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Patrick J. Laub
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Hawkes processes
PJ Laub, T Taimre, PK Pollett
arXiv preprint arXiv:1507.02822, 2015
1682015
Orthonormal polynomial expansions and lognormal sum densities
S Asmussen, PO Goffard, PJ Laub
Risk and Stochastics: Ragnar Norberg, 127-150, 2019
332019
Phase-type models in life insurance: Fitting and valuation of equity-linked benefits
S Asmussen, PJ Laub, H Yang
Risks 7 (1), 17, 2019
212019
Tail asymptotics of light-tailed Weibull-like sums
S Asmussen, E Hashorva, PJ Laub, T Taimre
arXiv preprint arXiv:1712.04070, 2017
152017
Approximating the Laplace transform of the sum of dependent lognormals
PJ Laub, S Asmussen, JL Jensen, L Rojas-Nandayapa
Advances in Applied Probability 48 (A), 203-215, 2016
152016
Monte Carlo estimation of the density of the sum of dependent random variables
PJ Laub, R Salomone, ZI Botev
Mathematics and Computers in Simulation 161, 23-31, 2019
82019
Hawkes processes (2015)
PJ Laub, T Taimre, PK Pollett
arXiv preprint arXiv:1507.02822, 0
7
Approximate Bayesian Computations to fit and compare insurance loss models
PO Goffard, PJ Laub
Insurance: Mathematics and Economics 100, 350-371, 2021
52021
The Elements of Hawkes Processes
PJ Laub, Y Lee, T Taimre
Springer Nature Switzerland AG, 2021
52021
Orthogonal polynomial expansions to evaluate stop-loss premiums
PO Goffard, PJ Laub
Journal of Computational and Applied Mathematics 370, 112648, 2020
42020
Two numerical methods to evaluate stop-loss premiums
PO Goffard, PJ Laub
J Comput Appl Math (to appear), 2019
42019
Beyond linearity, stability, and equilibrium: The edm package for empirical dynamic modeling and convergent cross-mapping in Stata
J Li, MJ Zyphur, G Sugihara, PJ Laub
The Stata Journal 21 (1), 220-258, 2021
32021
Efficient simulation for dependent rare events with applications to extremes
LN Andersen, PJ Laub, L Rojas-Nandayapa
Methodology and Computing in Applied Probability 20 (1), 385-409, 2018
32018
Maximum Likelihood Estimation
PJ Laub, Y Lee, T Taimre
The Elements of Hawkes Processes, 37-43, 2021
22021
Exact simulation of extrinsic stress-release processes
Y Lee, PJ Laub, T Taimre, H Zhao, J Zhuang
Journal of Applied Probability 59 (1), 105-117, 2022
2022
EDM: Stata module to implement empirical dynamic modeling
J Li, M Zyphur, P Laub, E Tescari, S Mutch, G Sugihara
Boston College Department of Economics, 2021
2021
Code Preliminaries
PJ Laub, Y Lee, T Taimre
The Elements of Hawkes Processes, 87-100, 2021
2021
Bayesian Methods
PJ Laub, Y Lee, T Taimre
The Elements of Hawkes Processes, 71-77, 2021
2021
Seismology
PJ Laub, Y Lee, T Taimre
The Elements of Hawkes Processes, 101-111, 2021
2021
Simulation Methods
PJ Laub, Y Lee, T Taimre
The Elements of Hawkes Processes, 27-34, 2021
2021
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