Publications

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Asmussen, S., Fiorini, P., Lipsky, L., Rolski, T. & Sheahan, R. (2007). Asymptotic behavior of total times For jobs that must start over if a failure occurs. Department of Mathematical Sciences , University of Aarhus.

Asmussen, S., Madan, D. & Pistorius, M. (2008). Pricing equity default swaps under an approximation to the CGMY Lévy model. Journal of Computational Finance, 11(2), 79-93.

Asmussen, S. (2008). Importance Sampling for Failure Probabilities in Computing and Data Transmission. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

Asmussen, S., Blanchet, J., Juneja, S. & Rojas-Nandayapa, L. (2008). Efficient simulation of tail probabilities of sums of correlated lognormals. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

Asmussen, S., Fiorini, P., Lipsky, L., Rolski, T. & Sheahan, R. (2008). Asymptotic behaviour of total times for jobs that must start over if a failure occurs. Mathematics of Operations Research, 33(4), 932-944. https://doi.org/10.1287/moor.1080.0329

Asmussen, S. (2009). Importance sampling for failure probabilities in computing and data transmission. Journal of Applied Probability, 46(3), 768-790. https://doi.org/10.1239/jap/1253279851

Asmussen, S., Blanchet, J., Juneja, S. & Rojas-Nandayapa, L. (2011). Efficient simulation of tail probabilities of sums of correlated lognormals. Annals of Operations Research, 189(1), 5-23. https://doi.org/10.1007/s10479-009-0658-5

Asmussen, S. & Albrecher, H. (2010). Ruin probabilities. (2. ed.) World Scientific. Advanced Series on Statistical Science and Applied Probability Vol. 14

Asmussen, S. & Rydén, T. (2011). A note on skewness in regenerative simulation. Communications in Statistics: Simulation and Computation, 40(1), 45-57. https://doi.org/10.1080/03610918.2010.526740

Asmussen, S. & Rønn-Nielsen, A. (2010). Failure Recovery via RESTART: Wallclock Models. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

Asmussen, S. & Glynn, P. W. (2010). Harris Recurrence and MCMC: A Simplified Approach. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

Asmussen, S. & Glynn, P. W. (2011). A new proof of convergence of MCMC via the ergodic theorem. Statistics & Probability Letters, 81(10), 1482-1485. https://doi.org/10.1016/j.spl.2011.05.004

Asmussen, S. & Biard, R. (2011). Ruin probabilities for a regenerative Poisson gap generated risk process. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

Asmussen, S. & Hobolth, A. (2011). Markov bridges, bisection and variance reduction. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

Asmussen, S. & Kortschak, D. (2011). Second order corrections for the limits of normalized ruin times in the presence of heavy tails. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet.

Asmussen, S. & Biard, R. (2011). Ruin probabilities for a regenerative Poisson gap generated risk process. European Actuarial Journal, 1(1), 3-22. https://doi.org/10.1007/s13385-011-0002-8

Asmussen, S. & Foss, S. (2012). On Exceedance Times for Some Processes with Dependent Increments. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 02

Asmussen, S. & Kortschak, D. (2012). On error rates in rare event simulation with heavy tails. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 01

Asmussen, S. & Hobolth, A. (2012). Markov bridges, bisection and variance reduction. In L. Plaskota & H. Wozniakowski (Eds.), Monte Carlo and Quasi-Monte Carlo Methods 2010 (pp. 3-22). Springer. https://doi.org/10.1007/978-3-642-27440-4_1

Asmussen, S. & Kortschak, D. (2012). On error rates in rare event simulation with heavy tails. In Proceedings of the 2012 Winter Simulation Conference (WSC) (pp. 1-11). IEEE Press. https://doi.org/10.1109/WSC.2012.6465288

Asmussen, S., Christensen, B. J. & Taksar, M. (2013). Portfolio size as function of the premium: modelling and optimization. Stochastics: An International Journal of Probability and Stochastic Processes , 85(4 (Taksar Memorial Issue)), 575-588. https://doi.org/10.1080/17442508.2013.797426

Asmussen, S., Jensen, J. L. & Rojas-Nandayapa, L. (2013). On the Laplace transform of the Lognormal distribution. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 06 http://math.au.dk/publs?publid=994

Asmussen, S. (2013). Modeling and performance of Bonus-Malus Systems: Stationarity versus age-correction. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 05 http://math.au.dk/publs?publid=989

Asmussen, S., Christensen, B. J. & Taksar, M. I. (2013). Portfolio size as funktion of the premium: modeling and optimization. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 01 http://math.au.dk/publs?publid=971

Asmussen, S., Jensen, J. L. & Rojas-Nandayapa, L. (2014). Exponential Family Techniques for the Lognormal Left Tail. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 01 http://math.au.dk/publs?publid=1010

Asmussen, S., Lipsky, L. & Thompson, S. (2014). Checkpointing in failure recovery in computing and data transmission. In B. Sericola, M. Telek & G. Horváth (Eds.), Analytical and Stochastic Modeling Techniques and Applications (pp. 253-272). Springer. https://doi.org/10.1007/978-3-319-08219-6_18

Asmussen, S. & Foss, S. (2014). On exceedance times for some processes with dependent increments. Journal of Applied Probability, 51(1), 136-151. https://doi.org/10.1239/jap/1395771419

Asmussen, S. (2014). Lévy processes, phase-type distributions, and martingales. Stochastic Models, 30(4), 443-468. https://doi.org/10.1080/15326349.2014.958424

Asmussen, S., Lipsky, L. & Thompson, S. (2015). Markov Renewal Methods in Restart Problems in Complex Systems. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 01 http://math.au.dk/publs?publid=1034

Asmussen, S., Ivanovs, J. & Rønn-Nielsen, A. (2015). Time inhomogeneity in longest gap and longest run problems. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 07 http://math.au.dk/publs?publid=1054

Asmussen, S., Lipsky, L. & Thompson, S. (2015). Markov Renewal Methods in Restart Problems in Complex Systems. In M. Podolskij, R. Stelzer, S. Thorbjørnsen & D. A. E. Veraart (Eds.), The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen (pp. 501-527). Springer. https://doi.org/10.1007/978-3-319-25826-3_23

Asmussen, S. & Kortschak, D. (2015). Error Rates and Improved Algorithms for Rare Event Simulation with Heavy Weibull Tails. Methodology and Computing in Applied Probability, 17(2), 1-21. https://doi.org/10.1007/s11009-013-9371-6

Asmussen, S. & Kortschak, D. (2013). Error rates and improved algorithms for rare event simulation with heavy Weibull tails. T.N. Thiele Centre, Department of Mathematics, Aarhus University. Thiele Research Reports No. 02

Asmussen, S., Jensen, J. L. & Rojas-Nandayapa, L. (2016). Exponential Family Techniques for the Lognormal Left Tail. Scandinavian Journal of Statistics, 43(3), 774-787. https://doi.org/10.1111/sjos.12203

Asmussen, S., Goffard, P.-O. & Laub, P. (2016). Orthonormal polynomial expansions and lognormal sum densities. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet. Thiele Research Reports Vol. 1, 2016 http://math.au.dk/forskning/publikationer/instituttets-serier/publication/publid/1066/

Asmussen, S. & Thøgersen, J. (2016). Markov Dependence in Renewal Equations and Random Sums with Heavy Tails. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet. Thiele Research Reports Vol. 2, 2016 http://math.au.dk/forskning/publikationer/instituttets-serier/publication/publid/1071/

Asmussen, S. & Lehtomaa, J. V. (2016). Distinguishing log-concavity from heavy tails. Thiele Centre, Institut for Matematiske Fag, Aarhus Universitet. Thiele Research Reports Vol. 6, 2016 http://math.au.dk/forskning/publikationer/instituttets-serier/publication/publid/1090/

Asmussen, S., Lipsky, L. & Thompson, S. (2015). Markov renewal methods in RESTART problems in complex systems. In M. Podolskij, R. Stelzer, S. Thorbjørnsen & A. E. D. Veraart (Eds.), The Fascination of Probability, Statistics, and their Applications: In Honour of Ole E. Barndorff-Nielsen (pp. 501-527). Springer. https://doi.org/10.1007/978-3-319-25826-3_23

Asmussen, S., Ivanovs, J. & Rønn-Nielsen, A. (2017). Time inhomogeneity in longest gap and longest run problems. Stochastic Processes and Their Applications, 127(2), 574-589. https://doi.org/10.1016/j.spa.2016.06.018

Asmussen, S., Laub, P. & Goffard, P.-O. (2016). Orthonormal polynomial expansions and lognormal sum densities. In P. Barrieu (Ed.), Risk and Stochastics. Ragnar Norberg at 70 World Scientific. http://www.worldscientific.com/worldscibooks/10.1142/q0057

Asmussen, S. & Lehtomaa, J. V. (2017). Distinguishing log-concavity from heavy tails. Risks, 5(1). https://doi.org/10.3390/risks5010010

Asmussen, S., Hashorva, E., Laub, P. & Taimre, T. (2017). Tail asymptotics of light-tailed Weibull-like sums. (pp. 235-256). https://doi.org/10.19195/0208-4147.37.2.3

Asmussen, S. & Thøgersen, J. (2017). Markov dependence in renewal equations and random sums with heavy tails. Stochastic Models, 33(4), 617-632. https://doi.org/10.1080/15326349.2017.1375860

Asmussen, S., Goffard, P.-O. & Laub, P. (2019). Orthonormal polynomial expansions and lognormal sum densities. In P. Barrieu (Ed.), Risk and Stochastics: Ragnar Norberg (pp. 127-150). World Scientific. https://doi.org/10.1142/9781786341952_0008

Asmussen, S. (2018). Conditional Monte Carlo for sums, with applications to insurance and finance. Annals of Actuarial Science, 12(2), 455-478. https://doi.org/10.1017/S174849951700025

Asmussen, S. & Glynn, P. W. (2017). On preemptive-repeat LIFO queues. Queueing Systems, 87(1-2), 1-22. https://doi.org/10.1007/s11134-017-9532-3

Asmussen, S., Hashorva, E., Laub, P. & Taimre, T. (2017). Tail asymptotics for light-tailed Weibull-like sums. Probability and Mathematical Statistics, 37(2), 235-256.

Asmussen, S., Ivanovs, J. & Segers, J. (2019). On the longest gap between power-rate arrivals. Bernoulli, 25(1), 375-394. https://doi.org/10.3150/17-BEJ990

Asmussen, S. & Ivanovs, J. (2018). Discretization error for a two-sided reflected Lévy process. Queueing Systems, 89(1-2), 199-212. https://doi.org/10.1007/s11134-018-9576-z

Asmussen, S. & Foss, S. (2017). Regular variation in a fixpoint problem for single- and multiclass queues and branching processes. https://arxiv.org/pdf/1709.05140.pdf

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Revised 03.03.2026

Lars Madsen