Patrick Laub

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Publications

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Approximate Bayesian Computations to fit and compare insurance loss models

Pierre-Olivier Goffard , Patrick Laub

Insurance: Mathematics and Economics, 2021, 100, pp.350-371. ⟨10.1016/j.insmatheco.2021.06.002⟩

Article dans une revue hal-02891046v2
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Orthogonal polynomial expansions to evaluate stop-loss premiums

Pierre-Olivier Goffard , Patrick J. Laub

Journal of Computational and Applied Mathematics, 2020, 370, ⟨10.1016/j.cam.2019.112648⟩

Article dans une revue hal-01626545v3

Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits

Soren Asmussen , Patrick J. Laub , Hailiang Yang Article dans une revue hal-02014897v1

Monte Carlo estimation of the density of the sum of dependent random variables

Patrick J. Laub , Robert Salomone , Zdravko I, Botev

Mathematics and Computers in Simulation, 2018

Article dans une revue hal-02014836v1

Efficient Simulation for Dependent Rare Events with Applications to Extremes

Lars Nørvang Andersen , Leonardo Rojas-Nandayapa , Patrick J. Laub

Methodology and Computing in Applied Probability, 2018, 20 (1), pp.385-409

Article dans une revue hal-02014757v1

Tail asymptotics of light-tailed Weibull-like sums

Søren Asmussen , Enkelejd Hashorva , Patrick J. Laub , Thomas Taimre

Probability and Mathematical Statistics, 2017, 37 (2), pp.235 - 256

Article dans une revue hal-02014819v1

Approximating the Laplace transform of the sum of dependent lognormals

Patrick J. Laub , Søren Asmussen , Jens Ledet Jensen , Leonardo Rojas-Nandayapa

Advances in Applied Probability, 2016, 48 (A), pp.203-215

Article dans une revue hal-02014740v1