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Søren Asmussen
Søren Asmussen
Professor at Department of Mathematics, Aarhus University
Adresse e-mail validée de imf.au.dk - Page d'accueil
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Applied probability and queues
S Asmussen, S Asmussen, S Asmussen
Springer 2, 439, 2003
53562003
Ruin probabilities
S Asmussen, H Albrecher
World scientific, 2010
29582010
Stochastic simulation: Algorithms and analysis
S Asmussen, PW Glynn
Springer, 2007
21912007
Fitting phase-type distributions via the EM algorithm
S Asmussen, O Nerman, M Olsson
Scandinavian Journal of Statistics, 419-441, 1996
9441996
Branching processes
S Asmussen, H Hering
Birkhäuser 3, x+ 461, 1983
5681983
Controlled diffusion models for optimal dividend pay-out
S Asmussen, M Taksar
Insurance: Mathematics and Economics 20 (1), 1-15, 1997
5661997
Approximations of small jumps of Lévy processes with a view towards simulation
S Asmussen, J Rosiński
Journal of Applied Probability 38 (2), 482-493, 2001
4292001
Russian and American put options under exponential phase-type Lévy models
S Asmussen, F Avram, MR Pistorius
Stochastic Processes and their Applications 109 (1), 79-111, 2004
4172004
Risk theory in a Markovian environment
S Asmussen
Scandinavian Actuarial Journal 1989 (2), 69-100, 1989
3521989
Exact Asymptotics for a Large Deviations Problem for the GI/G/1 Queue
S Asmussen, JP Collamore
322*1999
Marked point processes as limits of Markovian arrival streams
S Asmussen, G Koole
Journal of Applied Probability 30 (2), 365-372, 1993
3001993
Stationary distributions for fluid flow models with or without Brownian noise
S Asmussen
Communications in statistics. Stochastic models 11 (1), 21-49, 1995
2641995
Subexponential asymptotics for stochastic processes: extremal behavior, stationary distributions and first passage probabilities
S Asmussen
The Annals of Applied Probability 8 (2), 354-374, 1998
2351998
Rare events simulation for heavy-tailed distributions
S Asmussen, K Binswanger, B Højgaard
Bernoulli, 303-322, 2000
1952000
Collapsibility and response variables in contingency tables
S Asmussen, D Edwards
Biometrika 70 (3), 567-578, 1983
1851983
Discretization error in simulation of one-dimensional reflecting Brownian motion
S Asmussen, P Glynn, J Pitman
The Annals of Applied Probability 5 (4), 875-896, 1995
1801995
Improved algorithms for rare event simulation with heavy tails
S Asmussen, DP Kroese
Advances in Applied Probability 38 (2), 545-558, 2006
1782006
Stationarity detection in the initial transient problem
S Asmussen, PW Glynn, H Thorisson
ACM Transactions on Modeling and Computer Simulation 2 (2), 130-157, 1992
1711992
Simulation of stochastic processes
S Asmussen
Encyclopedia of Actuarial Science, 2004
168*2004
Asymptotics for sums of random variables with local subexponential behaviour
S Asmussen, S Foss, D Korshunov
Journal of Theoretical Probability 16, 489-518, 2003
1652003
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