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 - Fall 2017


This site was last updated on November 29, 2017.


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

From 2018.01 Co-Editor, ASTIN Bulletin - The Journal of the International Actuarial Association
2016.08 - present Co-Editor, European Actuarial Journal
2016.07 - present Associate Editor, Acta Mathematicae Applicatae Sinica (English Series)
2014.12 - present Editorial Advisory Board, Dependence Modeling

Selected Publications

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

(2017) Quantile-based risk sharing. Operations Research, forthcoming (with Paul Embrechts and Haiyan Liu).
(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) Quantile-based risk sharing with heterogeneous beliefs (with Paul Embrechts, Haiyan Liu and Tiantian Mao).
(2017) Dual utilities under dependence uncertainty (with Zuoquan Xu and Xunyu Zhou).
(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) Random locations of periodic stationary processes (with Jie Shen and Yi Shen).
(2016) Risk aversion in regulatory capital principles (with Tiantian Mao).


  • November 29, 2017

    Uploaded two new manuscripts on SSRN. Comments are welcome.

  • November 14, 2017

    I am back in my office in Waterloo.

  • September 9, 2017

    I will stay in China for a longer period of time, and return to Canada later this fall term.

  • 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.

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