## Patrick Laub

Mathematician, software engineer, post-doc.

Hi! I’m Pat Laub, a mathematician & software engineer. I have a post-doctoral position working with Stéphane Loisel and Christian Robert at the Chair for Data Analytics & Models for Insurance (Chaire DAMI), which is associated with the Institut de Science Financière et d’Assurances (ISFA) at the Université Claude Bernard Lyon 1 in Lyon, France. My PhD was in applied probability (with a focus on computational methods), and it was jointly conducted between Aarhus University and University of Queensland. I was lucky to have as supervisors Søren Asmussen and Phil Pollett. I’m interested in the intersection of maths/stats and computing, for example: machine learning, computational and experimental maths, statistics (MCMC), economics, artificial intelligence. I have worked in software roles, at Google (Sydney) & Data61 (then called National ICT Australia), and have taught programming and probability at universities for 8 years. For more background you can check out my LinkedIn profile or my publications below.

# Papers:

- Pierre-Olivier Goffard, Patrick J. Laub (2020),
*Orthogonal polynomial expansions to evaluate stop-loss premiums*, Journal of Computational and Applied Mathematics [**pdf**,**arxiv**,**code**] - Søren Asmussen, Pierre-Olivier Goffard, Patrick J. Laub (2019),
*Orthonormal polynomial expansions and lognormal sum densities*, Risk and Stochastics: Ragnar Norberg at 70 (Mathematical Finance Economics), World Scientific [**amazon**,**arxiv**,**code**] - Søren Asmussen, Jevgenijs Ivanovs, Patrick J. Laub, and Hailiang Yang (2019),
*Phase-type models in life insurance: fitting and valuation of equity-linked benefits*, Risks, 7(1), 17 pages [**pdf**,**code**] - Patrick J. Laub, Robert Salomone, Zdravko I. Botev (2019),
*Monte Carlo estimation of the density of the sum of dependent random variables*, Mathematics and Computers in Simulation, 161, pp. 23-31 [**pdf**,**arxiv**,**code**] - Søren Asmussen, Enkelejd Hashorva, Patrick J. Laub, Thomas Taimre (2017),
*Tail asymptotics of light-tailed Weibull-like sums*, Probability and Mathematical Statistics, 37(2), pp. 235–256 [**pdf**,**arxiv**] - Lars Nørvang Andersen, Patrick J. Laub, Leonardo Rojas-Nandayapa (2016),
*Efficient simulation for dependent rare events with applications to extremes*, Methodology and Computing in Applied Probability, 20(1), pp. 385–409 [**pdf**,**arxiv**,**code**] - Patrick J. Laub, Søren Asmussen, Jens Ledet Jensen, Leonardo Rojas-Nandayapa (2015),
*Approximating the Laplace transform of the sum of dependent lognormals*, Advances in Applied Probability, 48(A), pp. 203–215 [**pdf**,**arxiv**,**code**] - Patrick J. Laub, Thomas Taimre, Philip K. Pollett (2015),
*Hawkes Processes*, Technical report [**arxiv**]

# Theses:

- Doctor of Philosophy (Applied Probability) 2018,
*Computational methods for sums of random variables*[**pdf**,**tex**] - Bachelor of Science (Mathematics, Hons. I) 2014,
*Hawkes Processes: Simulation, Estimation, and Validation*[**pdf**] - Bachelor of Engineering (Software, Hons. I)/Science (Mathematics) 2013,
*Tradeoffs In Geophysical Inversion*[**pdf**]

# Teaching:

Lecturer for a short course on *Rare Event Estimation* [**materials**, **lecture recordings**]

# Open source software:

Creator of **EMpht.jl**. Minor contributor to **hawkes** and **pyABC**.

# Reviewer:

Peer-reviewer for Annals of Actuarial Science, Annals of Operations Research, European Actuarial Journal, Journal of Computational and Graphical Statistics, and Methodology and Computing in Applied Probability.

# Presentations:

- Munich 2019,
*Phase-Type Models in Life Insurance*, Insurance: Mathematics and Economics (IME 2019) [**actuview**] - Lyon 2018,
*Phase-Type Models in Life Insurance*, Institut de Science Financière et d’Assurances Séminaire Labo [**YouTube**] - Brisbane 2017,
*Rare-event asymptotics and estimation for dependent random sums*, a talk at the UQ SMORS Seminar series [**slides**] - Sydney 2017,
*Efficient simulation for dependent rare events with applications to extremes*, a UNSW Probability and Statistics seminar [**slides**] - Uluru 2017,
*Tail asymptotics of light-tailed Weibull-like sums*, a short talk at the Probability @ the Rock conference in honour of Phil Pollett. This presentation was “highly commended” [**slides**] - Greenland 2016,
*Simple and efficient estimators for rare-event maxima and sums*, a talk at the Applied Probability Symposium which was a celebration for Søren Asmussen’s 70th birthday [**slides**] - Brisbane 2016,
*Asymptotic adventures in the Scandinavian wilderness*, a talk at the UQ ACEMS Seminar series on my PhD’s first year in Denmark [**slides**] - Aarhus 2015,
*Rare-event simulation for maxima of dependent random variables*, a T.N. Thiele Centre seminar [**slides**]