Welcome to Ruodu Wang's Homepage

Antarctic Peninsula, 2014

Ruodu Wang, Ph.D.

Canada Research Chair in Quantitative Risk Management

Professor of Actuarial Science and Quantitative Finance

Department of Statistics and Actuarial Science
University of Waterloo

Fellow, Institute of Mathematical Statistics



       


Research areas

- Statistics - Probability - Actuarial Science
- Financial Engineering - Operations Research
- Quantitative Risk Management - Economic Theory

Current research support

Canada Research Chairs (CRC-2022-00141)

Natural Sciences and Engineering Research Council of Canada (RGPIN-2024-03728)

Affiliated member

RiskLab, Department of Mathematics, ETH Zurich

Current teaching - Winter 2024

- ACTSC 964 Foundations of Quantitative Risk Management


This site was last updated on June 17, 2024


Recent working paper series

Ruodu Wang's suggestions for writing mathematics in scientific papers

My group members: Current and past PhD students and postdocs

Wikipedia page on e-values

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
  2024 - present Associate Editor, Operations Research
  2023 - present Associate Editor, Mathematics of Operations Research
  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 manuscripts. Co-authors are in [brackets].

  Statistics/Probability Theory

(2024)
🔗
Multiple testing under negative dependence
Bernoulli [Chi, Ramdas]
(2024)
🔗
E-values as unnormalized weights in multiple testing
Biometrika [Ignatiadis, Ramdas]
(2024)
🔗
Testing with p*-values: Between p-values, mid p-values, and e-values
Bernoulli
(2023)
🔗
Confidence and discoveries with e-values
Statistical Science [Vovk]
(2022)
🔗
False discovery rate control with e-values
Journal of the Royal Statistical Society
Series B
[Ramdas]
(2022)
🔗
Admissible ways of merging p-values under arbitrary dependence
Annals of Statistics [Vovk, Wang]
(2022)
🔗
The directional optimal transport
Annals of Applied Probability [Nutz]
(2021)
🔗
A unified framework for bandit multiple testing
NeurIPS 2021 [Ramdas, Xu]
(2021)
🔗
E-values: Calibration, combination, and applications
Annals of Statistics [Vovk]
(2020)
🔗
Combining p-values via averaging
Biometrika [Vovk]
(2016)
🔗
Bernoulli and tail-dependence compatibility
Annals of Applied Probability [Embrechts, Hofert]
(2015)
🔗
Extremal dependence concepts
Statistical Science [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 [Peng, Zhang]
(2011)
🔗
The complete mixability and convex minimization problems for monotone marginal densities
Journal of Multivariate Analysis [Wang]

 

  Actuarial Science

(2023)
🔗
A reverse ES (CVaR) optimization formula
North American Actuarial Journal [Guan, Jiao]
(2023)
🔗
Pairwise counter-monotonicity
Insurance: Mathematics and
Economics
[Lauzier, Lin]
(2022)
🔗
Parametric measures of variability induced by risk measures
Insurance: Mathematics and
Economics
[Bellini, Fadina, Wei]
(2022)
🔗
Risk aggregation under dependence uncertainty and an order constraint
Insurance: Mathematics and Economics [Chen, Lin]
(2020)
🔗
Distortion riskmetrics on general spaces
ASTIN Bulletin [Wang, Wei]
(2020)
🔗
Is the inf-convolution of law-invariant preferences law-invariant?
Insurance: Mathematics and Economics [Liu, Wei]
(2020)
🔗
Convex risk functionals: Representation and applications
Insurance: Mathematics and
Economics
[Cai, Lemieux, Liu]
(2017)
🔗
Pareto-optimal reinsurance arrangements under general model settings
Insurance: Mathematics and Economics [Cai, Liu]
(2017)
🔗
Collective risk models with dependence uncertainty
ASTIN Bulletin [Liu]
(2016)
🔗
General convex order on risk aggregation
Scandinavian Actuarial Journal [Han, Jakobsons]
(2015)
🔗
Composite Bernstein copulas
ASTIN Bulletin [Chen, Wang, Yang]
(2015)
🔗
CreditRisk+ model with dependent risk factors
North American Actuarial Journal [Peng, Yang]
(2014)
🔗
Risk aggregation with dependence uncertainty
Insurance: Mathematics and
Economics
[Bernard, Jiang]

 

  Others

(2023)
🔗
Choquet regularization for continuous-time reinforcement learning
SIAM Journal on
Control and Optimization
[Han, Zhou]
(2023)
🔗
PELVE: Probability equivalent level of VaR and ES
Journal of Econometrics [Li]
(2021)
🔗
Competitive equilibria in a comonotone market
Economic Theory [Boonen, Liu]

  Operations Research/Management Science

(2024)
🔗
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
Operations Research [Chen, Embrechts]
(2024)
🔗
A theory of credit rating criteria
Management Science [Guo, Kou, Wang]
(2024)
🔗
Joint mixability and notions of negative dependence
Mathematics of Operations Research [Koike, Lin]
(2022)
🔗
Star-shaped risk measures
Operations Research [Castagnoli, Cattelan, Maccheroni, Tebaldi]
(2022)
🔗
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Mathematics of
Operations Research
[Liu, Mao, Wei]
(2022)
🔗
Robustness in the optimization of risk measures
Operations Research [Embrechts, Schied]
(2021)
🔗
Distributional transforms, probability distortions, and their applications
Mathematics of Operations Research [Liu, Schied]
(2021)
🔗
A theory for measures of tail risk
Mathematics of Operations Research [Liu]
(2021)
🔗
An axiomatic foundation for the Expected Shortfall
Management Science [Zitikis]
(2020)
🔗
Characterization, robustness and aggregation of signed Choquet integrals
Mathematics of Operations Research [Wei, Willmot]
(2020)
🔗
Quantile-based risk sharing with heterogeneous beliefs
Mathematical Programming [Embrechts, Liu, Mao]
(2018)
🔗
Quantile-based risk sharing
Operations Research [Embrechts, Liu]
(2016)
🔗
Joint mixability
Mathematics of Operations Research [Wang]

 

  Quantitative Finance

(2023)
🔗
A framework for measures of risk under uncertainty
Finance and Stochastics [Fadina, Liu]
(2023)
🔗
Risk concentration and the mean-Expected Shortfall criterion
Mathematical Finance [Han, Wang, Wu]
(2023)
🔗
One axiom to rule them all: A minimalist axiomatization of quantiles
SIAM Journal on
Financial Mathematics
[Fadina, Liu]
(2022)
🔗
Adjusted Expected Shortfall
Journal of Banking and Finance [Burzoni, Munari]
(2022)
🔗
Ordering and inequalities for mixtures on risk aggregation
Mathematical Finance [Chen, Liu, Liu]
(2021)
🔗
Scenario-based risk evaluation
Finance and Stochastics [Ziegel]
(2021)
🔗
Bayes risk, elicitability, and the Expected Shortfall
Mathematical Finance [Embrechts, Mao, Wang]
(2020)
🔗
Risk functionals with convex level sets
Mathematical Finance [Wei]
(2020)
🔗
Risk aversion in regulatory capital principles
SIAM Journal on Financial Mathematics [Mao]
(2019)
🔗
Dual utilities on risk aggregation under dependence uncertainty
Finance and Stochastics [Xu, Zhou]
(2019)
🔗
An efficient approach to quantile capital allocation and sensitivity analysis
Mathematical Finance [Asimit, Peng, Yu]
(2019)
🔗
Distributional compatibility for change of measures
Finance and Stochastics [Shen, Shen, Wang]
(2018)
🔗
Worst-case Range Value-at-Risk with partial information
SIAM Journal on
Financial Mathematics
[Li, Shao, Yang]
(2018)
🔗
Asymptotic equivalence of risk measures under dependence uncertainty
Mathematical Finance [Cai, Liu]
(2017)
🔗
Gini-type measures of risk and variability: Gini shortfall, capital allocations, and heavy-tailed risks
Journal of Banking and Finance [Furman, Zitikis]
(2017)
🔗
Risk bounds for factor models
Finance and
Stochastics
[Bernard, Rüschendorf, Vanduffel]
(2015)
🔗
Aggregation-robustness and model uncertainty of regulatory risk measures
Finance and Stochastics [Embrechts, Wang]
(2015)
🔗
How superadditive can a risk measure be?
SIAM Journal on
Financial Mathematics
[Bignozzi, Tsanakas]
(2013)
🔗
Bounds for the sum of dependent risks and worst Value-at-Risk with monotone marginal densities
Finance and Stochastics [Peng, Yang]

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