Welcome to Ruodu Wang's Homepage

Ruodu Wang, Ph.D.

Associate Professor of Actuarial Science

Department of Statistics and Actuarial Science
University of Waterloo


Google Scholar page     Curriculum Vitae


Research areas

- Statistics - Probability
- Actuarial Science - Financial Engineering
- Quantitative Risk Management - Operations Research

Current research support

Natural Sciences and Engineering Research Council of Canada (RGPIN-435844-2013)

Affiliated member

RiskLab, Department of Mathematics, ETH Zurich

Current teaching - Spring 2017

     None



This site was last updated on August 10, 2017.

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

Selected Publications

Please see the Publications tab for a full list and pdf files of publications and manuscripts.

(2017) Worst-case Range Value-at-Risk with partial information. SIAM Journal on Financial Mathematics, forthcoming (with Lujun Li, Hui Shao and Jingping Yang).
(2017) Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks. Journal of Banking and Finance, 83, 70-84 (with Edward Furman and Ricardas Zitikis).
(2017) Risk bounds for factor models. Finance and Stochastics, 21(3), 631-659 (with Carole Bernard, Ludger Rüschendorf and Steven Vanduffel).
(2017) Asymptotic equivalence of risk measures under dependence uncertainty. Mathematical Finance, forthcoming (with Jun Cai and Haiyan Liu).
(2016) Joint mixability. Mathematics of Operations Research, 41(3), 808-826 (with Bin Wang).
(2016) Bernoulli and tail-dependence compatibility. Annals of Applied Probability, 26(3), 1636-1658 (with Paul Embrechts and Marius Hofert).
(2015) Extremal dependence concepts. Statistical Science, 30(4), 485-517 (with Giovanni Puccetti).
(2015) Aggregation-robustness and model uncertainty of regulatory risk measures. Finance and Stochastics, 19(4), 763-790 (with Paul Embrechts and Bin Wang).
(2015) How superadditive can a risk measure be? SIAM Journal on Financial Mathematics, 6(1), 776-803 (with Valeria Bignozzi and Andreas Tsanakas).
(2014) Sum of arbitrarily dependent random variables. Electronic Journal of Probability, 19(84), 1-18.
(2014) Risk aggregation with dependence uncertainty. Insurance: Mathematics and Economics, 54, 93-108 (with Carole Bernard and Xiao Jiang).
(2013) Tests for covariance matrix with fixed or divergent dimension. Annals of Statistics, 41(4), 2075-2096 (with Liang Peng and Rongmao Zhang).
(2013) Jackknife empirical likelihood test for equality of two high-dimensional means. Statistica Sinica, 23(2), 667-690 (with Liang Peng and Yongcheng Qi).
(2013) Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. Finance and Stochastics, 17(2), 395-417 (with Liang Peng and Jingping Yang).
(2011) The complete mixability and convex minimization problems for monotone marginal densities. Journal of Multivariate Analysis, 102(10), 1344-1360 (with Bin Wang).

Latest Manuscripts

Please, critical comments on these papers are very much appreciated.

(2017) Distributional compatibility for change of measures (with Jie Shen, Yi Shen and Bin Wang).
(2017) Characterization, robustness and aggregation of signed Choquet integrals (with Yunran Wei and Gordon Willmot).
(2017) Centers of probability measures without the mean (with Giovanni Puccetti, Pietro Rigo and Bin Wang).
(2017) A model-free continuum of degrees of risk aversion (with Tiantian Mao).
(2016) A theory for measures of tail risk (with Fangda Liu).
(2016) Negative dependence in matrix arrangement problems (with Edgars Jakobsons).
(2016) Quantile-based risk sharing (with Paul Embrechts and Haiyan Liu).
(2016) Random locations of periodic stationary processes (with Jie Shen and Yi Shen).
(2016) Risk aversion in regulatory capital principles (with Tiantian Mao).

Editorial Service

2016 - present Co-Editor, European Actuarial Journal.
2016 - present Associate Editor, Acta Mathematicae Applicatae Sinica (English Series).
2014 - present Editorial Advisory Board, Dependence Modeling.

Links

Department of Statistics and Actuarial Science, University of Waterloo Seminars in Statistics and Actuarial Science at Waterloo School of Mathematics, Georgia Tech School of Mathematical Sciences, Peking University Waterloo Research Institute in Insurance, Securities and Quantitative Finance (WatRISQ) 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

News

  • April 20, 2017

    I am visiting ETH Zurich, Switzerland from April 17 to July 15.

  • April 10, 2017

    Academics and practitioners in risk management are cordially invited to participate in the Workshop on Risk Measurement and Regulatory Issues in Business, Montreal, Canada, September 11-14, 2017, as part of the Thematic Semester: Risk in complex systems - Models, applications, perceptions, and policy implications, August-December 2017.

  • January 1, 2017

    Happy new year of 2017! New semester starts at Waterloo.
    I have planned a visit to Zurich, Switzerland from mid April to mid July this year.

  • December 8, 2016

    I will be on a personal trip from December 10 to December 31, with limited internet access. Merry Christmas!


see old news...