Ruodu Wang

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

50

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7,224

SSRN CITATIONS
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SSRN RANKINGS

Top 6,154

in Total Papers Citations

135

CROSSREF CITATIONS

84

Scholarly Papers (50)

1.

A Theory for Measures of Tail Risk

Mathematics of Operations Research, forthcoming
Number of pages: 32 Posted: 22 Sep 2016 Last Revised: 12 Oct 2020
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 626 (53,291)
Citation 4

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

2.
Downloads 511 ( 68,778)
Citation 8

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 442 (81,215)
Citation 5

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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 69 (411,592)
Citation 8

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

3.

An Axiomatic Foundation for the Expected Shortfall

Management Science, Forthcoming
Number of pages: 38 Posted: 22 Jul 2019 Last Revised: 17 Mar 2020
Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 281 (135,777)
Citation 10

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risk measure, Expected Shortfall, risk concentration, diversification, risk aggregation

4.

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 The Business School (formerly Cass), City, University of London
Downloads 264 (144,828)
Citation 5

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

5.

Risk Aversion in Regulatory Capital Principles

SIAM Journal on Financial Mathematics, Forthcoming.
Number of pages: 37 Posted: 10 Sep 2015 Last Revised: 26 Dec 2019
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 263 (145,369)
Citation 8

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

6.

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 250 (152,836)

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

7.

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 248 (154,065)
Citation 9

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

8.

Combining P-Values Via Averaging

Forthcoming, Biometrika
Number of pages: 29 Posted: 17 May 2018 Last Revised: 01 Sep 2020
Vladimir Vovk and Ruodu Wang
affiliation not provided to SSRN and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 233 (163,633)
Citation 4

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

9.

Robustness in the Optimization of Risk Measures

Operations Research, forthcoming
Number of pages: 45 Posted: 16 Oct 2018 Last Revised: 06 Apr 2021
Swiss Federal Institute of Technology Zurich, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 232 (164,262)
Citation 1

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

10.

PELVE: Probability Equivalent Level of VaR and ES

Number of pages: 43 Posted: 12 Dec 2019 Last Revised: 15 Oct 2020
Hanson Li and Ruodu Wang
University of California, Berkeley - Haas School of Business and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 218 (174,385)
Citation 2

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Value-at-Risk, Expected Shortfall, regulatory capital, heavy tails, portfolio diversification

11.

Self-Consistency, Subjective Pricing, and a Theory of Credit Rating

Number of pages: 47 Posted: 01 Jan 2020 Last Revised: 26 Jan 2020
Nan Guo, Steven Kou, Bin Wang and Ruodu Wang
China Bond Rating Co. Ltd., Boston University, Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 217 (175,149)

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Credit ratings, Structured finance, Dodd-Frank, Axiomatic characterization

12.

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 213 (178,161)
Citation 8

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

13.

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 Jul 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 212 (178,974)
Citation 9

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

14.

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 Western University
Downloads 211 (179,761)
Citation 9

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

15.

E-values: Calibration, combination, and applications

Forthcoming in the Annals of Statistics
Number of pages: 48 Posted: 01 Jan 2020 Last Revised: 22 Sep 2020
Vladimir Vovk and Ruodu Wang
affiliation not provided to SSRN and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 189 (198,818)
Citation 3

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Hypothesis testing, multiple hypothesis testing, Bayes factor, test martingale, admissible decisions

16.

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 187 (200,689)
Citation 6

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

17.

Scenario-Based Risk Evaluation

Finance and Stochastics, forthcoming
Number of pages: 33 Posted: 29 Aug 2018 Last Revised: 04 May 2021
Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 163 (225,840)
Citation 2

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

18.

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 160 (229,472)
Citation 10

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

19.

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 151 (240,816)
Citation 1

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

20.
Downloads 141 (254,513)
Citation 2

Risk Functionals With Convex Level Sets

Forthcoming in Mathematical Finance
Number of pages: 39 Posted: 20 Dec 2018 Last Revised: 31 Jul 2020
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 141 (255,344)
Citation 1

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

Risk Functionals with Convex Level Sets

Mathematical Finance, Vol. 30, Issue 4, pp. 1337-1367, 2020
Number of pages: 31 Posted: 07 Oct 2020
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 0
Citation 1
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backtestability, convex level sets, Expected Shortfall, elicitability, quantiles

21.

Distributional Transforms, Probability Distortions, and Their Applications

Number of pages: 33 Posted: 15 Jul 2019 Last Revised: 13 Apr 2020
Peng Liu, Alexander Schied and Ruodu Wang
affiliation not provided to SSRN, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 132 (267,903)
Citation 3

Abstract:

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distributional transforms, probability distortions, risk measures, option pricing, sensitivity analysis, change of measures, Value-at-Risk, Expected Shortfall, composition of groups

22.

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 124 (280,699)
Citation 4

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

23.

Competitive Equilibria in a Comonotone Market

Economic Theory, forthcoming
Number of pages: 39 Posted: 27 Dec 2017 Last Revised: 01 Oct 2020
Tim J. Boonen, Fangda Liu and Ruodu Wang
University of Amsterdam, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 116 (294,426)
Citation 3

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

24.

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 115 (296,195)
Citation 11

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

25.

Bayes Risk, Elicitability, and the Expected Shortfall

Mathematical Finance, forthcoming
Number of pages: 32 Posted: 24 Nov 2020 Last Revised: 19 Apr 2021
Swiss Federal Institute of Technology Zurich, University of Science and Technology of China (USTC) - Department of Statistics and Finance, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 113 (299,912)

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Bayes risk, quantiles, Expected Shortfall, elicitability, entropic risk measures

26.

Characterizing Optimal Allocations in Quantile-Based Risk Sharing

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 32 Posted: 17 May 2018 Last Revised: 03 Jun 2020
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 108 (309,587)
Citation 2

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

27.

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 107 (311,606)
Citation 17

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

28.

Adjusted Expected Shortfall

Swiss Finance Institute Research Paper No. 20-120, Journal of Banking and Finance, Forthcoming
Number of pages: 30 Posted: 14 Aug 2020 Last Revised: 19 Aug 2021
Matteo Burzoni, Cosimo Munari and Ruodu Wang
Università degli studi di Milano - Dipartimento di Matematica, University of Zurich - Department of Banking and Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 105 (315,565)

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Convex Risk Measures, Tail Risk, Adjusted Expected Shortfall, Stochastic Dominance, Capital Adequacy, Optimization With Risk Measures

29.

A Model-Free Continuum of Degrees of Risk Aversion

Number of pages: 44 Posted: 30 Jan 2017 Last Revised: 01 Apr 2020
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 105 (315,565)

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

30.

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 105 (315,565)
Citation 13

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

31.

Convex Risk Functionals: Representation and Applications

Number of pages: 31 Posted: 07 Aug 2018 Last Revised: 22 Oct 2019
University of Waterloo - Department of Statistics and Actuarial Science, 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 99 (328,100)

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

32.

Inf-convolution and Optimal Allocations for Tail Risk Measures

Number of pages: 44 Posted: 05 Dec 2019 Last Revised: 24 Feb 2021
University of Waterloo - Department of Statistics and Actuarial Science, University of Science and Technology of China (USTC) - Department of Statistics and Finance, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 90 (348,599)

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Risk sharing, Pareto optimality, Value-at-Risk, Range-Value-at-Risk, Non-convex optimization

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 86 (361,729)
Citation 1

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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 (823,325)
Citation 3
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risk aggregation, distortion risk measures, convex risk measures, dependence uncertainty, diversification

34.

Dual Utilities on Risk Aggregation under Dependence Uncertainty

Finance and Stochastics, Forthcoming
Number of pages: 25 Posted: 30 Nov 2017 Last Revised: 30 Jun 2019
Ruodu Wang, Zuo Quan Xu and Xun Yu Zhou
University of Waterloo - Department of Statistics and Actuarial Science, The Hong Kong Polytechnic University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 80 (374,370)
Citation 2

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

35.

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 76 (385,552)

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

36.

A Critical Comparison of Three Notions of Fractional Stochastic Dominance

Number of pages: 40 Posted: 05 Sep 2020
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 75 (388,451)
Citation 1

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

37.

Distortion Riskmetrics on General Spaces

forthcoming in ASTIN Bulletin
Number of pages: 27 Posted: 30 Dec 2019 Last Revised: 26 May 2020
Qiuqi Wang, Ruodu Wang and Yunran Wei
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 73 (394,255)
Citation 2

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comonotonicity; Choquet integrals; convexity; convex order; continuity

38.

Dependence and Risk Attitudes: An Equivalence

Number of pages: 19 Posted: 23 Nov 2020 Last Revised: 08 Jun 2021
Ruodu Wang and Qinyu Wu
University of Waterloo - Department of Statistics and Actuarial Science and University of Science and Technology of China (USTC) - Department of Statistics and Finance
Downloads 71 (400,437)

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risk neutrality, risk aversion, dependence neutrality, concordance order, comonotonicity

39.

Optimizing Distortion Riskmetrics With Distributional Uncertainty

Number of pages: 36 Posted: 06 Jan 2021
Silvana M. Pesenti, Qiuqi Wang and Ruodu Wang
University of Toronto, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 69 (406,624)

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risk measures; deviation measures, distributionally robust optimization, convexification, conditional expectation

40.

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 63 (426,299)
Citation 2

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

41.

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 63 (426,299)
Citation 5

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

42.

Trade-off between validity and efficiency of merging p-values under arbitrary dependence

Number of pages: 40 Posted: 01 May 2020 Last Revised: 17 Aug 2021
Yuyu Chen, Peng Liu, Ken Seng Tan and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, affiliation not provided to SSRN, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 53 (462,557)

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Hypothesis testing; multiple hypothesis testing; validity; efficiency

43.

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, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 52 (466,448)
Citation 1

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

44.

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

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 27 Posted: 13 May 2019 Last Revised: 17 Jan 2020
Peng Liu, Ruodu Wang and Linxiao Wei
affiliation not provided to SSRN, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 50 (474,471)
Citation 1

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

45.

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 38 (528,269)

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

46.

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 34 (548,702)
Citation 1

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Cauchy distribution, Complete mixability, Joint mixability, Multivariate dependence

47.

Weak Comonotonicity

Forthcoming, European Journal of Operational Research
Number of pages: 32 Posted: 28 Dec 2018 Last Revised: 13 Sep 2019
Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 25 (601,840)
Citation 3

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48.

Variance Comparison between Infinitesimal Perturbation Analysis and Likelihood Ratio Estimators to Stochastic Gradient

Number of pages: 13 Posted: 02 Jul 2021
Zhenyu Cui, Yanchu Liu and Ruodu Wang
Stevens Institute of Technology - School of Business, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China. and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 18 (650,420)

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Stochastic Gradient, Infinitesimal Perturbation Analysis, Likelihood Ratio, Variance Comparison, Option Delta

49.

Risk measures induced by efficient insurance contracts

Number of pages: 25
Qiuqi Wang, Ruodu Wang and Ricardas Zitikis
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 7

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Optimal insurance, Expected Shortfall, Pareto optimality, deductible, concentration

50.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Mathematical Finance, Vol. 29, Issue 4, pp. 1131-1156, 2019
Number of pages: 26 Posted: 29 May 2020
Vali Asimit, Liang Peng, Ruodu Wang and Alex Yu
City University, Georgia State University, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
Downloads 1 (786,966)
Citation 3
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bootstrap, capital allocation, expected shortfall, nonparametric estimation, sensitivity analysis, value‐at‐risk