Habilitation, Mathematical Statistics, Faculty of Science, University of Bern (2001)

Associate editor, Journal of Statistical Computation and Simulation (from 2018)

Director of studies, cooperation Swiss Association of Actuaries and University of Bern (from 2012)

Elected member, Swiss Association of Actuaries (2016)

President, Section Education and Research, Swiss Statistical Society (2003–2004)

ORCID

Past academic positions

  • Visiting Associate Professor (2010), Department of Statistics and Applied Probability, University of California, Santa Barbara
  • Professeur Adjoint (tenured assistant professor, 1997-2000), Department of Information and Decision Systems, ESSEC (Cergy-Pontoise, France)
  • Visiting Assistant Professor (1996-2000), Department of Statistics and Applied Probability, University of California, Santa Barbara
  • Chef de Travaux (lecturer, 1995-1997), Statistics Group, University of Neuchâtel (Switzerland)
  • Visiting Scholar (1994-1995), Department of Statistics, Stanford University (Palo Alto, California; post-doctoral year funded by the Swiss National Science Foundation)

1. Books

[3] Gatto, R. (2022), Stationary Stochastic Models - An Introduction, Series on Probability Theory and its Applications, Volume 4, World Scientific, forthcoming.
ISBN: 978-981-125-183-2. (Typing errorsDOI link)

[2] Gatto, R. (2020), Stochastische Modelle der aktuariellen Risikotheorie - Eine mathematische Einführung, 2. Auflage, Masterclass Book Series, Springer-Verlag.
ISBN: 978-3-662-60923-1, print; 978-3-662-60924-8, online. (Typing errorsDOI link)

[1] Gatto, R. (2014), Stochastische Modelle der aktuariellen Risikotheorie - Eine mathematische Einführung, Masterclass Book Series, Springer-Verlag. 
ISBN: 978-3-642-53951-0, print; 978-3-642-53952-7, online. (Typing errors, DOI link)

2. Articles

[49] Salvador, S., Gatto, R. (2022), "An algebraic analysis of the bimodality of the generalized von Mises distribution", preprint, Institute of Mathematical Statistics and Actuarial Science.

[48] Gatto, R., Salvador, S. (2022), "Bayesian test on the bimodality of the generalized von Mises distribution", Journal of Statistical Theory and Practice, submitted. (Boris link)

[47] Salvador, S., Gatto, R. (2021), "Bayesian tests of symmetry for the generalized von Mises distribution", Computational Statistics. (Programs, DOI link, arXiv link)

[46] Gatto, R. (2021), "Information theoretic results for stationary time series and the Gaussian-generalized von Mises time series", Directional Statistics for Innovative Applications, in commemoration of the bicentennial birth anniversary of Lady Florence Nightingale, editors SenGupta and Arnold, Springer, to appear. (arXiv link, Boris link)

[45] Gatto, R. (2020), "The stability of the probability of ruin", Stochastic Models, 36, 112-133. (Programs, DOI link)

[44] Gatto, R. (2019), "Saddlepoint approximation for data in simplices: a review with new applications", Stats, 2, 121-147. (Programs, DOI link)

[43] Gatto, R. (2018), "The stability of the aggregate loss distribution", Risks, 6, 91. (Programs, DOI link)

[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", Metrika, 80, 733–747. (Programs, DOI link, Springer Nature link)

[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]. (Boris link, Internal 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., 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)

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

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

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

[33] 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)

[32] 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)

[31] 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)

[30] 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)

[29] 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)

[28] 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)

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

[26] 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)

[25] 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)

[24] 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)

[23] 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)

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

[6] 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)

[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)

3. Various

Academic theses

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

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

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

Minor popular texts

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

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

1. Research domains

  • Approximation methods for stochastic processes:
    large deviations techniques, saddlepoint approximation, perturbation techniques

  • Stochastic simulation:
    rare event simulation and importance sampling, Markov Chain Monte Carlo

  • Stochastic processes:
    stationary processes and time series, spectral analysis, actuarial risk process, ruin and level crossing probabilities

  • Mathematical statistics:
    asymptotic and large deviations techniques, bootstrap inference, information theory

  • Stochastic models for directions:
    spherical distributions, parametric estimation, goodness-of-fit tests

2. Editorial contribution

Associate editor of Journal of Statistical Computation and Simulation

An incomplete list of recent reviewing activity is available at Publons


1. Diploma Swiss Association of Actuaries

Informations regarding the studies for the actuarial diploma of the Swiss Association of Actuaries at University of Bern can be found at www.stat.unibe.ch/aktuar. Questions can be addressed directly to me.

 

2. Important lectures

Most important given lectures (since 1995) 

  • Asymptotic approximations and large deviations theory (U. Bern)
  • Stochastic simulation (Uni. Neuchâtel, Uni. California S. B., Uni. Bern)
  • Continuous time stochastic processes (Uni. Bern)
  • Stationary stochastic processes (Uni. Bern)
  • Time series analysis (Uni. Bern)
  • Mathematical statistics (ESSEC, Uni. Bern)
  • Multivariate statistics (Uni. California S. B., ESSEC)
  • Bayesian statistics (Uni. Bern)
  • Probability theory (Uni. Bern)
  • Wavelets and nonparametric curve fitting (Uni. California S. B., U. Bern)
  • Actuarial risk theory (U. California S. B., Uni. Bern)
  • Stochastic models of finance (Uni. Bern)

 

3. Supervisions

3.1. 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

3.2 Master theses

  • 2021, Panxhaj, Atdhe, Thinning operations for modeling count time series
  • 2021, Greber, Thomas, Dynamic measures of risk based on the insurer surplus process
  • 2021, Chen, Haoyang, Directional distributions and simulations of von Mises Fisher distribution
  • 2020, Destani, Urime, First-order non-negative integer-valued autoregressive INAR(1) process
  • 2019, Loeffler, Jin, Time series analysis and some extensions of the risk process
  • 2019, Seitlinger, Nadine, Monte Carlo estimators to sensitivities of tail probabilities of random sums
  • 2018, Polanco, Boris, Monte Carlo estimators of value at ruin and tail value at ruin
  • 2018, Rudin, Peter, Spectral simulation and time series models for modeling ocean waves
  • 2018, Zarotiadou, Angeliki, Bootstrap methods for time series
  • 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) 

3.3 Bachelor theses

  • 2021, Beuther, H., Measures of robustness and M-estimators in statistical inference
  • 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 und 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)