Department of Statistics and Actuarial Science
University of Waterloo
Google Scholar Curriculum Vitae Short Bio
- Statistics - Probability - Actuarial Science
- Financial Engineering - Operations Research
- Quantitative Risk Management - Economic Theory
Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-03823, RGPAS-2018-522590)
RiskLab, Department of Mathematics, ETH Zurich
ACTSC 964 - Topics in Quantitative Risk Management ACTSC 991 - Topics in Actuarial Science
This site was last updated on February 21, 2020.
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
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 |
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) |
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) 🔗 |
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
February 21, 2020
Posted a new paper on arXiv: The directional optimal transport (a new experience for me in mass transportation). Critical comments are very much welcome.
February 12, 2020
The arXiv note True and false discoveries with e-values has been updated (by my co-author) to a full paper. Any comments are welcome.
January 16, 2020
Posted a small note True and false discoveries with e-values on arXiv. This is a preliminary version and will be updated.
December 28, 2019
Happy new year of 2020! Posted a new paper on SSRN: Distortion riskmetrics on general spaces (a comprehensive collection of results on what we call "distortion riskmetrics". Please consider using distortion riskmetrics in your actuarial, financial, or statistical applications). Critical comments are very much welcome.
December 15, 2019
Posted two new papers on SSRN: An axiomatic approach for credit rating (as far as we know, a first theory and an up-to-date empirical analysis of credit rating criteria); Combining e-values and p-values (statistical procedures for multiple hypothesis testing using e-values, and the interplay between e-values and p-values). Critical comments are very much welcome.
November 25, 2019
Posted two new papers on SSRN: PELVE: Probability equivalent level of VaR and ES (a new distributional index characterizing the balancing point between VaR and ES); Inf-convolution and optimal allocations for tail risk measures (general results on risk sharing for tail risk measures). Critical comments are very much welcome.