By Dr Patrick Laub

Books

Laub PJ; Lee Y; Taimre T, 2022, The Elements of Hawkes Processes, Springer Nature

Book Chapters

Laub P; El Karoui N; Loisel S; Salhi Y, 2020, 'Quickest detection in practice in presence of seasonality: An illustration with call center data', in Insurance Data Analytics Some Case Studies of Advanced Algorithms and Applications

Asmussen S; Goffard P-O; Laub P, 2019, 'Orthonormal polynomial expansions and lognormal sum densities', in Risk and Stochastics Ragnar Norberg, Wspc (Europe)

Journal articles

Laub PJ; Lee Y; Pollett PK; Taimre T, 2025, 'Hawkes Models and Their Applications', Annual Review of Statistics and Its Application, 12, pp. 233 - 258, http://dx.doi.org/10.1146/annurev-statistics-112723-034304

Ungolo F; Laub P, 2024, 'An Augmented Variable Dirichlet Process mixture model for the analysis of dependent lifetimes', ASTIN Bulletin, 55, pp. 50 - 75, http://dx.doi.org/10.1017/asb.2024.34

Lee Y; Laub PJ; Taimre T; Zhao H; Zhuang J, 2022, 'Exact simulation of extrinsic stress-release processes', Journal of Applied Probability, 59, pp. 105 - 117, http://dx.doi.org/10.1017/jpr.2021.35

Goffard PO; Laub PJ, 2021, 'Approximate Bayesian Computations to fit and compare insurance loss models', Insurance: Mathematics and Economics, 100, pp. 350 - 371, http://dx.doi.org/10.1016/j.insmatheco.2021.06.002

Li J; Zyphur MJ; Sugihara G; Laub PJ, 2021, 'Beyond linearity, stability, and equilibrium: The edm package for empirical dynamic modeling and convergent cross-mapping in Stata', Stata Journal, 21, pp. 220 - 258, http://dx.doi.org/10.1177/1536867X211000030

Goffard PO; Laub PJ, 2020, 'Orthogonal polynomial expansions to evaluate stop-loss premiums', Journal of Computational and Applied Mathematics, 370, http://dx.doi.org/10.1016/j.cam.2019.112648

Asmussen S; Laub PJ; Yang H, 2019, 'Phase-Type models in life insurance: fitting and valuation of equity-linked benefits', Risks, 7, http://dx.doi.org/10.3390/risks7010017

Parick L; Robert S; Botev Z; Salomone R; Laub P, 2018, 'Monte Carlo estimation of the density of the sum of dependent random variables', Mathematics and Computers in Simulation, 161, pp. 23 - 31, http://dx.doi.org/10.1016/j.matcom.2018.12.001

Andersen LN; Laub PJ; Rojas-Nandayapa L, 2018, 'Efficient Simulation for Dependent Rare Events with Applications to Extremes', Methodology and Computing in Applied Probability, 20, pp. 385 - 409, http://dx.doi.org/10.1007/s11009-017-9557-4

Asmussen S; Hashorva E; Laub PJ; Taimre T, 2017, 'Tail asymptotics of light-tailed weibull-like sums', Probability and Mathematical Statistics, 37, pp. 235 - 256, http://dx.doi.org/10.19195/0208-4147.37.2.3

Laub PJ; Asmussen S; Jensen JL; Rojas-Nandayapa L, 2016, 'APPROXIMATING THE LAPLACE TRANSFORM OF THE SUM OF DEPENDENT LOGNORMALS', ADVANCES IN APPLIED PROBABILITY, 48, pp. 203 - 215, http://dx.doi.org/10.1017/apr.2016.50

Theses / Dissertations

Laub P, Computational methods for sums of random variables, http://dx.doi.org/10.14264/uql.2018.748

Preprints

Jang J; Laub PJ; Siu TK; Zhao H, 2025, Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims, http://arxiv.org/abs/2502.13325v1

Avanzi B; Dong E; Laub PJ; Wong B, 2024, Distributional Refinement Network: Distributional Forecasting via Deep Learning, http://arxiv.org/abs/2406.00998v1

Laub PJ; Lee Y; Pollett PK; Taimre T, 2024, Hawkes Models And Their Applications, http://arxiv.org/abs/2405.10527v1

Lee Y; Laub PJ; Taimre T; Zhao H; Zhuang J, 2021, Exact simulation of extrinsic stress-release processes, http://arxiv.org/abs/2106.14415v1

Goffard P-O; Laub PJ, 2020, Approximate Bayesian Computations to fit and compare insurance loss models, http://arxiv.org/abs/2007.03833v2

Laub PJ; Karoui NE; Loisel S; Salhi Y, 2020, Quickest detection in practice in presence of seasonality: An illustration with call center data, http://arxiv.org/abs/2006.04576v1

Taimre T; Laub PJ, 2018, Rare tail approximation using asymptotics and $L^1$ polar coordinates, http://arxiv.org/abs/1809.06594v1

Asmussen S; Hashorva E; Laub PJ; Taimre T, 2017, Tail asymptotics of light-tailed Weibull-like sums, http://arxiv.org/abs/1712.04070v1

Goffard P-O; Laub PJ, 2017, Orthogonal polynomial expansions to evaluate stop-loss premiums, http://arxiv.org/abs/1712.03468v2

Laub PJ; Salomone R; Botev ZI, 2017, Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables, http://arxiv.org/abs/1711.11218v2

Andersen LN; Laub PJ; Rojas-Nandayapa L, 2016, Efficient simulation for dependent rare events with applications to extremes, http://arxiv.org/abs/1609.09725v2

Asmussen S; Goffard P-O; Laub PJ, 2016, Orthonormal polynomial expansions and lognormal sum densities, http://arxiv.org/abs/1601.01763v1

Laub PJ; Asmussen S; Jensen JL; Rojas-Nandayapa L, 2015, Approximating the Laplace transform of the sum of dependent lognormals, http://arxiv.org/abs/1507.03750v2

Laub PJ; Taimre T; Pollett PK, 2015, Hawkes Processes, http://arxiv.org/abs/1507.02822v1

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