2026 Søren Asmussen: Mathematics Researcher – H-Index, Publications & Awards

Discipline name	D-Index	World Ranking	Current World Ranking	National Ranking	Current National Ranking	Publications	Citations
Mathematics	56	724	617	5	4	226	16802

Discipline name

D-Index

World Ranking

Current World Ranking

National Ranking

Current National Ranking

Publications

Citations

Mathematics

724

617

226

16802

Research.com Recognitions

2010 - INFORMS John von Neumann Theory Prize

Overview

Søren Asmussen is affiliated with Aarhus University in Denmark. Their research primarily focuses on areas intersecting economics, econometrics, finance, and decision sciences, with notable contributions in social sciences as well. Their work spans various subfields including management science and operations research, finance, demography, economics and econometrics, and mathematical physics.

The main topics addressed by Søren Asmussen cover:

Probability and Risk Models
Insurance, Mortality, Demography, Risk Management
Stochastic processes and financial applications
Insurance and Financial Risk Management
Financial Risk and Volatility Modeling
Stochastic processes and statistical mechanics
Advanced Queuing Theory Analysis

Søren Asmussen has published research in several academic venues, including:

Queueing Systems
SSRN Electronic Journal
European Actuarial Journal
Quantitative Finance
Scandinavian Actuarial Journal

Recent scientific papers include:

"Matrix representations of life insurance payments," 2020, European Actuarial Journal
"Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models," 2021, Quantitative Finance
"On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," 2022, Finance and Stochastics
"On the risk of credibility premium rules," 2021, Scandinavian Actuarial Journal
"Erlangization/Canadization of Phase-Type Jump Diffusions, with Applications to Barrier Options," 2024, Journal of the Indian Society for Probability and Statistics

The scientist has collaborated frequently with several co-authors, including:

Mogens Steffensen
Mogens Bladt
Corina Constantinescu
Julie Thøgersen
Peter W. Glynn

Søren Asmussen has also contributed to academic literature with book publications. Notably, one book titled Risk and Insurance was published in 2020 by Springer Nature.

Among awards, Søren Asmussen received the INFORMS John von Neumann Theory Prize in 2010.

Best Publications

Applied Probability And Queues

soren Asmussen

4316
Citations
Stochastic Simulation: Algorithms and Analysis

Søren Asmussen;Peter W. Glynn

1973
Citations
Controlled diffusion models for optimal dividend pay-out

Søren Asmussen;Michael Taksar

577
Citations
Approximations of small jumps of Lévy processes with a view towards simulation

Søren Asmussen;Jan Rosiński

442
Citations
Russian and American put options under exponential phase-type Lévy models

Søren Asmussen;Florin Avram;Martijn R. Pistorius

421
Citations
Optimal risk control and dividend distribution policies: example of excess-of loss reinsurance for an insurance corporation

Søren Asmussen;Bjarne Højgaard;Michael Taksar

360
Citations
Risk theory in a Markovian environment

Søren Asmussen

356
Citations
Marked point processes as limits of Markovian arrival streams

Søren Asmussen;Ger Koole

304
Citations
Stationary distributions for fluid flow models with or without Brownian noise

Søren Asmussen

276
Citations
Subexponential asymptotics for stochastic processes : extremal behavior, stationary distributions and first passage probabilities

Søren Asmussen

239
Citations
Rare events simulation for heavy-tailed distributions

Søren Asmussen;Klemens Binswanger;Bjarne Højgaard

199
Citations
Collapsibility and response variables in contingency tables

Søren Asmussen;David Edwards

195
Citations
Discretization Error in Simulation of One-Dimensional Reflecting Brownian Motion

Soren Asmussen;Peter Glynn;Jim Pitman

186
Citations
Improved algorithms for rare event simulation with heavy tails

Søren Asmussen;Dirk P. Kroese

178
Citations
Stationarity detection in the initial transient problem

Søren Asmussen;Peter W. Glynn;Hermann Thorisson

174
Citations
Asymptotics for sums of random variables with local subexponential behaviour

Søren Asmussen;Serguei Foss;Dmitry Korshunov

171
Citations
Large deviations results for subexponential tails, with applications to insurance risk

Søren Asmussen;Claudia Klüppelberg

170
Citations
ERLANGIAN APPROXIMATIONS FOR FINITE-HORIZON RUIN PROBABILITIES

Soren Asmussen;Florin Avram;Miguel Usabel

164
Citations
Simulation of Ruin Probabilities for Subexponential Claims

S. Asmussen;K. Binswanger

154
Citations
Sampling at subexponential times, with queueing applications

Søren Asmussen;Claudia Klüppelberg;Karl Sigman

145
Citations

Frequent Co-Authors

Peter W. Glynn Stanford University

Hansjörg Albrecher University of Lausanne

Claudia Klüppelberg Technical University of Munich

Reuven Y. Rubinstein Technion – Israel Institute of Technology

Volker Schmidt University of Ulm

Dirk P. Kroese University of Queensland

Johan Segers Université Catholique de Louvain

Jim Pitman University of California, Berkeley

Ger Koole Vrije Universiteit Amsterdam

Benjamin Melamed Rutgers, The State University of New Jersey

External Links

Personal website of Søren Asmussen Google Scholar page

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