Welcome to Ruodu Wang's Homepage


Research

Research Interests

Statistics

Probability


Actuarial Science

Financial Engineering


Quantitative Risk Management

Operations Research


Specific topics

  • Risk, ambiguity and uncertainty
  • Dependence modeling and copulas
  • Risk measures
  • Decision theory
  • Economic equilibria

  • Systemic risk
  • Risk aggregation
  • Probabilistic combinatorics
  • Robust statistics in finance
  • High-dimensional statistical analysis

Research Summaries

Review on dependence concepts (June 2015)

Extremal dependence concepts. Statistical Science, 2015.

Open research questions (Nov 2014)

Current open questions in complete mixability. Probability Surveys, 2015.

Summary on regulatory risk measures and risk aggregation (Feb 2014)

An academic response to Basel 3.5. Risks, 2014

Selected Presentation Slides

Year Location Title Slides
2016 Atlanta Risk aversion in regulatory capital principles
2016 Hong Kong Quantile-based risk sharing
2016 Munich Sum of two standard uniform random variables
2015 Vienna Recent advances in risk aggregation and dependence uncertainty
2015 Lausanne Robustness of regulatory risk measures in aggregation
2014 Beijing Risk measures: history, trends and challenges
2014 Brussels How much does the dependence structure matter?
2014 Bern How superadditive can a risk measure be?
2013 Beijing An academic response to Basel 3.5
2013 Zurich Risk aggregation with dependence uncertainty
2013 Toronto Empirical likelihood tests for high-dimensional data

    *some of the above presentations have overlapping parts.

Coauthors

Total: 36 coauthors, from 9 countries (in alphabetical order).

Academics

Carole Bernard Grenoble Ecole de Management, France
Valeria Bignozzi University of Milano-Bicocca, Italy
Jun Cai University of Waterloo, Canada
Paul Embrechts ETH Zurich, Switzerland
Edward Furman York University, Canada
Xiaoying Han Auburn University, USA
Marius Hofert University of Waterloo, Canada
Christiane Lemieux University of Waterloo, Canada
Fangda Liu Central University of Finance and Economics, China
Tiantian Mao University of Science and Technology of China, China
Liang Peng Georgia State University, USA [PhD advisor]
Giovanni Puccetti University of Milan, Italy
Yongcheng Qi University of Minnesota at Duluth, USA
Pietro Rigo University of Pavia, Italy
Ludger Rüschendorf University of Freiburg, Germany
Yi Shen University of Waterloo, Canada
Andreas Tsanakas City University London, UK
Steven Vanduffel Vrije Universiteit Brussel, Belgium
Bin Wang Beijing Technology and Business University, China
Fang Wang Capital Normal University, China
Gordon E. Willmot University of Waterloo, Canada
Jingping Yang Peking University, China [MS advisor]
Rongmao Zhang Zhejiang University, China
Johanna F. Ziegel University of Bern, Switzerland
Ricardas Zitikis University of Western Ontario, Canada

Industry

John A. Major Guy Carpenter, USA
Micah G. Woolstenhulme Guy Carpenter, USA

Students (at the time of collaboration)

Antonela Beleraj University of Firenze, Italy [joined industry, 2014]
Zhijin Chen Peking University, China [joined industry, 2013]
Edgars Jakobsons ETH Zurich, Switzerland [joined industry, 2016]
Xiao Jiang University of Waterloo, Canada [joined industry, 2013]
Lujun Li Peking University, China [joined industry, 2015]
Haiyan Liu University of Waterloo, Canada
Hui Shao Peking University, China
Jie Shen University of Waterloo, Canada
Yunran Wei University of Waterloo, Canada

Acknowledgements

My research is currently supported by the Natural Sciences and Engineering Research Council of Canada (RGPIN-435844-2013).
I also receive support from the University constantly, and from research grants of my collaborators during collaborative research.