7 citations · 13 across the 8 of their papers we have counts for
15 papers
Matrix calculations for inhomogeneous Markov reward processes, with applications to life insurance and point processes
Mogens Bladt, Søren Asmussen, Mogens Steffensen
A multi--state life insurance model is naturally described in terms of the intensity matrix of an underlying (time--inhomogeneous) Markov process which describes the dynamics for t…
A factorization of a Lévy process over a phase-type horizon
Søren Asmussen, Jevgenijs Ivanovs
This note provides a factorization of a Lévy pocess over a phase-type horizon given the phase at the supremum, thereby extending the Wiener-Hopf factorization for exponenti…
Tail asymptotics of light-tailed Weibull-like sums
Søren Asmussen, Enkelejd Hashorva, Patrick J. Laub +1
We consider sums of i.i.d. random variables with tails close to for some . Asymptotics developed by Rootzén (1987) and Balkema, Klüppelberg & Resnick (1993)…
Regular Variation in a Fixed-Point Problem for Single- and Multiclass Branching Processes and Queues
Søren Asmussen, Sergey Foss
Tail asymptotics of the solution to a fixpoint problem of type is derived under heavy-tailed conditions allowing both dependence between and …
Discretization error for a two-sided reflected Lévy process
Søren Asmussen, Jevgenijs Ivanovs
An obvious way to simulate a Lévy process is to sample its increments over time , thus constructing an approximating random walk . This paper considers the error…
On the longest gap between power-rate arrivals
Søren Asmussen, Jevgenijs Ivanovs, Johan Segers
Let be the longest gap before time in an inhomogeneous Poisson process with rate function proportional to for some . It is shown that $λ_tL_t-b…