Welcome to Ruodu Wang's Homepage

Sahara, Egypt, 2012

Research

Research Interests

  Risk Management in Finance and Insurance
  • Risk measures
  • Risk aggregation
  • Robust methods for finance
  • Portfolio selection and diversification
  • Capital allocation
  • Systemic risk
  • Insurance design
  • Crypto currencies
  • FinTech and InsurTech
  Economic Theory
  • Risk, ambiguity, and uncertainty
  • General equilibria
  • Decision analysis and behavioral economics
  • Risk sharing
  • Resource allocation games
  Probability and Operations Research
  • Dependence modeling and copulas
  • Probabilistic combinatorics
  • Optimal transport
  • Distributionally robust optimization
  • Non-convex optimization
  Statistics
  • E-values and e-processes
  • Multiple hypothesis testing
  • Selective inference
  • Multi-armed bandit
  • Learning theory and algorithms
  • Extreme value theory
  • High-dimensional data analysis

Recent Working Paper Series

Axiomatic theory of risk measures last paper update: February 2022
Risk sharing, allocation, and equilibria last paper update: September 2022
Joint mixability last paper update: April 2022
Robust risk aggregation last paper update: April 2021
Risk management with risk measures last paper update: July 2022
E-values: Theory and methods last paper update: September 2022

Selected Presentation Slides

Year Location Title Slides
2021 ECNU (OL)  Star-shaped and quasi-star-shaped risk measures
2021 Bielefeld (OL)  Simultaneous optimal transport
2021 Iowa (OL)  E-backtesting risk measures
2021 Temple (OL)  Goodhart's law and risk optimization
2021 Alibaba (OL)  Dependence in stochastic modeling: Financial crisis, strategies, equilibria, decisions, transport, and statistics
2021 ARC (OL)  A tale of two risk measures: Contrasting Value-at-Risk and Expected Shortfall
2021 Hefei The directional optimal transport and its applications
2021 Berkeley (OL)  Multiple hypothesis testing with e-values and dependence
2020 OWARS (OL)  PELVE: Probability equivalent level of VaR and ES
2019 Toronto Robust risk aggregation, merging p-values, and e-values
2019 Seattle An axiomatic foundation for the Expected Shortfall
2019 Chengdu An axiomatic theory for rating structured finance securities
2018 Stanford Quantile-based risk sharing, market equilibria, and belief heterogeneity
2018 Singapore Scenario-based risk evaluation
2018 Beijing Competitive equilibria in a comonotone market
2017 Delft A theory for measures of tail risk
2016 Atlanta Risk aversion in regulatory capital principles
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

*From time to time, older talks are replaced by newer ones on a related topic.

Research Grants

2018 - 2021 The Society of Actuaries CAE Research Grant (one of many Co-PIs)
2018 - 2021 NSERC Discovery Accelerator Supplement (RGPAS-2018-522590, PI)
2018 - 2023 NSERC Discovery Grant (RGPIN-2018-03823, PI)
2016 - 2018 International Research Partnership Grant April 2016, University of Waterloo (Co-PI)
2013 - 2018 NSERC Discovery Grant (RGPIN-435844-2013, PI)

Coauthors

Total: 82 coauthors from 12 countries (at the time of collaboration). Please report broken links to me.

Academics and industry

Coauthor Affiliation Country #Papers Since
Vali Asimit Bayes Business School, City University London UK 1 2017
Hirbod Assa University of Kent UK 1 2022
Carole Bernard Grenoble Ecole de Management France 2 2013
Fabio Bellini University of Milano-Bicocca Italy 1 2020
Valeria Bignozzi University of Milano-Bicocca Italy 2 2014
Jose Blanchet Stanford University USA 1 2020
Tim Boonen University of Amsterdam Netherlands 1 2017
Matteo Burzoni University of Milano Italy 1 2020
Jun Cai University of Waterloo Canada 3 2015
Erio Castagnoli Bocconi University Italy 1 2021
Zhenyu Cui Stevens institute of Technology USA 1 2021
Paul Embrechts ETH Zurich Switzerland 9 2013
Tolulope Fadina University of Essex UK 3 2020
Edward Furman York University Canada 1 2016
Yuanying Guan DePaul University USA 2 2021
Nan Guo China Bond Rating Co. Ltd. China 1 2019
Xia Han University of Waterloo Canada 4 2021
Xiaoying Han Auburn University USA 2 2013
Marius Hofert University of Waterloo Canada 1 2015
Takaaki Koike Hitotsubashi University Japan 1 2022
Steven Kou Boston University USA 1 2019
Henry Lam Columbia University USA 1 2020
Christiane Lemieux University of Waterloo Canada 1 2015
Xiaoqing Liang Hebei University of Technology China 1 2021
Fangda Liu University of Waterloo Canada 4 2015
Haiyan Liu Michigan State University USA 5 2015
Peng Liu University of Essex UK 5 2019
Yanchu Liu Sun Yat-sen University China 1 2021
Yang Liu University of Waterloo Canada 4 2020
Jan-Frederik Mai XAIA Investment Germany 1 2020
Fabio Maccheroni Bocconi University Italy 1 2021
John A. Major Guy Carpenter USA 1 2015
Tiantian Mao University of Science and Technology of China China 10 2014
Pietro Millossovich Bayes Business School, City University London UK 1 2021
Cosimo Munari University of Zurich Switzerland 1 2020
Marcel Nutz Columbia University USA 1 2020
Liang Peng Georgia State University USA 10 2010
Silvana Pesenti University of Toronto Canada 1 2020
Giovanni Puccetti University of Milan Italy 6 2011
Yongcheng Qi University of Minnesota at Duluth USA 4 2009
Aaditya Ramdas Carnegie Mellon University USA 4 2020
Pietro Rigo University of Pavia Italy 1 2017
Ludger Rüschendorf University of Freiburg Germany 2 2013
Alexander Schied University of Waterloo Canada 2 2018
Hui Shao Nankai University China 1 2016
Yi Shen University of Waterloo Canada 2 2016
Ken Seng Tan Nanyang Technological University Singapore 1 2020
Claudio Tebaldi Bocconi University Italy 1 2021
Andreas Tsanakas Bayes Business School, City University London UK 3 2014
Steven Vanduffel Vrije Universiteit Brussel Belgium 1 2014
Vladimir Vovk Royal Holloway, University of London UK 7 2018
Bin Wang Chinese Academy of Sciences China 14 2010
Fang Wang Capital Normal University China 1 2013
Linxiao Wei Wuhan University of Technology China 2 2019
Yunran Wei Norther Illinois University USA 5 2017
Gordon E. Willmot University of Waterloo Canada 1 2017
Micah Woolstenhulme Guy Carpenter USA 1 2015
Jianming Xia Chinese Academy of Sciences China 1 2021
Zuoquan Xu The Hong Kong Polytechnic University China 1 2017
Jingping Yang Peking University China 7 2009
Virginia Young University of Michigan USA 1 2021
Rongmao Zhang Zhejiang University China 1 2011
Xunyu Zhou Columbia University USA 2 2017
Johanna Ziegel University of Bern Switzerland 3 2014
Ricardas Zitikis University of Western Ontario Canada 4 2016

Students (current and who joined industry later)

Coauthor Affiliation Country #Papers Since
Antonela Beleraj University of Firenze [⇒ industry] Italy 1 2013
Giacomo Cattelan New York University USA 1 2021
Yuyu Chen University of Waterloo Canada 4 2020
Zhijin Chen Peking University [⇒ industry] China 1 2013
Edgars Jakobsons ETH Zurich [⇒ industry] Switzerland 2 2014
Xiao Jiang University of Waterloo [⇒ industry] Canada 1 2013
Zhanyi Jiao University of Waterloo Canada 2 2022
Hengxin Li University of California Berkeley [⇒ industry] USA 1 2019
Lujun Li Peking University [⇒ industry] China 1 2015
Liyuan Lin University of Waterloo Canada 4 2021
Jie Shen University of Waterloo [⇒ industry] Canada 2 2016
Qiuqi Wang University of Waterloo Canada 6 2019
Yuming Wang Peking University [⇒ industry] China 1 2018
Qinyu Wu University of Science and Technology of China China 4 2020
Ziyu Xu Carnegie Mellon University USA 2 2021
Alex Yu Georgia State University [⇒ industry] USA 1 2017
Zhenyuan Zhang Stanford University USA 1 2022

Acknowledgements

My current and past research is mainly supported by the Natural Sciences and Engineering Research Council of Canada (Discovery Grants), the Society of Actuaries (CAE Research Grants), and the Sun Life Fellowship (Endowed Chair). I also receive support from the University, and from research and institutional grants of my collaborators.