Gatto, Riccardo The stability of the probability of ruin. (English) Zbl 1437.91460 Stoch. Models 36, No. 1, 112-133 (2020). MSC: 91G70 65C05 60K10 PDFBibTeX XMLCite \textit{R. Gatto}, Stoch. Models 36, No. 1, 112--133 (2020; Zbl 1437.91460) Full Text: DOI
Gatto, R. Saddlepoint approximation to the distribution of the total distance of the von Mises-Fisher continuous time random walk. (English) Zbl 1426.60051 Appl. Math. Comput. 324, 285-294 (2018). MSC: 60G50 41A60 PDFBibTeX XMLCite \textit{R. Gatto}, Appl. Math. Comput. 324, 285--294 (2018; Zbl 1426.60051) Full Text: DOI
Gatto, R. Saddlepoint approximations to the distribution of the total distance of the multivariate isotropic and von Mises-Fisher random walks. (English) Zbl 1421.62062 Math. Methods Stat. 26, No. 1, 20-36 (2017). Reviewer: Fabio Rapallo (Alessandria) MSC: 62H11 62E17 60G50 60F10 PDFBibTeX XMLCite \textit{R. Gatto}, Math. Methods Stat. 26, No. 1, 20--36 (2017; Zbl 1421.62062) Full Text: DOI
Gatto, Riccardo; Baumgartner, Benjamin Saddlepoint approximations to the probability of ruin in finite time for the compound Poisson risk process perturbed by diffusion. (English) Zbl 1336.60052 Methodol. Comput. Appl. Probab. 18, No. 1, 217-235 (2016). MSC: 60F10 60G55 60J60 60G51 41A60 65C05 PDFBibTeX XMLCite \textit{R. Gatto} and \textit{B. Baumgartner}, Methodol. Comput. Appl. Probab. 18, No. 1, 217--235 (2016; Zbl 1336.60052) Full Text: DOI Link
Gatto, Riccardo; Peeters, Chantal Saddlepoint approximations to sensitivities of tail probabilities of random sums and comparisons with Monte Carlo estimators. (English) Zbl 1458.60060 J. Stat. Comput. Simulation 85, No. 4, 641-659 (2015); erratum ibid. 85, No. 4, i (2015). MSC: 60G70 60G50 60-08 62P05 65C05 91B05 PDFBibTeX XMLCite \textit{R. Gatto} and \textit{C. Peeters}, J. Stat. Comput. Simulation 85, No. 4, 641--659 (2015; Zbl 1458.60060) Full Text: DOI Link
Gatto, Riccardo A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes. (English) Zbl 1314.91236 Stat. Probab. Lett. 99, 177-184 (2015). MSC: 91G60 91B30 65C05 60G51 PDFBibTeX XMLCite \textit{R. Gatto}, Stat. Probab. Lett. 99, 177--184 (2015; Zbl 1314.91236) Full Text: DOI Link
Gatto, Riccardo; Baumgartner, Benjamin Value at ruin and tail value at ruin of the compound Poisson process with diffusion and efficient computational methods. (English) Zbl 1307.91097 Methodol. Comput. Appl. Probab. 16, No. 3, 561-582 (2014). MSC: 91B30 60G40 60G51 65C50 65T50 PDFBibTeX XMLCite \textit{R. Gatto} and \textit{B. Baumgartner}, Methodol. Comput. Appl. Probab. 16, No. 3, 561--582 (2014; Zbl 1307.91097) Full Text: DOI Link
Gatto, Riccardo; Mosimann, Michael Four approaches to compute the probability of ruin in the compound Poisson risk process with diffusion. (English) Zbl 1255.91179 Math. Comput. Modelling 55, No. 3-4, 1169-1185 (2012). MSC: 91B30 60H30 PDFBibTeX XMLCite \textit{R. Gatto} and \textit{M. Mosimann}, Math. Comput. Modelling 55, No. 3--4, 1169--1185 (2012; Zbl 1255.91179) Full Text: DOI
Gatto, Riccardo Saddlepoint approximations to tail probabilities and quantiles of inhomogeneous discounted compound Poisson processes with periodic intensity functions. (English) Zbl 1258.91102 Methodol. Comput. Appl. Probab. 14, No. 4, 1053-1074 (2012). MSC: 91B30 60G55 PDFBibTeX XMLCite \textit{R. Gatto}, Methodol. Comput. Appl. Probab. 14, No. 4, 1053--1074 (2012; Zbl 1258.91102) Full Text: DOI Link
Gatto, Riccardo Values and tail values at risk of doubly compound inhomogeneous and contagious aggregate loss processes. (English) Zbl 1228.91036 Math. Comput. Modelling 54, No. 5-6, 1523-1535 (2011). MSC: 91B30 PDFBibTeX XMLCite \textit{R. Gatto}, Math. Comput. Modelling 54, No. 5--6, 1523--1535 (2011; Zbl 1228.91036) Full Text: DOI