Prof. Dr. Riccardo Gatto

Dozent / Studienleitung Schweizerische Aktuarvereinigung

Institut für Mathematische Statistik und Versicherungslehre (IMSV)

Telefon
+41 31 631 88 07
Fax
+41 31 631 38 70
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 (DOI link), Springer.
ISBN: 978-3-642-53951-0, print; 978-3-642-53952-7, online
Typing errors and solutions to selected exercises

Articles

[41] Gatto, R. (2018), "Multivariate saddlepoint tests on the mean direction of the von Mises-Fisher distribution" (programs, DOI link, Springer Nature link), Metrika, to appear.

[40] Gatto, R. (2018), "Saddlepoint approximation to the distribution of the total distance of the continuous time random walk" (programs, DOI link), 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, to appear.

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

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

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

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

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

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

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

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

[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" (programs, DOI link), Methodology and Computing in Applied Probability, 18, 217-235.

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

[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" (DOI link), Statistics and Probability Letters, 83, 1669–1676.

[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" (programs, DOI link), Methodology and Computing in Applied Probability, 16, 561-582.

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

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

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

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

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

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

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

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

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

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

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

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

Gatto, R. (2009), Erratum to [17] (DOI link), same journal, 79, 997-998.

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

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

[14] Gatto, R., Jammalamadaka, S. R. (2006), "Small sample asymptotics for higher order spacings" (DOI link), 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.

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

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

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

[10] Gatto, R., Jammalamadaka, S. R. (2003), "Inference for wrapped symmetric alpha-stable circular models" (Stable URL), Sankhya A: Mathematical Statistics and Probability, 65, 333-355.

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

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

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

[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" (DOI link), Journal of Statistical Computation and Simulation, 65, 271-285.

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

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

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

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

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 writing

[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

Reviews

Publons
Incomplete list (representing very small part of reviewing)
  • 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, tests

Current and future lectures

Modelling Extremal Events, seminar, Spring 2017
Stochastic Simulation, Spring 2017
Mathematics of Non-Life insurance, Spring 2017

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

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, Scheidegger, R., 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)