Patrick Laub, Australian post-doc

What did you do before joining ISFA and LSAF?

I originally studied Software Engineering and Mathematics in Australia, in the sunny city of Brisbane. While studying I was a teaching assistant for various courses (teaching C, Java, Matlab, Python, and probability theory), and worked in some software roles, including as a software engineering intern at Google in Sydney. After my masters degree (in which my thesis was on Hawkes processes) I took the opportunity to complete a PhD jointly between Aarhus in Denmark (Aarhus University) and my Australian university (University of Queensland). My Danish supervisors were Søren Asmussen and Jens Ledet Jensen, and my Australian supervisor was Phil Pollett. My PhD work was related to approximating probabilities relating to sums of (dependent) random variables. I used techniques such as Monte Carlo estimation, orthogonal polynomial expansions, asymptotic analysis, numerical Laplace transform inversion, and numerical quadrature. I interviewed at ISFA just as I was completing my PhD thesis, and now me voilà.

What are you doing at LSAF?

At LSAF I will work as a post-doctoral researcher for two years. I am associated with the Chaire-DAMI and funded by BNP Paribas Cardif. My position is to work on advanced analytics and machine learning algorithms with applications to actuarial science and insurance, and in particular, to improve risk-based pricing, and develop predictive analytics. 

Why did you choose ISFA and LSAF?

I was excited to join ISFA and LSAF because I could work with talented and welcoming people, and since the project is very interesting. As my research background was not purely in machine learning (it may be labelled as applied probability with a numerical emphasis), I was glad to have to opportunity to dive into this exciting fast-paced field.

What are you plans for the future?

In the near term I am hoping/trying to learn a bit of French. I had known a few useful words before arriving (e.g. croissant, baguette, gateau), but it would be somewhat convenient to be able to speak to those French people who are not boulangers. But more seriously, I hope to collaborate with my colleagues here at LSAF (and perhaps with the team at BNP Paribas Cardif), and contribute to the teaching load of the school (beginning with next year's short course on large deviations).