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- Robert Sheahan, Lester Lipsky, Pierre M. Fiorini, Søren Asmussen
- SIGMETRICS Performance Evaluation Review
- 2006

For many systems, failure is so common that the design choice of how to deal with it may have a significant impact on the performance of the system. There are many specific and distinct failure recovery schemes, but they can be grouped into three broad classes: <i>RESUME</i>, also referred to as preemptive resume (prs), or check-pointing; <i>REPLACE</i>,… (More)

- Søren Asmussen
- Math. Oper. Res.
- 1992

- Søren Asmussen, Bjarne Højgaard, Michael I. Taksar
- Finance and Stochastics
- 2000

We consider a model of a nancial corporation which has to nd an optimal policy balancing its risk and expected proots. The example treated in this paper is related to an insurance company with the risk control method known in the industry as excess-of-loss reinsurance. Under this scheme the insurance company divert part of its premium stream to another… (More)

- THIELE CENTRE, Søren Asmussen, Hansjörg Albrecher
- 2005

Let X 1 , X 2 denote positive exchangable heavy-tailed random variables with continuous marginal distribution function F. The asymptotic behavior of the tail of X 1 + X 2 is studied in a general copula framework and some bounds and extremal properties are provided. For more specific assumptions on F and the underlying dependence structure of X 1 and X 2 ,… (More)

- B G Link, E L Struening, S Neese-Todd, S Asmussen, J C Phelan
- Psychiatric services
- 2001

OBJECTIVE
The objective of this study was to determine whether stigma affects the self-esteem of persons who have serious mental illnesses or whether stigma has few, if any, effects on self-esteem.
METHODS
Self-esteem and two aspects of stigma, namely, perceptions of devaluation-discrimination and social withdrawal because of perceived rejection, were… (More)

- Søren Asmussen, Peter W. Glynn, Hermann Thorisson
- ACM Trans. Model. Comput. Simul.
- 1992

Let <bold>X</bold> = {X(t)}<subscrpt>t ≥ 0</subscrpt> be a stochastic process with a stationary version <bold>X<supscrpt>*</supscrpt></bold>. It is investigated when it is possible to generate by simulation a version <bold>X˜</bold> of <bold>X</bold> with lower initial bias than <bold>X</bold> itself, in the sense that either… (More)

- S Asmussen, K Binswanger
- 1997

We consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense. We use the… (More)

We study distributions F on [0, .) such that for some T [ ., F g 2 (x, x+T] ' 2F(x, x+T]. The case T=. corresponds to F being subexponential, and our analysis shows that the properties for T <. are, in fact, very similar to this classical case. A parallel theory is developed in the presence of densities. Applications are given to random walks, the key… (More)

- Søren Asmussen, Pierre M. Fiorini, Lester Lipsky, Tomasz Rolski, Robert Sheahan
- Math. Oper. Res.
- 2008

Many processes must complete in the presence of failures. Different systems respond to task failure in different ways. The system may resume a failed task from the failure point (or a saved checkpoint shortly before the failure point), it may give up on the task and select a replacement task from the ready queue, or it may restart the task. The behavior of… (More)

- Søren Asmussen, Jakob R. Møller
- Queueing Syst.
- 1999