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


Google Scholar    Curriculum Vitae    Short Bio


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 - Winter 2020

      ACTSC 964 - Topics in Quantitative Risk Management       ACTSC 991 - Topics in Actuarial Science




This site was last updated on February 21, 2020.

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
(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)
(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 (with Peng, Zhang)
(2013)
🔗 		Jackknife empirical likelihood test for equality of two high-dimensional means. Statistica Sinica (with Peng, Qi)
(2011)
🔗 		The complete mixability and convex minimization problems for monotone marginal densities. Journal of Multivariate Analysis (with Wang)

 

  Actuarial Science
(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)
(2014)
🔗 		Risk aggregation with dependence uncertainty. Insurance: Mathematics and Economics (with Bernard, Jiang)
(2013)
🔗 		Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. Insurance: Mathematics and Economics (with Puccetti, Wang)
(2011)
🔗		 Jackknife empirical likelihood intervals for Spearman's rho. North American Actuarial Journal (with Peng)

  Operations Research/Management Science
(2020)
🔗 		A theory for measures of tail risk. Mathematics of Operations Research (with Liu)
(2020)
🔗 		An axiomatic foundation for the Expected Shortfall. Management Science (with Zitikis)
(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)
(2016)
🔗 		Joint mixability. Mathematics of Operations Research (with Wang)

 

  Quantitative Finance
(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)
(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)
(2013)
🔗 		Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities. Finance and Stochastics (with Peng, Yang)

Recently Accepted Papers (10)

Feb 19
2020 		A theory for measures of tail risk. Mathematics of Operations Research (with Liu) 🔗
Feb 10
2020 		An axiomatic foundation for the Expected Shortfall. Management Science (with Zitikis) 🔗
Jan 16
2020		 Is the inf-convolution of law-invariant preferences law-invariant? Insurance: Mathematics and Economics (with Liu, Wei) 🔗
Dec 26
2019		 Risk aversion in regulatory capital principles. SIAM Journal on Financial Mathematics (with Mao) 🔗
Oct 30
2019		 Combining p-values via averaging. Biometrika (with Vovk) 🔗
Oct 22
2019		 Convex risk functionals: representation and applications. Insurance: Mathematics and Economics (with Cai, Lemieux, Liu) 🔗
Sep 11
2019		 Weak comonotonicity. European Journal of Operational Research (with Zitikis) 🔗
Jun 8
2019		 Sums of standard uniform random variables. Journal of Applied Probability (with Mao, Wang) 🔗
Jun 7
2019		 Characterization, robustness and aggregation of signed Choquet integrals. Mathematics of Operations Research (with Wei, Willmot) 🔗
May 8
2019		 Dual utilities on risk aggregation under dependence uncertainty. Finance and Stochastics (with Xu, Zhou) 🔗

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

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