Asmussen, Søren.
Asmussen, Søren f. 1946
Asmussen, Søren, 1946-
Asmussen, S.
Søren Asmussen
VIAF ID: 94701625 ( Personal )
Permalink: http://viaf.org/viaf/94701625
Preferred Forms
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- 100 1 _ ‡a Asmussen, Søren
- 100 1 _ ‡a Asmussen, Søren
- 100 1 _ ‡a Asmussen, Søren
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- 100 1 _ ‡a Asmussen, Søren
- 100 1 _ ‡a Asmussen, Søren
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- 100 1 _ ‡a Asmussen, Søren ‡d 1946-
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- 100 0 _ ‡a Søren Asmussen
4xx's: Alternate Name Forms (18)
5xx's: Related Names (5)
- 510 2 _ ‡a Århus Universitet ‡e Affiliation
- 510 2 _ ‡a Københavns universitet
- 510 2 _ ‡a Københavns universitet. Institut for matematisk statistik
- 510 2 _ ‡a ebrary, Inc
- 510 2 _ ‡a Århus Universitet
Works
Title | Sources |
---|---|
Applied probability and queues | |
Approximations of small jumps of Lévy processes with a view towards simulation | |
Asymptotic behavior of total times for jobs that must start over if a failure occurs | |
Branching processes | |
Computational methods in risk theory | |
Conditional Monte Carlo for sums, with applications to insurance and finance | |
Convergence rates for M/G/1 queues and ruin problems with heavy tails | |
Discretization error in simulation of one-dimensional reflecting Brownian motion | |
Distinguishing log-concavity from heavy tails | |
Does Markov-modulation increase the risk? | |
Efficient simulation of finite horizon problems in queueing and insurance risk | |
Efficient simulation of tail probabilities of sums of correalated lognormals | |
Estimating rare events via the likelihood ratio method from M/M/1 queues to bottleneck networks | |
Exponential families generated by phase-type distributions and other Markov lifetimes | |
Exponential family techniques for the lognormal left tail | |
Failure recovery via RESTART | |
Harris recurrence and MCMC | |
Heavy tails, importance sampling and cross-entropy | |
Interplay between insurance, finance and control | |
Ladder heights and the Markov-modulated M/G/1 queue | |
Large claims approximations for risk processes in Markovian environment | |
Large deviations results in the presence of heavy tails, with applications to insurance risk | |
Lectures on renewal theory | |
Lévy Matters V : Functionals of Lévy Processes | |
Local time asymptotics for centered Lévy processes with two-sided reflection | |
The M/M/1 queue with inventory, lost sale and general lead times | |
Marked point processes as limits of Markovian arrival streams | |
Markov bridges, bisection and variance reduction | |
Markov chains and related topics | |
Markov dependence in renewal equations and random sums with heavy tails | |
Markov renewal methods in restart problems in complex systems | |
Measure-theoretic foundations of probability theory in Polish spaces | |
Modeling and performance of bonus-malus systems: stationarity versus age-correction | |
Monotone stochastic recursions and their duals | |
n82163929 | |
On cycle maxima, first passage problems and extreme value theory for queues | |
On error rates in rare event simulation with heavy tails | |
On exceedance times for some processes with dependent increments | |
On preemptive-repeat LIFO queues | |
On the Laplace transform of the lognormal distribution | |
On the ruin problem for some adapted premium rules | |
Optimal risk control and dividend distribution policies | |
Orthonormal polynomial expansions and lognormal sum densities | |
Parallel computing, failure recovery, and extreme values | |
Performance analysis with truncated heavy-tailed distributions | |
Phase-type distributions and risk processes with state-dependent premiums | |
Pricing equity default swaps under the CGMY Lévy model | |
Pricing of some exotic options with NIG-Lévy input | |
Probabilistic interpretations of some duality results for matrix paradigms in queueing theory | |
Rate modulation in dams and ruin problems | |
Regeneration and likelihood ratios in TES processes | |
Regenerative simulation in heavy traffic - empirical illustrations | |
Renewal theory and queueing algorithms for matrix-exponential distributions | |
Risk and Insurance : A Graduate Text | |
Risk theory in a periodic environment | |
Ruin probabilities | |
Russian and American put options under exponential phase-type Lévy-models | |
Second order corrections for the limits of normalized ruin times in the presence of heavy tails | |
Spitzer's identity and the simulation of transient G1/G/1 behaviour | |
Stationarity detection in the initial transient problem | |
Stationary distributions for fluid flow models and Markov-modulated reflected Brownian motion | |
Statistisk ... 1975. | |
Statistisk forsøgsplanlægning : introduktion til den matematiske teori | |
Stochastic control theory | |
Stochastic simulation : algorithms and analysis | |
Sums of dependent lognormal random variables | |
Symposium on probability and algorithms | |
Tail asymptotics for the sum of two heavy-tailed dependent risks | |
Tail asymptotics of light-tailed Weibull-like sums | |
Tail probabilities for non-standard risk and queueing processes with subexponential jumps | |
Time inhomogeneity in longest gap and longest run problems | |
Transient properties of many-server queues and related QBD's | |
The ¤ascending ladder height distribution for a certain class of dependent random walks | |
A ¤dependability measure for degradable computing systems | |
The ¤efficiency and heavy traffic properties of the score function method in sensitivity analysis of queueing models | |
An ¤operational calculus for matrix-exponential distributions, with applications to a Brownian (q, Q) inventory model |