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 - 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 - Spring 2020

      None




This site was last updated on July 29, 2020.


Recent working paper series

Online seminar series (public): Weekly Seminars on Risk Management and Actuarial Science

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)
🔗
Characterizing optimal allocations in quantile-based risk sharing. Insurance: Mathematics and Economics (with Wei)
(2020)
🔗
Distortion riskmetrics on general spaces. ASTIN Bulletin (with Wang, Wei)
(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)
(2015)
🔗
CreditRisk+ model with dependent risk factors. North American Actuarial Journal (with Peng, Yang)
(2014)
🔗
Risk aggregation with dependence uncertainty. Insurance: Mathematics and Economics (with Bernard, Jiang)
(2013)
🔗
Jackknife empirical likelihood for parametric copulas. Scandinavian Actuarial Journal (with Peng, Yang)
(2013)
🔗
Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. Insurance: Mathematics and Economics (with Puccetti, Wang)

  Operations Research/Management Science

(2020)
🔗
Distributional transforms, probability distortions, and their applications. Mathematics of Operations Research (with Liu, Schied)
(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 functionals with convex level sets. Mathematical Finance (with Wei)
(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)

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