Welcome to Ruodu Wang's Homepage
Ruodu Wang, Ph.D.
University Research Chair, Associate Professor
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
Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-03823, RGPAS-2018-522590)
Affiliated member
RiskLab, Department of Mathematics, ETH Zurich
Current teaching - Spring 2021
None
This site was last updated on June 15, 2021
Recent working paper series
Online seminar series: Weekly Seminars on Risk Management and Actuarial Science
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 |
| 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 publications and manuscripts.
Statistics/Probability Theory | |
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(2021) 🔗 | Admissible ways of merging p-values under arbitrary dependence. Annals of Statistics (with Vovk, Wang) |
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(2021) 🔗 | The directional optimal transport. Annals of Applied Probability (with Nutz) |
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(2021) 🔗 | E-values: Calibration, combination, and applications. Annals of Statistics (with Vovk) |
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(2020) 🔗 | Combining p-values via averaging. Biometrika (with Vovk) |
| (2016) 🔗 | Bernoulli and tail-dependence compatibility. Annals of Applied Probability (with Embrechts, Hofert) |
| (2015) 🔗 | Extremal dependence concepts. Statistical Science (with Puccetti) |
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(2015) 🔗 | Current open questions in complete mixability. Probability Surveys |
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(2014) 🔗 | Sum of arbitrarily dependent random variables. Electronic Journal of Probability |
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(2013) 🔗 | Tests for covariance matrix with fixed or divergent dimension. Annals of Statistics (with Peng, Zhang) |
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(2013) 🔗 | Jackknife empirical likelihood test for equality of two high-dimensional means. Statistica Sinica (with Peng, Qi) |
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(2011) 🔗 | The complete mixability and convex minimization problems for monotone marginal densities. Journal of Multivariate Analysis (with Wang) |
Actuarial Science | |
| (2020) 🔗 | Characterizing optimal allocations in quantile-based risk sharing. Insurance: Mathematics and Economics (with Wei) |
| (2020) 🔗 | Distortion riskmetrics on general spaces. ASTIN Bulletin (with Wang, Wei) |
| (2020) 🔗 | Is the inf-convolution of law-invariant preferences law-invariant? Insurance: Mathematics and Economics (with Liu, Wei) |
| (2020) 🔗 | Convex risk functionals: Representation and applications. Insurance: Mathematics and Economics (with Cai, Lemieux, Liu) |
| (2017) 🔗 | Pareto-optimal reinsurance arrangements under general model settings. Insurance: Mathematics and Economics (with Cai, Liu) |
| (2017) 🔗 | Collective risk models with dependence uncertainty. ASTIN Bulletin (with Liu) |
| (2016) 🔗 | General convex order on risk aggregation. Scandinavian Actuarial Journal (with Han, Jakobsons) |
| (2015) 🔗 | Composite Bernstein copulas. ASTIN Bulletin (with Chen, Wang, Yang) |
| (2015) 🔗 | CreditRisk+ model with dependent risk factors. North American Actuarial Journal (with Peng, Yang) |
| (2014) 🔗 | Risk aggregation with dependence uncertainty. Insurance: Mathematics and Economics (with Bernard, Jiang) |
| (2013) 🔗 | Jackknife empirical likelihood for parametric copulas. Scandinavian Actuarial Journal (with Peng, Yang) |
| (2013) 🔗 | Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. Insurance: Mathematics and Economics (with Puccetti, Wang) |
Operations Research/Management Science | |
| (2021) 🔗 | Robustness in the optimization of risk measures. Operations Research (with Embrechts, Schied) |
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(2021) 🔗 |
Distributional transforms, probability distortions, and their applications. Mathematics of Operations Research (with Liu, Schied) |
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(2021) 🔗 |
A theory for measures of tail risk. Mathematics of Operations Research (with Liu) |
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(2021) 🔗 | An axiomatic foundation for the Expected Shortfall. Management Science (with Zitikis) |
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(2020) 🔗 | Weak comonotonicity. European Journal of Operational Research (with Zitikis) |
| (2020) 🔗 | Characterization, robustness and aggregation of signed Choquet integrals. Mathematics of Operations Research (with Wei, Willmot) |
| (2020) 🔗 | Quantile-based risk sharing with heterogeneous beliefs. Mathematical Programming (with Embrechts, Liu, Mao) |
| (2018) 🔗 | Quantile-based risk sharing. Operations Research (with Embrechts, Liu) |
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(2016) 🔗 | Joint mixability. Mathematics of Operations Research (with Wang) |
Quantitative Finance | |
| (2021) 🔗 | Ordering and inequalities for mixtures on risk aggregation. Mathematical Finance (with Chen, Liu, Liu) |
| (2021) 🔗 | Scenario-based risk evaluation. Finance and Stochastics (with Ziegel) |
| (2021) 🔗 | Bayes risk, elicitability, and the Expected Shortfall. Mathematical Finance (with Embrechts, Mao, Wang) |
| (2020) 🔗 | Risk functionals with convex level sets. Mathematical Finance (with Wei) |
| (2020) 🔗 | Risk aversion in regulatory capital principles. SIAM Journal on Financial Mathematics (with Mao) |
| (2019) 🔗 | Dual utilities on risk aggregation under dependence uncertainty. Finance and Stochastics (with Xu, Zhou) |
| (2019) 🔗 | An efficient approach to quantile capital allocation and sensitivity analysis. Mathematical Finance (with Asimit, Peng, Yu) |
| (2019) 🔗 | Distributional compatibility for change of measures. Finance and Stochastics (with Shen, Shen, Wang) |
| (2018) 🔗 | Worst-case Range Value-at-Risk with partial information. SIAM Journal on Financial Mathematics (with Li, Shao, Yang) |
| (2018) 🔗 | Asymptotic equivalence of risk measures under dependence uncertainty. Mathematical Finance (with Cai, Liu) |
| (2017) 🔗 | Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. Journal of Banking and Finance (with Furman, Zitikis) |
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(2017) 🔗 | Risk bounds for factor models. Finance and Stochastics (with Bernard, Rüschendorf, Vanduffel) |
| (2015) 🔗 | Aggregation-robustness and model uncertainty of regulatory risk measures. Finance and Stochastics (with Embrechts, Wang) |
| (2015) 🔗 | How superadditive can a risk measure be? SIAM Journal on Financial Mathematics (with Bignozzi, Tsanakas) |
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(2013) 🔗 | Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. Finance and Stochastics (with 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
News
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April 1, 2021
Posted a new paper on arXiv: Start-shaped risk measures (four new co-authors!).
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December 13, 2020
Posted a few new papers on arXiv; see the Publications tab.
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December 2, 2020
I will be teaching a joint Rutgers-CMU-Waterloo PhD course (STAT946/ACTSC991) Game-theoretic statistical inference: betting, e-values and martingale in Winter 2021, together with Professors Glenn Shafer (Rutgers) and Aaditya Ramdas (Carnegie Mellon). PhD students interested in game-theoretic statistics and e-values are welcome.
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November 10, 2020
Posted two working papers on arXiv: Optimizing distortion riskmetrics with distributional uncertainty (a unifying treatment for distortion riskmetrics under various settings of distributional uncertainty); Testing with p*-values: Between p-values and e-values (a new notion of p*-values is introduced for a few good reasons). Comments are appreciated.
see old news ...
