and recent advances. In S. Chakravarthy & A. S. Alfa (Eds.), Matrix-analytic methods in stochastic models (pp. 137-149). Marcel Dekker.

Asmussen, S. (1998). Extreme value theory for queues via cycle maxima. Extremes, 1(2), 137-168.

Asmussen, S. (2000). Matrix-analytic models and their analysis. Scandinavian Journal of Statistics, 27(2), 193-226.

Asmussen, S. & Olsson, M. (1998). Phase type distributions (update). In S. Kotz (Ed.), Encyclopedia of statistical sciences: update (Vol. 2, pp. 525-530). Wiley.

Asmussen, S. (1996). Rare events in the presence of heavy tails. In P. Glasserman, K. Sigman & D. D. Yao (Eds.), Stochastic networks: stability and rare events (pp. 197-214). Springer.

Asmussen, S. (1999). Semi-Markov queues with heavy tails. In J. Janssen & N. Limnios (Eds.), Semi-Markov models and applications (pp. 269-284). Kluwer Academic Publishers.

Asmussen, S. (2002). Large deviations in rare events simulation: examples, counterexamples and alternatives. In K.-T. Fang, F. J. Hickernell & H. Niederreiter (Eds.), Monte Carlo and quasi-Monte Carlo methods 2000: proceedings of a conference held at Hong Kong baptist University, Hong Kong SAR, China, November 27 - December 1, 2000 (pp. 1-9). Springer.

Asmussen, S. & Rojas-Nandayapa, L. (2008). Asymptotics of sums of lognormal random variables with Gaussian copula. Statistics & Probability Letters, 78(16), 2709-2714. https://doi.org/10.1016/j.spl.2008.03.035

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Revised 03.03.2026

Lars Madsen