Ruodu Wang

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

44

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SSRN CITATIONS
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Top 7,553

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70

CROSSREF CITATIONS

82

Scholarly Papers (44)

1.

A Theory for Measures of Tail Risk

Number of pages: 33 Posted: 22 Sep 2016 Last Revised: 06 Nov 2019
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 496 (61,143)
Citation 3

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

2.
Downloads 473 ( 64,910)
Citation 7

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 424 (73,422)
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 49 (429,462)
Citation 8

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

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 255 (130,299)
Citation 4

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

4.

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 245 (135,627)
Citation 2

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

5.

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 243 (136,731)
Citation 7

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

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 230 (144,268)

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

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 208 (158,746)
Citation 7

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

8.

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 University of Western Ontario
Downloads 205 (160,861)
Citation 1

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

9.

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
Downloads 201 (163,868)
Citation 8

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

10.

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, Northern Illinois University and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 198 (166,164)
Citation 5

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

11.

Combining P-Values Via Averaging

Forthcoming, Biometrika
Number of pages: 29 Posted: 17 May 2018 Last Revised: 14 Dec 2019
Vladimir Vovk and Ruodu Wang
University of London - Royal Holloway College and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 188 (174,195)
Citation 2

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

12.

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 174 (186,619)

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

13.

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 161 (199,480)
Citation 3

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

14.

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 130 (237,234)
Citation 1

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

15.

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 130 (237,234)
Citation 9

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

16.

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 123 (247,293)
Citation 2

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

17.

Robustness in the Optimization of Risk Measures

Number of pages: 33 Posted: 16 Oct 2018 Last Revised: 13 Aug 2019
Swiss Federal Institute of Technology Zurich, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 121 (250,433)
Citation 1

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

18.

Scenario-Based Risk Evaluation

Number of pages: 37 Posted: 29 Aug 2018 Last Revised: 25 Sep 2019
Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 119 (253,577)
Citation 2

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

19.

Risk Functionals With Convex Level Sets

Forthcoming in Mathematical Finance
Number of pages: 39 Posted: 20 Dec 2018 Last Revised: 28 Apr 2020
Ruodu Wang and Yunran Wei
University of Waterloo - Department of Statistics and Actuarial Science and Northern Illinois University
Downloads 117 (256,746)
Citation 1

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

20.

PELVE: Probability Equivalent Level of VaR and ES

Number of pages: 44 Posted: 12 Dec 2019 Last Revised: 26 May 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 111 (266,478)

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

21.

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 106 (275,302)
Citation 6

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

22.

Competitive Equilibria in a Comonotone Market

Number of pages: 36 Posted: 27 Dec 2017 Last Revised: 20 Nov 2019
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 105 (277,123)
Citation 3

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

23.

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 Northern Illinois University
Downloads 101 (284,544)
Citation 2

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

24.

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 99 (288,326)
Citation 13

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

25.

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 99 (288,326)
Citation 7

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

26.

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 96 (294,149)

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

27.

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 95 (296,139)

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

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 (317,992)
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 (734,865)
Citation 1
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risk aggregation, distortion risk measures, convex risk measures, dependence uncertainty, diversification

29.

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
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 85 (317,561)
Citation 2

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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

30.

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, Hong Kong Polytechnic University and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 77 (336,783)
Citation 1

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

31.

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 74 (344,564)

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

32.

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 61 (381,497)
Citation 2

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

33.

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 58 (391,050)
Citation 5

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

34.

Combining e-values and p-values

Number of pages: 47 Posted: 01 Jan 2020 Last Revised: 26 May 2020
Vladimir Vovk and Ruodu Wang
University of London - Royal Holloway College and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 53 (407,842)

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

35.

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 51 (414,805)
Citation 1

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

36.

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 Northern Illinois University
Downloads 50 (418,404)

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comonotonicity; Choquet integrals; convexity; convex order; continuity

37.

Inf-convolution and Optimal Allocations for Tail Risk Measures

Number of pages: 25 Posted: 05 Dec 2019
Fangda 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 49 (422,051)

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

38.

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
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 48 (425,737)
Citation 1

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

39.

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 (465,983)
Citation 1

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

40.

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 32 (493,634)
Citation 1

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Cauchy distribution, Complete mixability, Joint mixability, Multivariate dependence

41.

Trade-Off between Anytime- and Sometime-Valid Methods for Merging P-Values

Number of pages: 34 Posted: 01 May 2020
Yuyu Chen, Peng Liu, Ken Seng Tan and Ruodu Wang
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 24 (537,585)

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42.

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 University of Western Ontario
Downloads 20 (562,245)
Citation 2

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43.

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 (700,957)
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bootstrap, capital allocation, expected shortfall, nonparametric estimation, sensitivity analysis, value‐at‐risk

44.

A Critical Comparison of Two Notions of Fractional Stochastic Dominance

Number of pages: 37
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 1

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