Researcher identifiers

Number of documents


CV of Patrick Laub

Journal articles5 documents

  • Soren Asmussen, Patrick J. Laub, Hailiang Yang. Phase-Type Models in Life Insurance: Fitting and Valuation of Equity-Linked Benefits. Risks, MDPI, 2019, ⟨10.3390/risks7010017⟩. ⟨hal-02014897⟩
  • Patrick J. Laub, Robert Salomone, Zdravko Botev. Monte Carlo estimation of the density of the sum of dependent random variables. Mathematics and Computers in Simulation, Elsevier, 2018. ⟨hal-02014836⟩
  • Lars Nørvang Andersen, Leonardo Rojas-Nandayapa, Patrick J. Laub. Efficient Simulation for Dependent Rare Events with Applications to Extremes. Methodology and Computing in Applied Probability, Springer Verlag, 2018, 20 (1), pp.385-409. ⟨hal-02014757⟩
  • Søren Asmussen, Enkelejd Hashorva, Patrick J. Laub, Thomas Taimre. Tail asymptotics of light-tailed Weibull-like sums. Probability and Mathematical Statistics, 2017, 37 (2), pp.235 - 256. ⟨hal-02014819⟩
  • Patrick J. Laub, Søren Asmussen, Jens Jensen, Leonardo Rojas-Nandayapa. Approximating the Laplace transform of the sum of dependent lognormals. Advances in Applied Probability, Applied Probability Trust, 2016, 48 (A), pp.203-215. ⟨hal-02014740⟩

Preprints, Working Papers, ...3 documents

  • Thomas Taimre, Patrick J. Laub. Rare tail approximation using asymptotics and $L^1$ polar coordinates. 2019. ⟨hal-02014900⟩
  • Pierre-Olivier Goffard, Patrick J. Laub. Two numerical methods to evaluate stop-loss premiums. 2017. ⟨hal-01626545⟩
  • Søren Asmussen, Pierre-Olivier Goffard, Patrick J. Laub. Orthonormal polynomial expansions and lognormal sum densities. 2015. ⟨hal-01249930⟩