Authors: Søren Asmussen
Superior Title: Risks, Vol 2, Iss 1, Pp 49-73 (2014)
Subject Terms: actuarial mathematics, Bayes premium, equilibrium distribution, experience rating, insurance portfolio, Markov chain, motor insurance, Poisson claims, stationary distribution, Insurance, HG8011-9999
File Description: electronic resource
Authors: Dominik Kortschak, Søren Asmussen
Superior Title: Stochastic Systems, Vol 3, Iss 2, Pp 591-633 (2014)
Subject Terms: second order subexponentiality, regular variation, finite time ruin probability, poisson process, risk Process, transient behavior, M/G/1 queue, storage process, Probabilities. Mathematical statistics, QA273-280, Applied mathematics. Quantitative methods, T57-57.97
File Description: electronic resource
Authors: Søren Asmussen, Bent Jesper Christensen, Julie Thøgersen
Superior Title: Risks, Vol 7, Iss 2, p 49 (2019)
Subject Terms: Stochastic differential game, Product differentiation, Adverse selection, Stackelberg equilibrium, Insurance, HG8011-9999
File Description: electronic resource
Authors: Søren Asmussen, Patrick J. Laub, Hailiang Yang
Superior Title: Risks, Vol 7, Iss 1, p 17 (2019)
Subject Terms: generalized Coxian distribution, EM algorithm, guaranteed minimum death benefit, high-water benefit, jump diffusion, matrix-analytic methods, reserves, Wiener-Hopf factorization, Insurance, HG8011-9999
File Description: electronic resource
Authors: Søren Asmussen, Jaakko Lehtomaa
Superior Title: Risks, Vol 5, Iss 1, p 10 (2017)
Subject Terms: heavy-tailed, log-concave, mean excess function, principle of a single big jump, Insurance, HG8011-9999
File Description: electronic resource
Authors: Søren Asmussen, Romain Biard
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://hal.inria.fr/docs/00/58/82/69/PDF/sarbHAL2.pdf.
Subject Terms: Ruin theory, Subexponential distribution, Large deviations, Markov
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.393.4748; http://hal.inria.fr/docs/00/58/82/69/PDF/sarbHAL2.pdf
Availability: http://hal.inria.fr/docs/00/58/82/69/PDF/sarbHAL2.pdf
Authors: Leonardo Rojas-n, Søren Asmussen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.imf.au.dk/publications/thiele/2007/imf-thiele-2007-03.pdf.
Subject Terms: Key words, Bounded relative error, complexity, conditional Monte Carlo, Lévy
File Description: application/pdf
Authors: Søren Asmussen, Pierre Fiorini, Lester Lipsky, Tomasz Rolski, Robert Sheahan
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://arxiv.org/pdf/0706.0403v1.pdf.
Subject Terms: Department of Mathematical Sciences, Aarhus University, Ny Munkegade, DK-8000
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.250.8920; http://arxiv.org/pdf/0706.0403v1.pdf
Availability: http://arxiv.org/pdf/0706.0403v1.pdf
Contributors: The Pennsylvania State University CiteSeerX Archives
Authors: Lars Nørvang Andersen, Søren Asmussen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.imf.au.dk/publications/thiele/2007/imf-thiele-2007-13.pdf.
File Description: application/pdf
Authors: Søren Asmussen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.maphysto.dk/publications2/MPS-RR/2004/3.pdf.
Subject Terms: Khinchine formula, rare event, regular variation, stratification, subexponential
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.410.2144; http://www.maphysto.dk/publications2/MPS-RR/2004/3.pdf
Availability: http://www.maphysto.dk/publications2/MPS-RR/2004/3.pdf
Authors: Søren Asmussen, Dirk P. Kroese, Reuven Y. Rubinstein
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.maphysto.dk/publications2/MPS-RR/2003/18.pdf.
Subject Terms: queue, Pareto distribution, Pollaczek-Khintchine formula
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.379.6285; http://www.maphysto.dk/publications2/MPS-RR/2003/18.pdf
Availability: http://www.maphysto.dk/publications2/MPS-RR/2003/18.pdf
Authors: Thiele Centre, Søren Asmussen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.imf.au.dk/publications/thiele/2005/imf-thiele-2005-05.pdf.
Subject Terms: Key words, Lévy process, reflection, Skorokhod problem, local time, loss
File Description: application/pdf
Authors: Søren Asmussen, Leonardo Rojas-nandayapa
Contributors: The Pennsylvania State University CiteSeerX Archives
Subject Terms: distribution, tail asymptotics, value at risk
File Description: application/pdf
Authors: Søren Asmussen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://home.imf.au.dk/asmus/sim14.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.500.9869; http://home.imf.au.dk/asmus/sim14.pdf
Availability: http://home.imf.au.dk/asmus/sim14.pdf
Authors: Søren Asmussen, Let J {j(t
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.maphysto.dk/publications2/MPS-RR/2004/14.pdf.
Subject Terms: phase-type distribution, Poisson’s equation, Wiener-Hopf factorization. Department of Theoretical Statistics. Department of Mathematical Sciences
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.410.3627; http://www.maphysto.dk/publications2/MPS-RR/2004/14.pdf
Availability: http://www.maphysto.dk/publications2/MPS-RR/2004/14.pdf
Authors: Søren Asmussen
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.maphysto.dk/publications2/MPS-RR/2004/24.pdf.
Subject Terms: M/G/1 queue
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.410.3386; http://www.maphysto.dk/publications2/MPS-RR/2004/24.pdf
Availability: http://www.maphysto.dk/publications2/MPS-RR/2004/24.pdf
Authors: Søren Asmussen, Dirk P. Kroese
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://eprint.uq.edu.au/archive/00001133/01/dpk_a8_04.pdf.
Subject Terms: Key words, Bounded relative error, complexity, conditional Monte Carlo, control variate, logaritmic efficiency, M/G/1 queue, Pollaczeck- Khinchine formula, rare event, regular variation, stratification, subexponential distribution, Weibull distribution
File Description: application/pdf
Authors: Søren Asmussen, Serguei Foss, Dmitry Korshunov
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.math.nsc.ru/LBRT/v1/dima/publications/afk.pdf.
File Description: application/pdf
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.225.8785; http://www.math.nsc.ru/LBRT/v1/dima/publications/afk.pdf
Availability: http://www.math.nsc.ru/LBRT/v1/dima/publications/afk.pdf
Authors: Søren Asmussen, Florin Avram, Martijn R. Pistorius
Contributors: The Pennsylvania State University CiteSeerX Archives
Superior Title: http://www.math.uu.nl/publications/preprints/1240.ps.gz.
Subject Terms: martingale, Wiener-Hopf factorisation, Russian option
File Description: application/postscript
Relation: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.18.6472; http://www.math.uu.nl/publications/preprints/1240.ps.gz
Availability: http://www.math.uu.nl/publications/preprints/1240.ps.gz