Patrick Laub

Beyond linearity, stability, and equilibrium: The edm package for empirical dynamic modeling and convergent cross-mapping in Stata

Jinjing Li, Michael J Zyphur, George Sugihara, Patrick J Laub

Journal article  |  2021  |  The Stata Journal Promoting communications on statistics and Stata

How can social and health researchers study complex dynamic systems that function in nonlinear and even chaotic ways? Common metho..

Quickest detection in practice in presence of seasonality: An illustration with call center data

Patrick Laub, Nicole El Karoui, Stéphane Loisel, Yahia Salhi

Book Chapter  |  2020

Orthogonal polynomial expansions to evaluate stop-loss premiums

Pierre-Olivier Goffard, Patrick J Laub

Journal article  |  2020  |  Journal of Computational and Applied Mathematics

A numerical method is proposed to evaluate the survival function of a compound distribution and the stop-loss premiums associated ..

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

Patrick J Laub, Robert Salomone, Zdravko I Botev

Journal article  |  2019  |  Mathematics and Computers in Simulation

We study an unbiased estimator for the density of a sum of random variables that are simulated from a computer model. A numerical ..

Orthonormal polynomial expansions and lognormal sum densities

Søren Asmussen, Pierre-Olivier Goffard, Patrick J Laub

Book Chapter  |  2019

Also featured are notes from contributors giving account of their personal relations with Professor Norberg, as well as an autobio..

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

Soren Asmussen, Patrick J Laub, Hailiang Yang

Journal article  |  2019  |  Risks

Phase-type (PH) distributions are defined as distributions of lifetimes of finite continuous-time Markov processes. Their traditio..

Efficient Simulation for Dependent Rare Events with Applications to Extremes

Lars Norvang Andersen, Patrick J Laub, Leonardo Rojas-Nandayapa

Journal article  |  2018  |  Methodology and Computing in Applied Probability

We consider the general problem of estimating probabilities which arise as a union of dependent events. We propose a flexible seri..

TAIL ASYMPTOTICS OF LIGHT-TAILED WEIBULL-LIKE SUMS

Soren Asmussen, Enkelejd Hashorva, Patrick J Laub, Thomas Taimre

Journal article  |  2017  |  Probability and Mathematical Statistics

We consider sums of n i.i.d. random variables with tails close to exp{-x } for some β > 1. Asymptotics developed by Rootzén (1987)..

APPROXIMATING THE LAPLACE TRANSFORM OF THE SUM OF DEPENDENT LOGNORMALS

Patrick J Laub, Soren Asmussen, Jens L Jensen, Leonardo Rojas-Nandayapa

Journal article  |  2016  |  Advances in Applied Probability

AbstractLet (X1,...,Xn) be multivariate normal, with mean vector 𝛍 and covariance matrix 𝚺, and letSn=eX1+⋯+eXn. The Laplace tra..

Computational methods for sums of random variables

Patrick Laub

Thesis / Dissertation