Prof. Dr. Riccardo Gatto

Habilitation, Mathematical Statistics, Department of Mathematics and Statistics, University of Bern (2001)

Associate editor, Methodology and Computing in Applied Probability

Associate editor, Journal of Statistical Computation and Simulation

Director of actuarial studies, cooperation Swiss Association of Actuaries and University of Bern

Elected member, Swiss Association of Actuaries

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

[4] Coming soon
Jammalamadaka, S. R., SenGupta, A., Gatto, R. (2024), Statistical Methods for Directional Data, World Scientific Series on Multivariate Analysis, World Scientific Publishing.
ISBN: 9789811267970, hardcover. (DOI link)

[3] Gatto, R. (2022), Stationary Stochastic Models - An Introduction, World Scientific Series on Probability Theory and its Applications, Volume 4, World Scientific Publishing.
ISBN: 9789811251832, hardcover; 9789811251856 electronic. (Typing errors link, DOI link, zbMATH Open link)

[2] Gatto, R. (2020), Stochastische Modelle der aktuariellen Risikotheorie - Eine mathematische Einführung, 2. Auflage, Masterclass Book Series, Springer-Verlag.
ISBN: 9783662609231, softcover; 9783662609248, electronic. (Typing errors link, DOI link)

[1] Gatto, R. (2014), Stochastische Modelle der aktuariellen Risikotheorie - Eine mathematische Einführung, Masterclass Book Series, Springer-Verlag. 
ISBN: 9783642539510, softcover; 9783642539527, electronic. (Typing errors link, DOI link, zbMATH Open link)

 

2. Articles

[57] Gatto, R. (2024), "Wrapped processes on circular lattices for planar directions", Stochastics and Dynamics, to appear. (DOI link)

[56] Magalang, Turin, R., J., Aguilar, J., Colombani, Sanchez-Taltavull, D., Gatto, R. (2024), "Analytic and Monte Carlo approximations to the distribution of the first passage time of the drifted diffusion with stochastic resetting and mixed boundary conditions", arXiv [physics.comp-ph]. (arXiv link)

[55] Gatto, R. (2023), "Stationary jump and diffusion processes for planar directions obtained by wrapping", Markov Processes and Related Fields, 29, 403-433. (Publisher link)

[54] Aguilar, J., Gatto, R. (2024), "Unified perspective on sampling algorithms for rare trajectories of discrete Markov processes", Physical Review E, covering statistical, nonlinear, biological, and soft matter physics, 109, 034113. (Programs link, DOI link, arXiv link)

[53] Jammalamadaka, S. R., Gatto, R., Fouskakis, D. (2024), "Bayesian model selection between the von Mises and the wrapped stable distributions for circular data", Felicitation Volume for Professor Ashis SenGupta, editors Kumar, Shimizu, Laha and Arnold, Springer, to appear.

[52] Gatto, R. (2024), "Saddlepoint approximations for models of circular data", Felicitation Volume for Professor Ashis SenGupta, editors Kumar, Shimizu, Laha and Arnold, Springer, to appear.

[51] Gatto, R. (2024), "Stationary jump processes for planar directions obtained by wrapping", Statistics and Probability Letters, 205, 109955. (DOI link)

[50] Salvador, S., Gatto, R. (2023), "Generation of random directions from the generalized von Mises-Fisher distribution", Communications in Statistics, Simulation and Computation, 53, 5491–5506. (Programs link, DOI link)

[49] Salvador, S., Gatto, R. (2024), "An algebraic analysis of the bimodality of the generalized von Mises distribution", Communications in Statistics, Theory and Methods, 53, 3642-3658. (DOI link)

[48] Gatto, R., Salvador, S. (2022), "Bayesian test on the bimodality of the generalized von Mises distribution", Journal of Statistical Theory and Practice, 16: 32. (DOI link, Boris link)

[47] Salvador, S., Gatto, R. (2022), "Bayesian tests of symmetry for the generalized von Mises distribution", Computational Statistics, 37, 947–974. (Programs link, DOI link, arXiv link)

[46] Gatto, R. (2022), "Information theoretic results for stationary time series and the Gaussian-generalized von Mises time series", Directional Statistics for Innovative Applications - A Bicentennial Tribute to Florence Nightingale, editors SenGupta and Arnold, Springer, Chapter 10, 187-209. (DOI link, arXiv link, Boris link)

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

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

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

[41] 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 link, DOI link)

Gatto, R. (2017), "Some series expansions", Appendix to EPJB, 90: 238 [41]. (Boris link, internal link)

[40] Gatto, R. (2017), "Multivariate saddlepoint tests on the mean direction of the von Mises-Fisher distribution", Metrika, 80, 733–747. (Programs link, DOI 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 link, 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 link, DOI 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 link, 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 link, 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 link, 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. (Programs link, DOI 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 Mathematics, AIP 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 link, 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 programs links, DOI link)

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

Short popular reading

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

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

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

      See also the research group