Prof. Dr. Riccardo Gatto

Dozent / Studienleitung Schweizerische Aktuarvereinigung

Institut für Mathematische Statistik und Versicherungslehre (IMSV)

Telefon
+41 31 631 88 07
E-Mail
gatto@stat.unibe.ch
E-Mail2
riccardo.gatto@stat.unibe.ch
Büro
010
Postadresse
Alpeneggstrasse 22
3012 Bern
Sprechstunde
Nach Vereinbarung per E-Mail

Book

[1] Gatto, R. (2014), Stochastische Modelle der Aktuariellen Risikotheorie - Eine Mathematische Einführung, Springer. (DOI link)
ISBN: 978-3-642-53951-0, print; 978-3-642-53952-7, online
Typing errors and solutions to selected exercises

Articles

[42] Gatto, R. (2018), "Saddlepoint approximation to the distribution of the total distance of the von Mises-Fisher continuous time random walk", Applied Mathematics and Computation, 324, 285–294. (Programs, DOI link)

[41] Gatto, R. (2017), "Multivariate saddlepoint tests on the mean direction of the von Mises-Fisher distribution" (Programs, DOI link, Springer Nature link), Metrika, 80, 733–747.

[40] Gatto, R. (2017), "Saddlepoint approximation to the distribution of the total distance of the continuous time random walk", The European Physical Journal B, Condensed Matter and Complex Systems, Topical issue: Continuous Time Random Walk Still Trendy: Fifty-year History, Current State and Outlook, editors Kutner and Masoliver, 90: 238. (Programs, DOI link, Springer Nature link)

Gatto, R. (2017), "Some series expansions", Appendix to EPJB, 90: 238 [40]. (Link)

[39] Gatto, R. (2017), "Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises-Fisher random walks", Mathematical Methods of Statistics, 26, 20-36. (Programs, DOI link)

[38] Gatto, R. (2017), "Large deviations approximations to distributions of the total distance of compound random walks with von Mises directions", Methodology and Computing in Applied Probability, 19, 843–864. (Programs, DOI link, Springer Nature link)

[37] Gatto, R. (2015), "Saddlepoint approximations", StatsRef: Statistics Reference Online, editors Balakrishnan et al., Wiley and Sons, 1-7. (DOI link)

[36] Gatto, R. (2015), "Stochastic simulation of rare events", StatsRef: Statistics Reference Online, editors Balakrishnan et al., Wiley and Sons, 1-11. (DOI link)

[35] Gatto, R., Jammalamadaka, S. R. (2015), "Directional statistics: introduction", StatsRef: Statistics Reference Online, editors Balakrishnan et al., Wiley and Sons, 1-8. (DOI link)

[34] Gatto, R. (2015), "A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes", Statistics and Probability Letters, 177-184. (DOI link)

[33] Gatto, R., Jammalamadaka, S. R. (2015), "On two-sample tests for circular data based on spacing-frequencies", Geometry Driven Statistics, in honor of Kanti Mardia, editors Kent and Dryden, Wiley and Sons, Part two, Chapter 6, 129-145. (DOI link)

[32] Gatto, R. (2014), "Importance sampling approximations to various probabilities of ruin of spectrally negative Lévy risk processes", Applied Mathematics and Computation, 243, 91-104. (DOI link)

[31] Gatto, R., Baumgartner, B. (2016), "Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion", Methodology and Computing in Applied Probability, 18, 217-235. (Programs, DOI link)

[30] Gatto, R., Peeters, C. (2015), "Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators", Journal of Statistical Computation and Simulation, 85, 641-659. (Programs, DOI link)

[29] Gatto, R. (2013), "The von Mises-Fisher distribution of the first exit point from the hypersphere of the drifted Brownian motion and the density of the first exit time", Statistics and Probability Letters, 83, 1669–1676. (DOI link)

[28] Gatto, R., Baumgartner, B. (2014), "Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods", Methodology and Computing in Applied Probability, 16, 561-582. (Programs, DOI link)

[27] Gatto, R. (2012), "Saddlepoint approximations to distributions and measures of risk of aggregate losses", Numerical Analysis and Applied Mathematics ICNAAM 2012: International Conference of Numerical Analysis and Applied MathematicsAIP Conference Proceedings, 1479, 1973-1976.  (DOI link)

Gatto, R. (2012), "Preface to the Symposium Computational methods in actuarial and financial risk evaluations", AIP Conference Proceedings, 1479, 1964-1965. (DOI link)

[26] Gatto, R., Mosimann, M. (2012), "Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion", Mathematical and Computer Modelling, 55, 1169-1185. (DOI link)

[25] Pfyffer, S., Gatto, R. (2013), "An efficient simulation algorithm for the generalized von Mises distribution",  Computational Statistics, 28, 255-268. (ProgramsDOI link)

[24] Gatto, R. (2011), "Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes", Mathematical and Computer Modelling, 54, 1523-1535. (DOI link)

[23] Gatto, R. (2012), "Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions", Methodology and Computing in Applied Probability, 14, 1053-1074. (DOI link)

[22] Gatto, R. (2010), "The generalized von Mises-Fisher distribution"Advances in Directional and Linear Statistics, in honor of Sreenivasa Rao Jammalamadaka, editors Wells and SenGupta, Physica-Verlag, Chapter 4, 51-68. (DOI link)

[21] Baumgartner, B., Gatto, R. (2010), "A bootstrap test for the probability of ruin in the compound Poisson process", Astin Bulletin, 40, 241-255. (Programs, DOI link)

[20] Gatto, R. (2010), "A saddlepoint approximation to the distribution of inhomogeneous discounted compound Poisson processes", Methodology and Computing in Applied Probability, 12, 533-551. (DOI link)

[19] Gatto, R. (2009), "Information theoretic results for circular distributions", Statistics, 43, 409-421. (DOI link)

[18] Gatto, R. (2008), "Asymptotic approximations to the distribution of Kendall's sample tau", Journal of Statistical Computation and Simulation, 79, 671-679. (DOI link)

[17] Gatto, R. (2008), "A saddlepoint approximation to the probability of ruin in the compound poisson process with diffusion", Statistics and Probability Letters, 78, 1948-1954. (DOI link)

Gatto, R. (2009), Erratum to SPL 78, 1948-1954 [17]; 79, 997-998. (DOI link)

[16] Gatto, R. (2008), "Some computational aspects of the generalized von Mises distribution", Statistics and Computing, 18, 321-331. (DOI link)

[15] Gatto, R., Jammalamadaka, S. R. (2007), "The generalized von Mises distribution", Statistical Methodology, 4, 341-353. (Data and programsDOI link)

[14] Gatto, R., Jammalamadaka, S. R. (2006), "Small sample asymptotics for higher order spacings", Advances in Distribution Theory, Order Statistics and Inference, in honor of Barry C. Arnold, editors Balakrishnan, Castillo and Sarabia, Birkhaeuser, Part III, Chapter 15, 239-252. (DOI link)

[13] Gatto, R. (2006), "A bootstrap test for circular data", Communications in Statistics, Theory and Methods, 35, 281-291. (DOI link)

[12] Gatto, R., Mayer, M. (2005), "Saddlepoint approximations for some models of circular data", Statistical Methodology, 2, 233-248. (Programs, DOI link)

[11] Gatto, R. (2004), "An accurate asymptotic approximation for experience rated premiums", Astin Bulletin, 34, 113-124. (DOI link)

[10] Gatto, R., Jammalamadaka, S. R. (2003), "Inference for wrapped symmetric alpha-stable circular models", Sankhyā: The Indian Journal of Statistics, 65, 333-355. (Link)

[9] Gatto, R., Jammalamadaka, S. R. (2002), "A saddlepoint approximation for testing exponentiality against some increasing failure rate alternatives", Statistics and Probability Letters, 58, 71-81. (DOI link)

[8] De Rossi, F.-X., Gatto, R. (2001), "High order asymptotic expansions for robust tests", Biometrika, 88, 1153-1168. (DOI link)

[7] Gatto, R. (2000), "Symbolic computation for approximating the distributions of some families of one and two-sample nonparametric test statistics", Statistics and Computing, 11, 449-455. (DOI link)

[6] Gatto, R. (2001), "On bootstrap confidence intervals for the simultaneous equations model under heavy-tailed contamination", Mathematical and Computer Modelling, 34, 1159-1170.

[5] Gatto, R. (2000), "Multivariate saddlepoint test for the wrapped normal model", Journal of Statistical Computation and Simulation, 65, 271-285. (DOI link)

[4] Gatto, R., Jammalamadaka, S. R. (1999), "A conditional saddlepoint approximation for testing problems", Journal of the American Statistical Association, 94, 533-541. (DOI link)

[3] Gatto, R. (1997), "Saddlepoint approximations of marginal densities and confidence intervals for regression R-estimator", Journal of Nonparametric Statistics, 7, 239-253. (DOI link)

[2] Gatto, R. (1997), "Saddlepoint approximations of marginal densities and confidence intervals in the logistic regression measurement error model", Biometrics, 52, 138-144. (DOI link)

[1] Gatto, R., Ronchetti, E. (1996), "General saddlepoint approximations of marginal densities and tail probabilities", Journal of the American Statistical Association, 91, 666-673. (DOI link)

Various

Theses

[3] Habilitation thesis, Saddlepoint approximations in statistical inference, 2001, University of Bern.

[2] Doctoral (Ph.D.) thesis, Saddlepoint methods and nonparametric approximations for econometric models,1994, University of Geneva.

[1] Diploma (Master) thesis, La régression robuste pour l'analyse de la colinéarité, 1990, University of Geneva.

Popular texts

[2] Leben und Sterben – 100 Jahre später, Uniaktuell - Das Online-Magazin der Universität Bern, Dezember 2016. (Link)

[1] Interview mit Prof. Riccardo Gatto, Universität Bern, Interviews der Schweizerische Aktuarvereinigung, Oktober 2014. (Link)

Co-authors

Sreenivasa Rao Jammalamadaka (University of California, Santa Barbara), Elvezio Ronchetti (University of Geneva), François-Xavier de Rossi, Benjamin Baumgartner, Michael Mayer, Michael Mosimann, Chantal Peeters, Samuel Pfyffer

Reviews

Publons
Incomplete list

  • Computational methods for stochastic processes:
    large deviations techniques, saddlepoint approximation
  • Monte Carlo simulation:
    rare event simulation, importance sampling
  • Actuarial risk theory:
    Lévy risk process, probabilities of ruin, measures of risk
  • Mathematical statistics:
    large deviations techniques, saddlepoint approximation, bootstrap inference
  • Directional data analysis:
    directional distributions, estimation, testing

Current and future lectures

Time Series, Fall 2017
Introduction to statistics, Fall 2017
Continuous time stochastic processes, Spring 2018

Introduction to statistics, Fall 2018
Stochastic Simulation, Spring 2019
Mathematics of Non-Life insurance, Spring 2019

Informations about these lectures can be found at the department's catalog and at the University's catalog (password required).

 

Actuarial studies

Informations regarding the actuarial studies at the University of Bern can be found at www.stat.unibe.ch/aktuar.

1. Conferences

Sessions organized in international conferences

  • International Conference on Numerical Analysis and Applied Mathematics, 2012, Kos (Greece)
    Session: Computational Methods in Actuarial and Financial Risk Evaluations

  • International Conference on Computational Management Science, 2007, Geneva (Switzerland)
    Session: Computational Inference

Ten selected invited presentations

  • 2012, International Conference of Numerical Analysis and Applied Mathematics 2012, Symposium on computational methods in actuarial and financial risk evaluations, Kos (Greece): Saddlepoint approximations to distributions and measures of risk of aggregate losses

  • 2009, University of St. Andrews, School of Mathematics and Statistics (Scotland): Modelling circular data with the von Mises distribution and its generalizations

  • 2007, Joint Statistical Meeting and International Conference on Statistics, Probability and Related Areas, International Indian Statistical, Association, Cochin (India): The Generalized von Mises distribution

  • 2004, 27eme Journée de séminaires actuariels ISFA Lyon et ISA-HEC Lausanne (Switzerland): Three general methods for computing probability of ruin for the compound Poisson process that is perturbed by diffusion

  • 2003, Swiss Federal Institute of Technology Zurich, Seminar for Statistics: Models and inference for circular data

  • 2000, Workshop on Inference and Asymptotics, Centro Stefano Franscini, Ascona (Switzerland): High-order inference for wrapped symmetric alpha-stable modelling of circular data

  • 1999, University of California, Santa Barbara, Department of Statistics and Applied Probability: Contributions to saddlepoint approximations

  • 1997, 1997-1998 Theme Year on Statistics, Workshop on Symbolic Computation, Centre de Recherches Mathematiques, Montreal (Canada): Hypotheses testing by symbolic computation

  • 1996, University of California, Los Angeles, Department of Statistics, A conditional saddlepoint approximation with applications to spacing statistics

  • 1995, Stanford University, Department of Statistics (California): General saddlepoint approximation of marginal densities

2. Ten selected lectures

  • Time series (2016, University of Bern)

  • Continuous time stochastic processes (2012, University of Bern)

  • Probability theory (2010, University of Bern)

  • Stochastic simulation (2010, University of California, Santa Barbara)

  • Stochastic models of finance (2007, University of Bern)

  • Large deviations techniques (2014, University of Bern)

  • Wavelets methods in statistics (2001, University of Bern)

  • Mathematical statistics (2015, University of Bern)

  • Multivariate analysis (1998, University of California, Santa Barbara)

  • Actuarial risk theory (2015, University of Bern)

3. Academic positions

4. Supervised theses

Ph.D. theses

  • Baumgartner, Benjamin, supported by the Swiss National Science Foundation

  • 2006, Mosimann, Michael, Methods for computing the probability of ruin for the compound Poisson process that is perturbed by diffusion, supported by the Swiss National Science Foundation

Master theses

  • 2017, Inderbitzin, Linda, Time series analysis of circular data
  • 2016, Nowzary, Bijan, Intensity functions and probabilities of ruin of the periodic risk process
  • 2016, Reyhani, Mohammad, Padé approximation for ruin probabilities
  • 2014, Füeg, Nicolas, Zusammengesetzte Poissonprozesse: Risiko- und Speicherprozesse
  • 2013, Hanselka, Reinhard, The compound Poisson surplus process with various perturbations
  • 2012, Schmid, Thomas, Simulative Bewertung von Optionen mit Methoden der Varianzreduktion
  • 2012, Peeters, Chantal, Sattelpunkt Approximationen bei der Berechnung von Sensitivitäten von Zufallssummen und Vergleich mit Monte Carlo Approximationen
  • 2008, Baumgartner, Benjamin, Bootstrap test procedures for ruin probabilities
  • 2007, Büchi, Yvonne, Accurate bootstrap confidence intervals for the probability of ruin in the risk process
  • 2007, Lehmann, Marius, Applying the generalized linear model to medical data
  • 2004, Mayer, Michael, Tests for models of circular data by saddlepoint approximations
  • 2002, Bertschy, Manuel, Sattelpunkt-Approximation zur Berechnung von Ruinwahrscheinlichkeiten
  • 1998, Moix, Pierre-Yves, An application of quantile estimation: Value-at-Risk (Neuchatel)

Secondary co-supervision (main supervisors in parentheses)

  • 2016, Wili, Flavia, Die multivariate Chain-Ladder Methode und ihre Implemetierung in R. (Dr. M. Kaelin, Visana Bern)
  • 2014, Cirit, Melih, Impact of different treatment allocation methods on power and sample size in clinical trials. (Dr. S.-F. Hsu Schmitz, Bern)
  • 2010, Reding, Isabel, Stochastic IBNR methods applied to health insurance. (Dr. M. Kaelin, Visana Bern)
  • 2008, Thalmann, Armin, Beurteilung von Marktsituationen im Optionenhandel. (Prof. H. Zimmermann, Basel)
  • 2007, Gutmann, S., Quantum computing and quantum information. (PD D. Neuenschwander, Bern)
  • 2013, Bühler, Karin, Bayesian models for claims reserving in health insurance. (Dr. M. Kaelin, Visana Bern) 

Bachelor theses

  • 2017, Umeri, Amr, Strong Schemes for Numerical Solutions of Stochastic Differential Equations
  • 2017, Scheidegger, Raphael, Einführung in die Wavelet-Transformation
  • 2016, Haudenschild, Yves, Einführung in die Informationstheorie & alpha-stabile-Verteilungen
  • 2012, Eisenmann, Martin, Holzer, Timo, Ableitungsschaetzer mit Hilfe der Monte-Carlo-Methode
  • 2011, Bonadei, Patrick, Delayed compound Poisson processes and their cumulant generating functions
  • 2009, Pfyffer, Samuel, Simulation methods for the generalized von Mises distribution

Secondary co-supervision (main supervisors in parentheses)

  • 2009, Bühler, Karin, Bayesian models for meta-analysis of binary data with low event rates. (Dr. M. Zwahlen, Bern)