Patrick Laub

Mathematician, software engineer, post-doc.

Hi! I’m Pat Laub, a mathematician & software engineer, currently working as a Postdoctoral Fellow at The University of Melbourne. 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: computational and experimental maths, statistics, ML & AI. I have worked at the Institut de Science Financière et d’Assurances (ISFA) in the Université Claude Bernard Lyon 1 (Lyon, France), at Google (Sydney) & Data61 (then called National ICT Australia), and I have taught programming and probability at universities for 8 years. For more background you can check out my LinkedIn profile or my publications below.



  • 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]


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

Open source software:

  • Maintainer of the Stata edm package (the C++ backend in particular) for Empirical Dynamical Modelling [github]
  • Co-creator of the Python package approxbayescomp (and an initial C++ version cppabc) which implements an efficient Approximate Bayesian Computation method (with actuaries as the primary audience) [github]
  • Creator of the Python package hawkesbook to accompany our book on Hawkes processes [github]
  • Creator of the Julia package EMpht.jl which fits phase-type distributions [github]
  • During my Google internship, I ported the Dart package manager ‘pub’ to Chrome OS for use in the Spark IDE [code reviews] (look for my reviews under the account ha)
  • Drive-by contributor to: the R hawkes package (added multithreading) and the Python pyABC package (bug/performance fix).


Peer-reviewer for Annals of Actuarial Science, Annals of Operations Research, European Actuarial Journal, Insurance: Mathematics and Economics, Journal of Computational and Graphical Statistics, Methodology and Computing in Applied Probability, and Statistics & Probability Letters.


  • Online (via Zoom) 2021, Approximate Bayesian Computation in Insurance, Insurance Data Science conference [YouTube, slides]
  • Melbourne (via Zoom) 2021, A Software Engineer’s Toolkit for Quantitative Research, UniMelb Quantitative Methods Network Seminar [YouTube, slides]
  • Melbourne (via Zoom) 2021, Approximate Bayesian Computation in Insurance, University of Melbourne Actuarial Group & Applied Probability Group seminars [slides]
  • Sydney (via Zoom) 2021, Approximate Bayesian Computation & Writing Performant Python Code, UNSW Risk and Actuarial Group Seminar [YouTube, slides]
  • Paris (via Webex) 2020, Approximate Bayesian Computation and Insurance, Chaire DAMI Technical Seminar [YouTube, slides]
  • 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]


  • Brisbane 2017, Sums of lognormal random variables: density estimation, for the UQ School of Mathematics and Physics poster day [pdf]
  • Brisbane 2017, Sums of lognormal random variables: Laplace transform estimation, for the UQ School of Mathematics and Physics poster day [pdf]