Patrick Laub

Identifiants chercheurs

IdHAL :

patrick-laub

ORCID :

0000-0002-8442-7524

IdRef :

253121558

Présentation

Publications

Article dans une revue (7)

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
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 Risks, 2019, ⟨10.3390/risks7010017⟩ 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

Chapitre d'ouvrage (1)

Quickest detection in practice in presence of seasonality: an illustration with call center data Patrick J. Laub,Nicole El Karoui,Stéphane Loisel,Yahia Salhi Data analytics and Models for Insurance, 2020 Chapitre d'ouvrage hal-02984527v1

Pré-publication, Document de travail (1)

Rare tail approximation using asymptotics and $L^1$ polar coordinates Thomas Taimre,Patrick J. Laub 2019 Pré-publication, Document de travail hal-02014900v1