Welcome to Ruodu Wang's Homepage

Antarctic Peninsula, 2014

Ruodu Wang, Ph.D.

Professor of Actuarial Science and Quantitative Finance

University Research Chair

Sun Life Fellow

Associate Chair - Research

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 - Fall 2022

      None


This site was last updated on November 28, 2022


Recent working paper series

My group members: Current and past PhD students and postdocs

Online seminar series: 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
  2022 - present Associate Editor, Canadian Journal of Statistics
  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

(2022)
🔗
Confidence and discoveries with e-values. Statistical Science (with Vovk)
(2022)
🔗
False discovery rate control with e-values. Journal of the Royal Statistical Society Series B (with Ramdas)
(2022)
🔗
Admissible ways of merging p-values under arbitrary dependence. Annals of Statistics (with Vovk, Wang)
(2022)
🔗
The directional optimal transport. Annals of Applied Probability (with Nutz)
(2021)
🔗
A unified framework for bandit multiple testing. NeurIPS 2021 (with Ramdas, Xu)
(2021)
🔗
E-values: Calibration, combination, and applications. Annals of Statistics (with Vovk)
(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

(2022)
🔗
Parametric measures of variability induced by risk measures. Insurance: Mathematics and Economics (with Bellini, Fadina, Wei)
(2022)
🔗
Risk aggregation under dependence uncertainty and an order constraint. Insurance: Mathematics and Economics (with Chen, Lin)
(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)

 

  Others

(2022)
🔗
PELVE: Probability equivalent level of VaR and ES. Journal of Econometrics (with Li)
(2021)
🔗
Competitive equilibria in a comonotone market. Economic Theory (with Boonen, Liu)

  Operations Research/Management Science

(2022)
🔗
Star-shaped risk measures. Operations Research (with Castagnoli, Cattelan, Maccheroni, Tebaldi)
(2022)
🔗
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures. Mathematics of Operations Research (with Liu, Mao, Wei)
(2022)
🔗
Robustness in the optimization of risk measures. Operations Research (with Embrechts, Schied)
(2021)
🔗
Distributional transforms, probability distortions, and their applications. Mathematics of Operations Research (with Liu, Schied)
(2021)
🔗
A theory for measures of tail risk. Mathematics of Operations Research (with Liu)
(2021)
🔗
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

(2022)
🔗
Adjusted Expected Shortfall. Journal of Banking and Finance (with Burzoni, Munari)
(2022)
🔗
Ordering and inequalities for mixtures on risk aggregation. Mathematical Finance (with Chen, Liu, Liu)
(2021)
🔗
Scenario-based risk evaluation. Finance and Stochastics (with Ziegel)
(2021)
🔗
Bayes risk, elicitability, and the Expected Shortfall. Mathematical Finance (with Embrechts, Mao, Wang)
(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)

News

  • September 2, 2022

    Posted several new papers on arXiv and SSRN; see the Publications tab.

  • August 15, 2022

    Given the increasing mass of recent literature on e-values, a new working paper series: E-values: Theory and methods is composed for students and scholars interested in learning this topic.

  • April 26, 2022

    Posted a few new papers on arXiv; see the Publications tab.

  • April 24, 2022

    I am very much honoured to be elected to Fellow of the Institute of Mathematical Statistics (IMS) "For significant contributions to statistics and applied probability in operations research, risk management, and actuarial science; and highly influential interdisciplinary research bridging statistics and probability." The list of 2022 IMS Fellows can be found on the IMS website.

  • March 24, 2022

    Posted a few new papers on arXiv; see the Publications tab.


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