Most recent preprintes are available from
The Thiele Center or
Center for Analytical Finance
S. Asmussen and Mats Pihlgaard. Performance analysis with truncated heavy-tailed distributions (1. version, November 2004). ps_file
S. Asmussen and Mats Pihlgaard. Transient properties of many-server queues and related QBD's (1. version, October 2002). Mats'_web_page
S. Asmussen, F. Avram and M. Pistorius Russian and American put options under exponential phase-type Levy models (1. version, June 2002). MaPhySto's_web_page
S. Asmussen and J.R. Møller. Risk comparisons of premium rules: optimality and a life insurance study (1. version, May 2001). ps_file
S. Asmussen, P. Frantz, M. Jobmann and H.P-Schwefel. Large deviations and fast simulation in the presence of boundaries (1. version, June 2000). ps_file
S. Asmussen and J. Rosinski. Approximations of small jumps of Levy processes with a view towards simulation.(1. version, June 2000). ps_file
S. Asmussen and J.R. Møller. Calculation of the steady state waiting time distribution in GI/PH/c and MAP/PH/c queues (final version for QUESTA, October 1999). ps_file In connection with the paper, a number of MatLab programs have been developed by Jakob and can be downloaded from Jakob's_files.
EMpht is a program for fitting
phase-type distributions to data or parametric distributions. The method
is described in S. Asmussen, O. Nerman & M. Olsson, Fitting phase-type
distribution via the EM algorithm, Scand. J. Statist. 23, 419-441
(1996). You must download three files:
EMusersguide.ps
EMpht.c
PHplot.m