Welcome to Ruodu Wang's Homepage

Antarctic Peninsula, 2014

Ruodu Wang, Ph.D.

University Research Chair

Associate Professor of Actuarial Science

Department of Statistics and Actuarial Science
University of Waterloo

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-2018-03823, RGPAS-2018-522590)

Affiliated member

RiskLab, Department of Mathematics, ETH Zurich

Current teaching - Winter 2019

ACTSC 446/846 - Mathematics of Financial Markets

This site was last updated on January 3, 2019.

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

Available Positions

A few postdoctoral and PhD positions in Actuarial Science, Mathematical Finance, Statistics, or Risk Management are currently available in the Department of Statistics and Actuarial Science at the University of Waterloo. For potential research topics, see Publications and Research.

Interested junior scholars and students are welcome to send an email inquiry directly to me. For the postdoctoral positions, applications should be submitted on mathjobs via this link.

Selected Publications

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


(2019)	An efficient approach to quantile capital allocation and sensitivity analysis. Mathematical Finance, forthcoming (with Vali Asimit, Liang Peng and Alex Yu).
(2019)	Quantile-based risk sharing with heterogeneous beliefs. Mathematical Programming, forthcoming (with Paul Embrechts, Haiyan Liu and Tiantian Mao).
(2018)	Quantile-based risk sharing. Operations Research, 66(4), 936-949 (with Paul Embrechts and Haiyan Liu).
(2018)	Worst-case Range Value-at-Risk with partial information. SIAM Journal on Financial Mathematics, 9(1), 190-218 (with Lujun Li, Hui Shao and Jingping Yang).
(2018)	Asymptotic equivalence of risk measures under dependence uncertainty. Mathematical Finance, 28(1), 29-49 (with Jun Cai and Haiyan Liu).
(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).
(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.


(2018)	Weak comonotonicity (with Ricardas Zitikis).
(2018)	Risk functionals with convex level sets (with Yunran Wei).
(2018)	Sums of standard uniform random variables (with Tiantian Mao and Bin Wang).
(2018)	Compatible matrices of Spearman's rank correlation (with Bin Wang and Yuming Wang).
(2018)	Robustness in the optimization of risk measures (with Paul Embrechts and Alexander Schied).
(2018)	Scenario-based risk evaluation (with Johanna Ziegel).
(2018)	Convex risk functionals: representation and applications (with Jun Cai, Christiane Lemieux and Fangda Liu).
(2018)	Characterizing optimal allocations in quantile-based risk sharing (with Yunran Wei).
(2018)	Combining p-values via averaging (with Vladimir Vovk).
(2017)	Competitive equilibria in a comonotone market (with Tim Boonen and Fangda Liu).
(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)	A model-free continuum of degrees of risk aversion (with Tiantian Mao).
(2016)	A theory for measures of tail risk (with Fangda Liu).
(2016)	Risk aversion in regulatory capital principles (with Tiantian Mao).

Links

Department of Statistics and Actuarial Science, University of 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 ASTIN Bulletin - The Journal of the International Actuarial Association

News

January 3, 2019

Happy new year! Winter terms starts at Waterloo.
December 12, 2018

Uploaded a new manuscript on arXiv: Weak comonotonicity. In this paper we introduce a notion of weak comonotonicity with the hope to bridge the gap between the classical comonotonicity and other notions of positive dependence. Critical comments are very much welcome.
November 30, 2018

Uploaded two new manuscripts on arXiv and SSRN: Risk functionals with convex level sets (first partial characterizations of elicitability in dimension two), Sums of standard uniform random variables (innocent-looking but surprising results on the sums of U[0,1] random variables). Critical comments are very much welcome.

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