Asmussen Sren

Sren Asmussen

Information about the author Sren Asmussen will soon be added to the site.
Found 18 papers in total
On preemptive-repeat LIFO queues
On preemptive-repeat LIFO queues
2017
In this paper, we study the basic properties of last‐in first‐out (LIFO)...
Efficient simulation of tail probabilities of sums of correlated lognormals
Efficient simulation of tail probabilities of sums of correlated lognormals
2011
We consider the problem of efficient estimation of tail probabilities of sums of...
Asymptotic Behavior of Total Times for Jobs That Must Start Over if a Failure Occurs
Asymptotic Behavior of Total Times for Jobs That Must Start Over if a Failure Occurs
2008
Many processes must complete in the presence of failures. Different systems respond to...
Loss rates for Lévy processes with two reflecting barriers
Loss rates for Lévy processes with two reflecting barriers
2007
We consider a Lévy process that is reflected at 0 and at K < 0. The...
Exact buffer overflow calculations for queues via martingales
Exact buffer overflow calculations for queues via martingales
2002
Let τ n be the first time a queueing process like the queue length or workload...
Calculation of the steady state waiting time distribution in GI/PH/c and MAP/PH/c queues
Calculation of the steady state waiting time distribution in GI/PH/c and MAP/PH/c queues
2001
We consider the waiting time (delay) W in a first-come-first-served c -server queue...
An operational calculus for matrix-exponential distributions, with applications to a Brownian (q, Q) inventory model
An operational calculus for matrix-exponential distributions, with applications to a Brownian (q, Q) inventory model
1998
A distribution G on (0, ∞) is called matrix-exponential if the density has the...
On the tail of the waiting time in a Markov-modulated M/G/1 queue
On the tail of the waiting time in a Markov-modulated M/G/1 queue
2002
We show that the ‘exponential decay parameter’ of the waiting time in a...
Tail asymptotics for M/G/1 type queueing processes with subexponential increments
Tail asymptotics for M/G/1 type queueing processes with subexponential increments
1999
Bivariate regenerative Markov modulated queueing processes are described. Increments...
Tail probabilities for non-standard risk and queueing processes with subexponential jumps
Tail probabilities for non-standard risk and queueing processes with subexponential jumps
1999
A well-known result on the distribution tail of the maximum of a random walk with...
Sensitivity analysis of insurance risk models via simulation
Sensitivity analysis of insurance risk models via simulation
1999
We show how, from a single simulation run, to estimate the run probabilities and their...
Stationary distributions via first passage times
Stationary distributions via first passage times
1995
This article gives a survey of how to express the stationary distribution of a...
Steady state rare events simulation in queueing models and its complexity properties
Steady state rare events simulation in queueing models and its complexity properties
1995
This article gives an overview of rare events simulation via importance sampling in...
Busy period analysis, rare events and transient behavior in fluid flow models
Busy period analysis, rare events and transient behavior in fluid flow models
1994
The paper considers a process {( J t ,V t )} t Å≥ 0 on...
Stationary distributions for fluid flow models with or without Brownian noise
Stationary distributions for fluid flow models with or without Brownian noise
1995
The paper considers a process with reflection at the origin and paths which are...
Large claims approximations for risk processes in a Markovian environment
Large claims approximations for risk processes in a Markovian environment
1994
Let be the probability of ruin for a risk process which has initial reserve u and...
Ladder heights and the Markov-modulated M/G/1 queue
Ladder heights and the Markov-modulated M/G/1 queue
1991
The waiting time distribution is studied for the Markov-modulated M/G/1 queue with...
Validating the heavy traffic performance of regenerative simulation
Validating the heavy traffic performance of regenerative simulation
1989
Following a theoretical study by Asmussen indicating severe problems associated with a...
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