Welcome to Ruodu Wang's Homepage
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 2025
ACTSC 964 Foundations of Quantitative Risk Management
This site was last updated on April 27, 2025
Recent working paper series
| Series 1. Axiomatic theory of risk measures | Series 2. Risk sharing, allocation, and equilibria |
| Series 3. Joint mixability and negative dependence | Series 4. Robust risk aggregation |
| Series 5. Risk management with risk measures | Series 6. E-values: Theory and methods |
| Series 7. Optimal transport and its applications | Series 8. Decisions under risk and ambiguity |
My group members: Current and past PhD students and postdocs
Ruodu Wang's suggestions for writing mathematics in scientific papers
E-book (frequently updated): Hypothesis testing with e-values (arXiv)
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, Finance and Stochastics |
| 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 | |
|
(2025) 🔗 |
The only admissible way of merging arbitrary e-values
Biometrika |
|
(2025) 🔗 |
Combining exchangeable p-values
Proceedings of the National Academy of Sciences [Gasparin, Ramdas] |
|
(2024) 🔗 |
Simultaneous optimal transport
Transactions of the American Mathematical Society [Zhang] |
|
(2024) 🔗 |
Testing mean and variance by e-processes
Biometrika [Fan, Jiao] |
|
(2024) 🔗 |
On the existence of powerful p-values and e-values for composite hypotheses
Annals of Statistics [Ramdas, Zhang] |
|
(2024) 🔗 |
Martingale transports and Monge maps
Annals of Applied Probability [Nutz, Zhang] |
|
(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 | |
| (2024) 🔗 |
A new characterization of second-order stochastic dominance Insurance: Mathematics and Economics [Guan, Huang] |
| (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] |
Economic Theory/Econometrics | |
|
(2025) 🔗 | Risk aversion and insurance propensity American Economic Review [Maccheroni, Marinacci, Wu] |
|
(2024) 🔗 | Anticomonotonicity for preference axioms: The natural counterpart to comonotonicity Theoretical Economics [Principi, Wakker] |
|
(2024) 🔗 | Probabilistic risk aversion for generalized rank-dependent functions Economic Theory [Wu] |
|
(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 | |
| (2025) 🔗 | E-backtesting Management Science [Wang, Ziegel] |
| (2025) 🔗 | Cash-subadditive risk measures without quasi-convexity Mathematics of Operations Research [Han, Wang, Xia] |
| (2024) 🔗 | Convolution bounds on quantile aggregation Operations Research [Blanchet, Lam, Liu] |
| (2024) 🔗 | Optimizing distortion riskmetrics with distributional uncertainty Mathematical Programming [Pesenti, Wang] |
| (2024) 🔗 | Diversification quotients: Quantifying diversification via risk
measures Management Science [Han, Lin] |
| (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 | |
| (2025) 🔗 | Coherent risk measures and uniform integrability Finance and Stochastics [Huang] |
| (2025) 🔗 | Monotonic mean-deviation risk measures Finance and Stochastics [Han, Wu] |
| (2025) 🔗 | The checkerboard copula and dependence concepts SIAM Journal on Financial Mathematics [Lin, Zhang, Zhao] |
| (2024) 🔗 | A framework for measures of risk under uncertainty Finance and Stochastics [Fadina, Liu] |
| (2024) 🔗 | Risk concentration and the mean-Expected Shortfall criterion Mathematical Finance [Han, Wang, Wu] |
|
(2023) 🔗 | Choquet regularization for continuous-time reinforcement learning SIAM Journal on Control and Optimization [Han, Zhou] |
| (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] |
Links
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 An interview with Ruodu Wang (by SOA, 2021) Wikipedia page on e-values
News
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April 27, 2025
Two years in a roll! My past PhD student Liyuan Lin (co-advised with Alex Schied) won the 2025 Pierre Robillard Award for the best PhD thesis in probability or statistics defended at a Canadian university during 2024. See the news from the Statistical Society of Canada.
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February 12, 2025
I am very happy that my paper "Risk aversion and insurance propensity" is accepted by the American Economic Review.
arXiv link: 🔗.
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January 1, 2025
Happy new year of 2025!
2024 was a fruitful year to summarize: 5 completing PhD students and postdocs obtained tenure-track positions; my first book was written and posted online; 21 papers were accepted (including MS, OR, TE, AOS, AAP, TAMS, Biometrika, MP, MOR, etc) and 24 new papers were posted online. This is not a normal year. Thanks to all collaborators, students, and friends!
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April 26, 2024
My past PhD student Qiuqi Wang won the 2024 Pierre Robillard Award for the best PhD thesis in probability or statistics defended at a Canadian university during 2023. See the news from the Statistical Society of Canada.
see old news ...