Department of Statistics and Actuarial Science
University of Waterloo
- Statistics - Probability - Actuarial Science
- Financial Engineering - Operations Research
- Quantitative Risk Management - Economic Theory
Canada Research Chairs (CRC-2022-00141)
Natural Sciences and Engineering Research Council of Canada (RGPIN-2018-03823, RGPAS-2018-522590)
RiskLab, Department of Mathematics, ETH Zurich
None
This site was last updated on October 17, 2023
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
2018 - present | Co-Editor, ASTIN Bulletin - The Journal of the International Actuarial Association |
2016 - present | Co-Editor, European Actuarial Journal |
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 |
Please see the Publications tab for a full list and pdf files of publications and manuscripts.
Statistics/Probability Theory | |
(2023) 🔗 | E-values as unnormalized weights in multiple testing. Biometrika (with Ignatiadis, Ramdas) |
(2023) 🔗 | Testing with p*-values: Between p-values, mid p-values, and e-values. Bernoulli |
(2023) 🔗 | 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) |
(2011) 🔗 | The complete mixability and convex minimization problems for monotone marginal densities. Journal of Multivariate Analysis (with Wang) |
Actuarial Science | |
(2023) 🔗 | A reverse ES (CVaR) optimization formula. North American Actuarial Journal (with Guan, Jiao) |
(2023) 🔗 | Pairwise counter-monotonicity. Insurance: Mathematics and Economics (with Lauzier, Lin) |
(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) 🔗 | Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates. Insurance: Mathematics and Economics (with Puccetti, Wang) |
Others | |
(2023) 🔗 | Choquet regularization for continuous-time reinforcement learning. SIAM Journal on Control and Optimization (with Han, Zhou) |
(2023) 🔗 | 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 | |
(2023) 🔗 | A framework for measures of risk under uncertainty. Finance and Stochastics (with Fadina, Liu) |
(2023) 🔗 | Risk concentration and the mean-Expected Shortfall criterion. Mathematical Finance (with Han, Wang, Wu) |
(2023) 🔗 | One axiom to rule them all: A minimalist axiomatization of quantiles. SIAM Journal on Financial Mathematics (with Fadina, Liu) |
(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) |
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)
May 1, 2023
Very happy to be appointed Canada Research Chair (Tier 1) in Quantitative Risk Management, supported by NSERC.
April 29, 2023
I uploaded an article of writing guideline: Ruodu Wang's suggestions for writing mathematics in scientific papers. Please feel free to distribute it to your students and colleagues. Any comments and corrections are welcome.
March 17, 2023
I composed a new working paper series on Optimal transport and its applications. More to come in this series.
February 1, 2023
Posted two new papers on diversification and p/e-values; see the Publications tab.
January 7, 2023
Happy new year of 2023! Posted a few new papers on arXiv recently; see the Publications tab.
September 2, 2022
Posted several new papers on arXiv and SSRN; see the Publications tab.