Ruodu Wang

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 11,091

SSRN RANKINGS

Top 11,091

in Total Papers Downloads

4,157

CITATIONS

0

Scholarly Papers (34)

1.
Downloads 442 ( 63,384)
Citation 5

Quantile-Based Risk Sharing

Forthcoming, Operations Research
Number of pages: 40 Posted: 10 Mar 2016 Last Revised: 30 Dec 2017
Paul Embrechts, Haiyan Liu and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 398 (71,263)
Citation 2

Abstract:

Loading...

Value-at-Risk, Expected Shortfall, risk sharing, regulatory capital, robustness

Quantile-Based Risk Sharing

Swiss Finance Institute Research Paper No. 17-54
Number of pages: 40 Posted: 10 Jan 2018
Paul Embrechts, Haiyan Liu and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 44 (410,032)
Citation 3

Abstract:

Loading...

Value-at-Risk, Expected Shortfall, risk sharing, regulatory capital, robustness, Arrow-Debreu equilibrium

2.

A Theory for Measures of Tail Risk

Number of pages: 33 Posted: 22 Sep 2016 Last Revised: 01 Sep 2018
Fangda Liu and Ruodu Wang
Central University of Finance and Economics (CUFE) - China Institute for Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 398 (72,116)
Citation 2

Abstract:

Loading...

Basel III, tail risk, risk aggregation, elicitability, Value-at-Risk

3.

How Superadditive Can a Risk Measure Be?

Forthcoming in SIAM Journal on Financial Mathematics (SIFIN)
Number of pages: 32 Posted: 01 Jan 2014 Last Revised: 04 Jun 2015
University of Waterloo - Department of Statistics and Actuarial Science, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and City University London - Cass Business School
Downloads 250 (120,155)
Citation 9

Abstract:

Loading...

distortion risk measures; shortfall risk measures; expectiles; model uncertainty; risk aggregation; superadditivity; coherence

4.

Risk Bounds for Factor Models

Finance and Stochastics, Forthcoming
Number of pages: 31 Posted: 03 Mar 2015 Last Revised: 09 Feb 2017
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 233 (129,041)
Citation 6

Abstract:

Loading...

factor models, risk aggregation, dependence uncertainty, Value-at-Risk

5.

The Most Dangerous Model: A Natural Benchmark for Assessing Model Risk

Society of Actuaries Monograph: Enterprise Risk Management Symposium, 2015
Number of pages: 46 Posted: 30 May 2015 Last Revised: 27 Jun 2015
Guy Carpenter & Company, LLC, University of Waterloo - Department of Statistics and Actuarial Science and Guy Carpenter & Company, LLC
Downloads 218 (137,610)

Abstract:

Loading...

ambiguity aversion, robust control, model risk, Gilboa-Schmeidler, model uncertainty

6.

Risk Aversion in Regulatory Capital Principles

Number of pages: 37 Posted: 10 Sep 2015 Last Revised: 17 Oct 2018
Tiantian Mao and Ruodu Wang
University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 210 (142,641)
Citation 3

Abstract:

Loading...

regulatory capital, risk aversion, risk sharing, stochastic dominance, diversification

7.

Extremal Dependence Concepts

Number of pages: 34 Posted: 14 May 2014 Last Revised: 12 Jun 2015
Giovanni Puccetti and Ruodu Wang
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 201 (148,564)
Citation 14

Abstract:

Loading...

Dependence Modeling, Rearrangements, Copulas, Comonotonicity, Countermonotonicity, Mutual Exclusivity, Joint Mixability

8.

Gini-Type Measures of Risk and Variability: Gini Shortfall, Capital Allocations, and Heavy-Tailed Risks

Number of pages: 32 Posted: 11 Sep 2016
York University - Department of Mathematics and Statistics, University of Waterloo - Department of Statistics and Actuarial Science and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 190 (156,515)
Citation 8

Abstract:

Loading...

risk measure, variability measure, Gini shortfall, Gini capital allocation, Choquet integral.

9.

Characterization, Robustness and Aggregation of Signed Choquet Integrals

Forthcoming in Mathematics of Operations Research
Number of pages: 38 Posted: 24 Apr 2017 Last Revised: 09 Jun 2019
Ruodu Wang, Yunran Wei and Gordon Willmot
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 151 (191,207)
Citation 5

Abstract:

Loading...

comonotonicity, Choquet integrals, risk functionals, risk aggregation, robustness

10.

Worst-Case Range Value-at-Risk with Partial Information

Number of pages: 35 Posted: 21 Feb 2017
Lujun Li, Hui Shao, Ruodu Wang and Jingping Yang
Peking University, National University of Singapore (NUS) - Risk Management Institute, University of Waterloo - Department of Statistics and Actuarial Science and Peking University - School of Mathematical Sciences
Downloads 145 (197,635)
Citation 3

Abstract:

Loading...

model uncertainty, risk aggregation, Range Value-at-Risk, Value-at-Risk, Tail Value-at-Risk, convex order

11.

Collective Risk Models with Dependence Uncertainty

ASTIN Bulletin, Forthcoming
Number of pages: 29 Posted: 26 Mar 2016 Last Revised: 27 Feb 2017
Haiyan Liu and Ruodu Wang
Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 118 (232,037)
Citation 2

Abstract:

Loading...

collective risk model, Value-at-Risk, Expected Shortfall, dependence uncertainty, asymptotic equivalence

12.

Regulatory Arbitrage of Risk Measures

Forthcoming in Quantitative Finance
Number of pages: 27 Posted: 22 Jan 2015 Last Revised: 03 Jul 2015
Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science
Downloads 117 (233,537)
Citation 1

Abstract:

Loading...

risk measures; regulatory arbitrage; subadditivity; Value-at-Risk; regulatory capital

13.

Joint Mixability

Forthcoming in Mathematics of Operations Research
Number of pages: 32 Posted: 30 Jan 2015 Last Revised: 21 Jul 2015
Bin Wang and Ruodu Wang
Beijing University of Technology and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 116 (235,080)
Citation 8

Abstract:

Loading...

joint mixability; multivariate dependence; convex optimization; optimal coupling; risk aggregation

14.

Quantile-Based Risk Sharing with Heterogeneous Beliefs

Swiss Finance Institute Research Paper No. 17-65
Number of pages: 30 Posted: 06 Dec 2017 Last Revised: 17 Jul 2018
Swiss Federal Institute of Technology Zurich, Michigan State University - Department of Mathematics, University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 95 (269,635)
Citation 10

Abstract:

Loading...

Risk Sharing, Competitive Equilibrium, Belief Heterogeneity, Quantiles, Non-Convexity, Risk Measures

15.

Pareto-Optimal Reinsurance Arrangements Under General Model Settings

Number of pages: 35 Posted: 21 Dec 2016
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 94 (271,466)
Citation 7

Abstract:

Loading...

Pareto optimality, optimal reinsurance, comonotonic-semilinearity, comonotonic-convexity, Tail-Value-at-Risk

16.

Competitive Equilibria in a Comonotone Market

Number of pages: 36 Posted: 27 Dec 2017 Last Revised: 27 Jan 2018
Tim J. Boonen, Fangda Liu and Ruodu Wang
University of Amsterdam, affiliation not provided to SSRN and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 92 (275,220)
Citation 2

Abstract:

Loading...

Competitive equilibria, comonotone market, dual utilities, rank-dependent utilities

17.

Robustness in the Optimization of Risk Measures

Number of pages: 29 Posted: 16 Oct 2018
Swiss Federal Institute of Technology Zurich, University of Mannheim and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 90 (279,113)
Citation 1

Abstract:

Loading...

robustness, Value-at-Risk, Expected Shortfall, optimization, financial regulation

18.

Aggregation-Robustness and Model Uncertainty of Regulatory Risk Measures

Finance Stochastics, Forthcoming
Number of pages: 26 Posted: 02 Feb 2015
Paul Embrechts, Bin Wang and Ruodu Wang
Swiss Federal Institute of Technology Zurich, Beijing University of Technology and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 89 (281,072)
Citation 34

Abstract:

Loading...

Value-at-Risk; Expected Shortfall; dependence uncertainty; risk aggregation; aggregation-robustness; inhomogeneous portfolio; Basel III

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Mathematical Finance, Forthcoming
Number of pages: 26 Posted: 20 Nov 2015 Last Revised: 23 Mar 2016
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 85 (291,847)

Abstract:

Loading...

risk aggregation; distortion risk measures; convex risk measures; dependence uncertainty; diversification

Asymptotic Equivalence of Risk Measures Under Dependence Uncertainty

Mathematical Finance, Vol. 28, Issue 1, pp. 29-49, 2018
Number of pages: 21 Posted: 17 Jan 2018
Jun Cai, Haiyan Liu and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, Michigan State University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 1 (671,144)
Citation 7
  • Add to Cart

Abstract:

Loading...

risk aggregation, distortion risk measures, convex risk measures, dependence uncertainty, diversification

20.

Scenario-Based Risk Evaluation

Number of pages: 36 Posted: 29 Aug 2018 Last Revised: 01 Dec 2018
Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 83 (293,457)
Citation 1

Abstract:

Loading...

Scenarios, Risk Measures, Expected Shortfall, Model Uncertainty, Basel Accords, Stress Adjustment, Dependence Adjustment

21.

A Model-Free Continuum of Degrees of Risk Aversion

Number of pages: 42 Posted: 30 Jan 2017 Last Revised: 10 Mar 2017
Tiantian Mao and Ruodu Wang
University of Science and Technology of China (USTC) - Department of Statistics and Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 82 (295,628)

Abstract:

Loading...

risk aversion, risk seeking, stochastic dominance, expected utility, rank-dependent utility, cumulative prospect theory

22.

Characterizing Optimal Allocations in Quantile-Based Risk Sharing

Number of pages: 30 Posted: 17 May 2018 Last Revised: 08 Feb 2019
Ruodu Wang and Yunran Wei
University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 81 (297,803)
Citation 1

Abstract:

Loading...

Risk Sharing, Value-at-Risk, Expected Shortfall, Non-Convexity, Pareto Optimality

23.

Diversification Limit of Quantiles Under Dependence Uncertainty

Extremes. Statistical Theory and Applications in Science, Engineering and Economics ISSN: 1386-1999 (Print) 1572-915X (Online). 2016
Number of pages: 26 Posted: 23 Apr 2015 Last Revised: 23 Feb 2016
Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi, University of Science and Technology of China (USTC) - Department of Statistics and Finance, Beijing Technology and Business University - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 71 (321,288)

Abstract:

Loading...

Value-at-Risk, diversification ratio, extreme value analysis, asymptotics, dependence uncertainty

24.

Dual Utilities Under Dependence Uncertainty

Finance and Stochastics, Forthcoming
Number of pages: 25 Posted: 30 Nov 2017 Last Revised: 16 May 2019
Ruodu Wang, Zuo Quan Xu and Xun Yu Zhou
University of Waterloo - Department of Statistics and Actuarial Science, Hong Kong Polytechnic University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 69 (326,294)
Citation 1

Abstract:

Loading...

Dual Utility; Conditional Joint Mixability; Risk Aggregation; Dependence Uncertainty; Pessimism Effect

25.

Combining P-Values Via Averaging

Number of pages: 26 Posted: 17 May 2018
Vladimir Vovk and Ruodu Wang
University of London - Royal Holloway College and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 68 (328,868)

Abstract:

Loading...

hypothesis testing, multiple hypothesis testing, multiple testing of a single hypothesis, robust risk aggregation

26.

Convex Risk Functionals: Representation and Applications

Number of pages: 29 Posted: 07 Aug 2018
affiliation not provided to SSRN, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 66 (334,145)

Abstract:

Loading...

Law-Invariant Convex Risk Functional, Dual Representation, Robust Evaluation, Optimal Reinsurance Design, Budget Constraint

27.

Negative Dependence in Matrix Arrangement Problems

Number of pages: 26 Posted: 05 Apr 2016
Edgars Jakobsons and Ruodu Wang
ETH Zürich - Department of Mathematics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 60 (350,668)
Citation 2

Abstract:

Loading...

Schur-Convexity, Negative Dependence, Scheduling, Systems Assembly, Archimedean Copulas, Rearrangement Algorithm

28.

Detecting Complete and Joint Mixability

Journal of Computational and Applied Mathematics, 280, 174–187
Number of pages: 19 Posted: 07 Aug 2014 Last Revised: 02 Jun 2015
Giovanni Puccetti and Ruodu Wang
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 54 (368,928)
Citation 11

Abstract:

Loading...

Joint mixability, Complete mixability, Degree of mixability, Variance reduction, Rearrangement algorithm.

29.

Risk Functionals With Convex Level Sets

Number of pages: 34 Posted: 20 Dec 2018
Ruodu Wang and Yunran Wei
University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 50 (381,662)

Abstract:

Loading...

convex level sets, quantiles, expected shortfall, elicitability, backtestability

30.

Optimal Reinsurance in a Market of Multiple Reinsurers Under Law-Invariant Convex Risk Measures

Number of pages: 23 Posted: 02 Nov 2017
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, affiliation not provided to SSRN and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 42 (409,667)
Citation 1

Abstract:

Loading...

Optimal reinsurance design, convex risk measure, Wang's premium principle

31.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Forthcoming in Mathematical Finance
Number of pages: 32 Posted: 20 Dec 2018
Cass Business School, City, University of London, Georgia State University - Risk Management & Insurance Department, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
Downloads 34 (441,389)

Abstract:

Loading...

Bootstrap, Capital Allocation, Expected Shortfall, Nonparametric Estimation, Sensitivity Analysis, Value-at-Risk

32.

Centers of Probability Measures Without the Mean

Number of pages: 18 Posted: 07 Apr 2017 Last Revised: 09 Aug 2017
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Pavia, Beijing University of Technology and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 29 (463,944)

Abstract:

Loading...

Cauchy distribution, Complete mixability, Joint mixability, Multivariate dependence

33.

Is the Inf-convolution of Law-invariant Preferences Law-invariant?

Number of pages: 22 Posted: 13 May 2019
Peng Liu, Ruodu Wang and Linxiao Wei
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 24 (489,980)

Abstract:

Loading...

law-invariance, inf-convolution, preferences, risk functionals, risk sharing

34.

Weak Comonotonicity

Number of pages: 21 Posted: 28 Dec 2018
Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and University of Western Ontario - Department of Statistical and Actuarial Sciences
Downloads 9 (577,320)

Abstract:

Loading...