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CV of Patrick Laub

Article dans une revue5 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〉
  • 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〉
  • 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〉
  • 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〉

Pré-publication, Document de travail3 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〉