Sören Asmussen (Former)

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2007
Mark Loss rates for Lévy processes with two reflecting barriers
Asmussen, Sören ^LU and Pihlsgård, Mats ^LU (2007) In Mathematics of Operations Research 32(2). p.308-321
- Contribution to journal › Article
2006
Mark Matrix-exponential distributions
Asmussen, Sören ^LU and O'Cinneide, C.A. (2006) In Encyclopedia of Statistical Sciences 3.
- Contribution to journal › Article
2004
Mark Russian and American options under exponential phase-type Lévy models
Asmussen, Sören ^LU ; Avram, Florin and Pistorius, Martijn R. (2004) In Stochastic Processes and their Applications p.79-111
- Contribution to journal › Article
2003
Mark Risk comparisons of premium rules: optimality and a life insurance study
Asmussen, Sören ^LU and Moller, JR (2003) In Insurance: Mathematics and Economics 32(3). p.331-344
- Contribution to journal › Article
Mark Asymptotics for sums of random variables with local subexponential behaviour
Asmussen, Sören ^LU ; Foss, S and Korshunov, D (2003) In Journal of Theoretical Probability 16(2). p.489-518
- Contribution to journal › Article
2002
Mark Large deviations in rare events simulation: examples, counterexamples and alternatives
Asmussen, Sören ^LU (2002) Proceedings of Fourth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing p.1-9
- Chapter in Book/Report/Conference proceeding › Paper in conference proceeding
Mark A local limit theorem for random walk maxima with heavy tails
Asmussen, Sören ^LU ; Kalashnikov, V ; Konstantinides, D ; Kluppelberg, C and Tsitsiashvili, G (2002) In Statistics and Probability Letters 56(4). p.399-404
- Contribution to journal › Article
Mark Exact buffer overflow calculations for queues via martingales
Asmussen, Sören ^LU ; Jobmann, M and Schwefel, HP (2002) In Queueing Systems 42(1). p.63-90
- Contribution to journal › Article
Mark Large deviations and fast simulation in the presence of boundaries
Asmussen, Sören ^LU ; Fuckerieder, P ; Jobmann, M and Schwefel, HP (2002) In Stochastic Processes and their Applications 102(1). p.1-23
- Contribution to journal › Article
Mark On the tail of the waiting time in a Markov-modulated M/G/1 queue
Asmussen, Sören ^LU and O'Cinneide, C (2002) In Operations Research 50(3). p.559-565
- Contribution to journal › Article

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