Ruodu Wang

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

  • University of Waterloo - Department of Statistics and Actuarial Science

SCHOLARLY PAPERS

59

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Scholarly Papers (59)

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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 734 (56,152)
Citation 9

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

2.

Quantile-Based Risk Sharing

Downloads 602 (72,636)
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 478 (95,605)
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 124 (361,307)
Citation 7

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

3.

A Theory of Credit Rating Criteria

Number of pages: 59 Posted: 01 Jan 2020 Last Revised: 07 May 2023
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 (AMSS) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 368 (130,828)

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

4.

PELVE: Probability Equivalent Level of VaR and ES

Journal of Econometrics, Forthcoming
Number of pages: 53 Posted: 12 Dec 2019 Last Revised: 31 Dec 2021
Hanson Li and Ruodu Wang
University of California, Berkeley - Haas School of Business and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 360 (134,027)
Citation 6

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

5.

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 335 (144,898)
Citation 26

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

6.

Robustness in the Optimization of Risk Measures

Operations Research, forthcoming
Number of pages: 45 Posted: 16 Oct 2018 Last Revised: 06 Apr 2021
Paul Embrechts, Alexander Schied and Ruodu Wang
Swiss Federal Institute of Technology Zurich, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 305 (160,089)
Citation 4

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

7.

Combining P-Values Via Averaging

Forthcoming, Biometrika
Number of pages: 29 Posted: 17 May 2018 Last Revised: 01 Sep 2020
Vladimir Vovk, Vladimir Vovk and Ruodu Wang
Royal Holloway, University of LondonRoyal Holloway, University of London and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 296 (165,134)
Citation 5

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

8.

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 289 (169,342)
Citation 8

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

9.

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
John Major, Ruodu Wang and Micah Woolstenhulme
Guy Carpenter & Company, LLC, University of Waterloo - Department of Statistics and Actuarial Science and Guy Carpenter & Company, LLC
Downloads 287 (170,551)

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

10.

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
Ruodu Wang, Valeria Bignozzi and Andreas Tsanakas
University of Waterloo - Department of Statistics and Actuarial Science, Università di Milano Bicocca - Dipartimento di Statistica e Metodi Quantitativi and Bayes Business School (formerly Cass), City, University of London
Downloads 285 (171,807)
Citation 5

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

11.

Risk Bounds for Factor Models

Finance and Stochastics, Forthcoming
Number of pages: 31 Posted: 03 Mar 2015 Last Revised: 09 Feb 2017
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Ruodu Wang
Grenoble Ecole de Management, University of Freiburg, Vrije Universiteit Brussel (VUB) and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 277 (176,939)
Citation 9

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

12.

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, Vladimir Vovk and Ruodu Wang
Royal Holloway, University of LondonRoyal Holloway, University of London and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 247 (198,432)
Citation 3

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

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 235 (208,232)
Citation 18

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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
Edward Furman, Ruodu Wang and Ricardas Zitikis
York University - Department of Mathematics and Statistics, University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 233 (209,918)
Citation 9

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

15.

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 228 (215,336)
Citation 6

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

16.

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 228 (214,449)
Citation 9

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

17.

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 207 (234,688)
Citation 10

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

18.

Inf-convolution, Optimal Allocations, and Model Uncertainty for Tail Risk Measures

Mathematics of Operations Research, forthcoming
Number of pages: 44 Posted: 05 Dec 2019 Last Revised: 18 Jan 2022
Fangda Liu, Tiantian Mao, Ruodu Wang and Linxiao Wei
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 192 (251,231)

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

19.

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 187 (257,233)
Citation 2

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

20.

One Axiom To Rule Them All: A Minimalist Axiomatization of Quantiles

SIAM Journal on Financial Mathematics, forthcoming
Number of pages: 24 Posted: 18 Nov 2021 Last Revised: 21 Feb 2023
Tolulope Fadina, Peng Liu and Ruodu Wang
University of Essex, University of Essex and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 180 (266,094)

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quantiles; median; ordinality; quantile maximization; Value-at-Risk

21.

A Theory of Multivariate Stress Testing

Number of pages: 45 Posted: 23 Nov 2021 Last Revised: 21 Jul 2022
Pietro Millossovich, Andreas Tsanakas and Ruodu Wang
The Business School (formerly Cass), Bayes Business School (formerly Cass), City, University of London and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 179 (267,300)
Citation 2

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Stress testing, sensitivity analysis, dependence, change of measure, risk measure, probability distortion, systemic risk.

22.

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 172 (276,863)
Citation 1

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

23.

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 171 (278,244)
Citation 1

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

24.

Bayes Risk, Elicitability, and the Expected Shortfall

Mathematical Finance, forthcoming
Number of pages: 32 Posted: 24 Nov 2020 Last Revised: 23 Feb 2022
Paul Embrechts, Tiantian Mao, Qiuqi Wang and Ruodu Wang
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 165 (286,747)

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

25.

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 Essex, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 165 (286,747)
Citation 5

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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

26.

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 164 (288,229)

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

27.

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 155 (302,185)

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

28.

Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory

Journal of Mathematical Economics, Forthcoming
Number of pages: 38 Posted: 05 Sep 2020 Last Revised: 13 Sep 2022
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 148 (313,951)
Citation 1

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

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 140 (328,130)

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

30.

An Impossibility Theorem on Capital Allocation

Scandinavian Actuarial Journal, forthcoming
Number of pages: 18 Posted: 18 Nov 2021 Last Revised: 24 Jun 2022
Yuanying Guan, Andreas Tsanakas and Ruodu Wang
DePaul University - Department of Mathematical Sciences, Bayes Business School (formerly Cass), City, University of London and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 139 (329,997)
Citation 2

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Euler allocation, stress scenarios, top-down consistency, shrinking independence

31.

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 139 (329,997)
Citation 12

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

32.

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 134 (339,584)
Citation 4

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

33.

Optimizing Distortion Riskmetrics With Distributional Uncertainty

Number of pages: 46 Posted: 06 Jan 2021 Last Revised: 25 Feb 2022
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 133 (341,507)
Citation 2

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

34.

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 Hong Kong, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 133 (341,507)
Citation 6

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

35.

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 133 (341,507)
Citation 13

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

36.

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
Paul Embrechts, Haiyan Liu, Tiantian Mao and Ruodu Wang
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 131 (345,487)
Citation 17

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

37.

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 124 (359,928)
Citation 2

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

38.

Convex Risk Functionals: Representation and Applications

Number of pages: 31 Posted: 07 Aug 2018 Last Revised: 22 Oct 2019
Fangda Liu, Jun Cai, Christiane Lemieux and Ruodu Wang
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 120 (368,700)
Citation 3

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

39.

Diversification Quotients: Quantifying Diversification via Risk Measures

Number of pages: 52 Posted: 07 Jul 2022 Last Revised: 22 Jan 2023
Xia Han, Liyuan Lin and Ruodu Wang
Nankai University - School of Mathematical Sciences and LPMC, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 114 (382,495)
Citation 1

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Expected Shortfall, diversification quotient, diversification benefit, portfolios, quasi-convexity

40.

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 105 (405,474)
Citation 5

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comonotonicity; Choquet integrals; convexity; convex order; continuity

41.

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 96 (431,068)
Citation 1

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

42.

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
Valeria Bignozzi, Tiantian Mao, Bin Wang and Ruodu Wang
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 95 (433,957)

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

43.

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 88 (455,422)
Citation 2

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

44.

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, University of Essex, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 77 (493,117)

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Hypothesis testing; multiple hypothesis testing; validity; efficiency

45.

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 76 (496,851)
Citation 2

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

46.

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 75 (500,587)
Citation 5

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

47.

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

Number of pages: 23 Posted: 02 Nov 2017
Jun Cai, Christiane Lemieux, Fangda Liu and Ruodu Wang
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 73 (508,110)
Citation 1

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

48.

A Framework for Measures of Risk under Uncertainty

Number of pages: 31 Posted: 18 Oct 2021 Last Revised: 21 Oct 2021
Tolulope Fadina, Yang Liu and Ruodu Wang
University of Essex, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 69 (523,916)

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risk management, model uncertainty, regulatory capital, variational preferences, law invariance, decision theory.

49.

Risk Measures Induced by Efficient Insurance Contracts

Insurance: Mathematics and Economics, Forthcoming
Number of pages: 26 Posted: 06 Oct 2021 Last Revised: 10 Jan 2022
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 66 (536,349)
Citation 1

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

50.

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 Essex, University of Waterloo - Department of Statistics and Actuarial Science and Wuhan University of Technology
Downloads 64 (544,922)
Citation 1

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

51.

Simulation and Data Analysis for E-backtesting

Number of pages: 27 Posted: 02 Feb 2023
Qiuqi Wang, Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 63 (549,294)

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E-values, E-processes, Expected Shortfall, Value-at-Risk

52.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Forthcoming in Mathematical Finance
Number of pages: 32 Posted: 20 Dec 2018
Alexandru Vali Asimit, Liang Peng, Ruodu Wang and Alex Yu
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 57 (576,718)

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

53.

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

Operations Research Letters forthcoming
Number of pages: 16 Posted: 02 Jul 2021 Last Revised: 06 Feb 2022
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 54 (591,164)

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

54.

Characterizing Fractional Degree Stochastic Dominance by Invariance Laws

Number of pages: 35 Posted: 07 Dec 2022
Tiantian Mao, Ruodu Wang and Lin Zhao
University of Science and Technology of China (USTC) - Department of Statistics and Finance, University of Waterloo - Department of Statistics and Actuarial Science and Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Science (AMSS)
Downloads 52 (601,434)

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stochastic dominance, fractional degree, invariance laws, comparative statics, option pricing

55.

Centers of Probability Measures Without the Mean

Number of pages: 18 Posted: 07 Apr 2017 Last Revised: 09 Aug 2017
Giovanni Puccetti, Pietro Rigo, Bin Wang and Ruodu Wang
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 41 (662,182)
Citation 1

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Cauchy distribution, Complete mixability, Joint mixability, Multivariate dependence

56.

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 39 (674,515)
Citation 3

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57.

Choquet regularization for continuous-time reinforcement learning

Number of pages: 35 Posted: 30 Aug 2022 Last Revised: 10 Feb 2023
Xia Han, Ruodu Wang and Xun Yu Zhou
Nankai University - School of Mathematical Sciences and LPMC, University of Waterloo - Department of Statistics and Actuarial Science and Columbia University - Department of Industrial Engineering and Operations Research (IEOR)
Downloads 29 (742,241)

Abstract:

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Reinforcement learning, Choquet integrals, continuous time, exploration, regularizers, quantile, HJB equations, linear-quadratic control

58.

E-backtesting

Number of pages: 58 Posted: 22 Sep 2022
Qiuqi Wang, Ruodu Wang and Johanna Ziegel
University of Waterloo - Department of Statistics and Actuarial Science, University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 27 (757,044)

Abstract:

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E-values, e-processes, Expected Shortfall, Value-at-Risk, martingales

59.

A Reverse Expected Shortfall Optimization Formula

Number of pages: 21 Posted: 29 Apr 2022
Yuanying Guan, Zhanyi Jiao and Ruodu Wang
DePaul University - Department of Mathematical Sciences, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 23 (788,514)

Abstract:

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Tail Value-at-Risk, Conditional Value-at-Risk, mean excess loss, optimized certainty equivalents, Fenchel-Legendre transform