S. Asmussen

activity

20072019

most citedAsymptotics for sums of random variables with local subexponential behaviour

7 citations · 13 across the 8 of their papers we have counts for

collaborators

Showing 2015Show all

2 papers · 1 filter

math.PR2015

Time inhomogeneity in longest gap and longest run problems

Søren Asmussen, Jevgenijs Ivanovs, Anders Rønn Nielsen

Consider an inhomogeneous Poisson process and let $D$ be the first of its epochs which is followed by a gap of size $ℓ > 0$ . We establish a criterion for $D < \infty$ a.s., as well…

math.PR2015

Approximating the Laplace transform of the sum of dependent lognormals

Patrick J. Laub, Søren Asmussen, Jens Ledet Jensen +1

Let $(X_{1}, \dots, X_{n})$ be multivariate normal, with mean vector $μ$ and covariance matrix $Σ$ , and $S_{n} = e^{X_{1}} + \dots + e^{X_{n}}$ . The Laplac…