Welcome to Ruodu Wang's Homepage
Ruodu Wang, Ph.D.
Canada Research Chair in Quantitative Risk Management
Professor of Actuarial Science and Quantitative Finance
Department of Statistics and Actuarial Science
University of Waterloo
Research areas
- Statistics - Probability - Actuarial Science
- Financial Engineering - Operations Research
- Quantitative Risk Management - Economic Theory
Current research support
Canada Research Chairs (CRC-2022-00141)
Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-03823, RGPAS-2018-522590)
Affiliated member
RiskLab, Department of Mathematics, ETH Zurich
Current teaching - Winter 2024
- ACTSC 964 Foundations of Quantitative Risk Management
This site was last updated on April 9, 2024
Recent working paper series
Ruodu Wang's suggestions for writing mathematics in scientific papers
My group members: Current and past PhD students and postdocs
Wikipedia page on e-values
Contact
Department of Statistics and Actuarial Science
University of Waterloo
Mathematics 3, 200 University Avenue West
Waterloo, Ontario, Canada N2L 3G1
Office: M3 3122
Tel: (519) 888-4567 ext. 31569
Email: wang (at) uwaterloo.ca
Profile at the Department website
Editorial Duties
| 2018 - present | Co-Editor, ASTIN Bulletin - The Journal of the International Actuarial Association |
| 2016 - present | Co-Editor, European Actuarial Journal |
| 2024 - present | Associate Editor, Operations Research |
| 2023 - present | Associate Editor, Mathematics of Operations Research |
| 2022 - present | Associate Editor, Canadian Journal of Statistics |
| 2020 - present | Associate Editor, Journal of Mathematical Economics |
| 2016 - present | Associate Editor, Acta Mathematicae Applicatae Sinica (English Series) |
| 2014 - present | Editorial Advisory Board, Dependence Modeling |
Selected Publications by Area
Please see the Publications tab for a full list and pdf files of manuscripts. Co-authors are in [brackets].
Statistics/Probability Theory | |
|
(2024) 🔗 | E-values as unnormalized weights in multiple testing
Biometrika [Ignatiadis, Ramdas] |
|
(2024) 🔗 | Testing with p*-values: Between p-values, mid p-values, and e-values Bernoulli |
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(2023) 🔗 | Confidence and discoveries with e-values Statistical Science [Vovk] |
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(2022) 🔗 | False discovery rate control with e-values Journal of the Royal Statistical Society Series B [Ramdas] |
|
(2022) 🔗 | Admissible ways of merging p-values under arbitrary dependence Annals of Statistics [Vovk, Wang] |
|
(2022) 🔗 | The directional optimal transport Annals of Applied Probability [Nutz] |
|
(2021) 🔗 | A unified framework for bandit multiple testing NeurIPS 2021 [Ramdas, Xu] |
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(2021) 🔗 | E-values: Calibration, combination, and applications Annals of Statistics [Vovk] |
|
(2020) 🔗 | Combining p-values via averaging Biometrika [Vovk] |
| (2016) 🔗 | Bernoulli and tail-dependence compatibility Annals of Applied Probability [Embrechts, Hofert] |
| (2015) 🔗 |
Extremal dependence concepts
Statistical Science [Puccetti] |
|
(2015) 🔗 | Current open questions in complete mixability
Probability Surveys |
|
(2014) 🔗 | Sum of arbitrarily dependent random variables
Electronic Journal of Probability |
|
(2013) 🔗 |
Tests for covariance matrix with fixed or divergent dimension
Annals of Statistics [Peng, Zhang] |
|
(2011) 🔗 | The complete mixability and convex minimization problems for monotone marginal densities
Journal of Multivariate Analysis [Wang] |
Actuarial Science | |
| (2023) 🔗 |
A reverse ES (CVaR) optimization formula North American Actuarial Journal [Guan, Jiao] |
| (2023) 🔗 |
Pairwise counter-monotonicity Insurance: Mathematics and Economics [Lauzier, Lin] |
| (2022) 🔗 |
Parametric measures of variability induced by risk measures Insurance: Mathematics and Economics [Bellini, Fadina, Wei] |
| (2022) 🔗 |
Risk aggregation under dependence uncertainty and an order constraint Insurance: Mathematics and Economics [Chen, Lin] |
| (2020) 🔗 |
Distortion riskmetrics on general spaces ASTIN Bulletin [Wang, Wei] |
| (2020) 🔗 |
Is the inf-convolution of law-invariant preferences law-invariant? Insurance: Mathematics and Economics [Liu, Wei] |
| (2020) 🔗 |
Convex risk functionals: Representation and applications Insurance: Mathematics and Economics [Cai, Lemieux, Liu] |
| (2017) 🔗 |
Pareto-optimal reinsurance arrangements under general model settings Insurance: Mathematics and Economics [Cai, Liu] |
| (2017) 🔗 |
Collective risk models with dependence uncertainty
ASTIN Bulletin [Liu] |
| (2016) 🔗 | General convex order on risk aggregation Scandinavian Actuarial Journal [Han, Jakobsons] |
| (2015) 🔗 |
Composite Bernstein copulas ASTIN Bulletin [Chen, Wang, Yang] |
| (2015) 🔗 |
CreditRisk+ model with dependent risk factors
North American Actuarial Journal [Peng, Yang] |
| (2014) 🔗 |
Risk aggregation with dependence uncertainty
Insurance: Mathematics and Economics [Bernard, Jiang] |
Others | |
|
(2023) 🔗 | Choquet regularization for continuous-time reinforcement learning SIAM Journal on Control and Optimization [Han, Zhou] |
|
(2023) 🔗 | PELVE: Probability equivalent level of VaR and ES Journal of Econometrics [Li] |
|
(2021) 🔗 | Competitive equilibria in a comonotone market Economic Theory [Boonen, Liu] |
Operations Research/Management Science | |
| (2024) 🔗 | An unexpected stochastic dominance: Pareto distributions, dependence, and diversification Operations Research [Chen, Embrechts] |
| (2024) 🔗 | A theory of credit rating criteria Management Science [Guo, Kou, Wang] |
| (2024) 🔗 | Joint mixability and notions of negative dependence Mathematics of Operations Research [Koike, Lin] |
| (2022) 🔗 | Star-shaped risk measures Operations Research [Castagnoli, Cattelan, Maccheroni, Tebaldi] |
|
(2022) 🔗 |
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures Mathematics of Operations Research [Liu, Mao, Wei] |
| (2022) 🔗 | Robustness in the optimization of risk measures Operations Research [Embrechts, Schied] |
|
(2021) 🔗 |
Distributional transforms, probability distortions, and their applications Mathematics of Operations Research [Liu, Schied] |
|
(2021) 🔗 |
A theory for measures of tail risk Mathematics of Operations Research [Liu] |
|
(2021) 🔗 |
An axiomatic foundation for the Expected Shortfall Management Science [Zitikis] |
| (2020) 🔗 |
Characterization, robustness and aggregation of signed Choquet integrals Mathematics of Operations Research [Wei, Willmot] |
| (2020) 🔗 |
Quantile-based risk sharing with heterogeneous beliefs Mathematical Programming [Embrechts, Liu, Mao] |
| (2018) 🔗 | Quantile-based risk sharing Operations Research [Embrechts, Liu] |
|
(2016) 🔗 | Joint mixability Mathematics of Operations Research [Wang] |
Quantitative Finance | |
| (2023) 🔗 | A framework for measures of risk under uncertainty Finance and Stochastics [Fadina, Liu] |
| (2023) 🔗 | Risk concentration and the mean-Expected Shortfall criterion Mathematical Finance [Han, Wang, Wu] |
| (2023) 🔗 | One axiom to rule them all: A minimalist axiomatization of quantiles SIAM Journal on Financial Mathematics [Fadina, Liu] |
| (2022) 🔗 | Adjusted Expected Shortfall Journal of Banking and Finance [Burzoni, Munari] |
| (2022) 🔗 | Ordering and inequalities for mixtures on risk aggregation Mathematical Finance [Chen, Liu, Liu] |
| (2021) 🔗 | Scenario-based risk evaluation Finance and Stochastics [Ziegel] |
| (2021) 🔗 | Bayes risk, elicitability, and the Expected Shortfall Mathematical Finance [Embrechts, Mao, Wang] |
| (2020) 🔗 | Risk functionals with convex level sets Mathematical Finance [Wei] |
| (2020) 🔗 | Risk aversion in regulatory capital principles SIAM Journal on Financial Mathematics [Mao] |
| (2019) 🔗 |
Dual utilities on risk aggregation under dependence uncertainty Finance and Stochastics [Xu, Zhou] |
| (2019) 🔗 |
An efficient approach to quantile capital allocation and
sensitivity analysis Mathematical Finance [Asimit, Peng, Yu] |
| (2019) 🔗 |
Distributional compatibility for change of measures Finance and Stochastics [Shen, Shen, Wang] |
| (2018) 🔗 | Worst-case Range Value-at-Risk with partial information SIAM Journal on Financial Mathematics [Li, Shao, Yang] |
| (2018) 🔗 | Asymptotic equivalence of risk measures under dependence uncertainty Mathematical Finance [Cai, Liu] |
| (2017) 🔗 | Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
Journal of Banking and Finance [Furman, Zitikis] |
|
(2017) 🔗 |
Risk bounds for factor models Finance and Stochastics [Bernard, Rüschendorf, Vanduffel] |
| (2015) 🔗 |
Aggregation-robustness and model uncertainty of regulatory risk measures Finance and Stochastics [Embrechts, Wang] |
| (2015) 🔗 |
How superadditive can a risk measure be?
SIAM Journal on Financial Mathematics [Bignozzi, Tsanakas] |
|
(2013) 🔗 |
Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities
Finance and Stochastics [Peng, Yang] |
Links
Department of Statistics and Actuarial Science, University of Waterloo School of Mathematics, Georgia Tech School of Mathematical Sciences, Peking University Risklab Switzerland, ETH Zurich Institute of Mathematical Statistics (IMS) Society of Actuaries (SOA) Statistical Society of Canada (SSC) Natural Sciences and Engineering Research Council of Canada (NSERC) Dependence Modeling, an open access journal European Actuarial Journal ASTIN Bulletin - The Journal of the International Actuarial Association An interview with Ruodu Wang (by SOA, 2021) Wikipedia page on e-values
News
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March 5, 2024
My 100th peer-reviewed paper is accepted today. Huge thanks to all my co-authors!
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February 20, 2024
The suggestions for writing mathematics document has been updated.
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December 30, 2023
Happy new year of 2024! Our paper "Robustness in the optimization of risk measures" receives the Best Paper Award on Financial Engineering in Operations Research from INFORMS.
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May 1, 2023
Very happy to be appointed Canada Research Chair (Tier 1) in Quantitative Risk Management, supported by NSERC.
see old news ...