Publications

L.N. Andersen, P.J. Laub & L. Rojas-Nandayapa (2017) Efficient simulation for dependent rare events with applications to extremes. Methodology and Computing in Applied Probability (accepted). 17 pp.
S. Asmussen (2014) Lévy processes, phase-type distributions and martingales. Stochastic Models 30, 443-468.
S. Asmussen, L. Lipsky & S. Thompson (2014) Failure recovery in computing and data transmission: Restart and checkpointing. Proceedings of ASMTA2014, Springer Lecture Notes in Computer Science 8499, 253-272.
S. Asmussen, J.L. Jensen & L. Rojas-Nandayapa (2014) Exponential family techniques in the lognormal left tail. Scand. J. Statist. 4, 774-787.
S. Asmussen, L.N. Andersen, P.W. Glynn & M. Pihlsgård (2015) Lévy processes with two-sided reflection. In Lévy Matters V. Functionals of Lévy Processes (O.E. Barndorff-Nielsen, J. Bertoin, J. Jacod & C. Klüppelberg, eds.), pp. 67-182. Springer-Verlag.
S. Asmussen & D. Kortschak (2015) On rare event simulation with heavy Weibull tails. Methodology and Computing in Applied Probability. dx.doi.org/10.1007/s11009-013-9371-6.
S. Asmussen, J.L. Jensen & P. Laub (2016) Approximating the Laplace transform of the sum of dependent lognormals. Accepted for Probability, Analysis and Number Theory. Festschrift for N. Bingham. (C.M. Goldie & A. Mijatovic, eds.) Applied Probability Trust.
S. Asmussen & J. Thøgersen (2016) Markov dependence in renewal equations and random sums with heavy tails. Stochastic Models (pending revision). 16 pp.
S. Asmussen (2017) Conditional Monte Carlo for sums, with applications to insurance and finance. Submitted to Annals of Actuarial Science. 22 pp.
S. Asmussen, P. Ernst & J. Hasenbein (2017) Stability and tail asymptotics in a multiclass queue with state dependent arrival rates. Submittd to Queueing Systems. 16 pp.
S. Asmussen & P.W. Glynn (2017) On preemptive-repeat LIFO queues. Queueing Systems (pending revision). 22 pp.
S. Asmussen, E. Hashorva, P. Laub & T. Taimre (2017) Tail asymptotics for light-tailed Weibull-like sums. Submitted to Probability and Mathematical Statistics. 20 pp.
S. Asmussen & J. Ivanovs (2017) Time inhomogeneity in longest gap and longest run problems. Stoch. Proc. Appl. 127, 574-589.
S. Asmussen, J. Ivanovs & J. Segers (2017) On the longest gap between power-rate arrivals. Submitted to Bernoulli. 18 pp.
S. Asmussen, P. Laub & P.-O. Goffard (2017) Orthonormal polynomial expansions and lognormal sum densities. In Risk and Stochastics. Ragnar Norberg at 70 (P. Barrieu, ed.). World Scientific (to appear).
S. Asmussen & J. Lehtomaa (2017) Distinguishing log-concavity from heavy tails. Risks. doi:10.3390/risks5010010. 14 pp.
S. Asmussen, L. Lipsky & S. Thompson. Markov renewal methods in restart problems in complex systems. In The Fascination of Probability, Statistics, and their Applications. In Honour of Ole E. Barndorff-Nielsen (M. Podolskij, R. Stelzer, S. Thorbjørnsen & A.E.D. Veraart, eds.), pp. 501-527. Springer-Verlag (2015).
S. Asmussen, L. Lipsky & S. Thompson (2016) Linear algebraic methods in restart problems in Markovian systems. In Principles of Performance and Reliability Modeling and Evaluation. Essays in Honor of Kishor Trivedi on his 70th Birthday (L. Fiondella & A. Puliafito, eds.), pp. 449-479. Springer-Verlag.
S. Asmussen, J.L. Jensen & L. Rojas-Nandayapa. On the Laplace transform of the lognormal distribution. Methodology and Computing in Applied Probability. dx.doi.org/10.1007/s11009-014-9430-7.
S. Engelke & J. Ivanovs (2017) Robust bounds in multivariate extremes. Ann. Appl. Probab. (pending revision). 32 pp.
J. Ivanovs (2016) Zooming in on a Lévy process at its supremum. Ann. Appl. Probab. (pending revision). 20 pp.
P.J. Laub, S. Asmussen, J.L. Jensen & L. Rojas-Nandayapa (2016) Approximating the Laplace transform of the sum of dependent lognormals. Adv. Appl. Probab. 48A, 203-215.
J. Thøgersen (2016) Optimal premium as function of the deductible: Customer analysis and portfolio characteristics. Risks 2016, 4(4), 42. doi:10.3390/risks4040042. 19 pp.

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Revised 24.09.2018