Ruodu Wang

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

61

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283

CROSSREF CITATIONS

82

Scholarly Papers (61)

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 764 (63,527)
Citation 16

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

2.
Downloads 644 (79,095)
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 494 (108,802)
Citation 4

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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 150 (367,857)
Citation 11

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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: 63 Posted: 01 Jan 2020 Last Revised: 26 Jan 2024
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 639 (79,829)

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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 427 (130,739)
Citation 7

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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 364 (156,583)
Citation 31

Abstract:

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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
Swiss Federal Institute of Technology Zurich, University of Waterloo and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 349 (163,936)
Citation 7

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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 336 (170,756)
Citation 9

Abstract:

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

8.

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 Bayes Business School (formerly Cass), City, University of London
Downloads 334 (171,870)
Citation 5

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

9.

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 318 (182,200)
Citation 9

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

10.

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 316 (182,200)

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

11.

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 305 (189,163)
Citation 8

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

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 292 (198,111)
Citation 4

Abstract:

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

13.

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 268 (216,213)
Citation 9

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

14.

A Theory of Multivariate Stress Testing

Number of pages: 45 Posted: 23 Nov 2021 Last Revised: 07 Jun 2023
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 257 (225,441)
Citation 2

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

15.

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 250 (231,751)
Citation 5

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

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 250 (231,751)
Citation 17

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

17.

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 249 (232,619)
Citation 20

Abstract:

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

18.

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 238 (243,162)
Citation 7

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

19.

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
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 236 (245,113)

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

20.

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 225 (256,548)
Citation 10

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

21.

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
The University of Illinois at Urbana-Champaign, University of Essex and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 217 (265,479)
Citation 2

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

22.

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 204 (280,996)

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

23.

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 201 (284,847)
Citation 2

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

24.

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 189 (301,164)
Citation 1

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

25.

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 179 (316,106)
Citation 2

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

26.

Bayes Risk, Elicitability, and the Expected Shortfall

Mathematical Finance, forthcoming
Number of pages: 32 Posted: 24 Nov 2020 Last Revised: 23 Feb 2022
Swiss Federal Institute of Technology Zurich, University of Science and Technology of China (USTC) - Department of Statistics and Finance, Georgia State University - J. Mack Robinson College of Business and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 173 (325,809)

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

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 Finance and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 173 (325,809)
Citation 4

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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 170 (330,757)
Citation 3

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

29.

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 170 (330,757)
Citation 2

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

30.

Diversification quotients: Quantifying diversification via risk measures

Number of pages: 58 Posted: 07 Jul 2022 Last Revised: 02 Jul 2024
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 165 (339,439)
Citation 1

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Expected Shortfall, axiomatic framework, diversification benefit, portfolios, quasi-convexity

31.

An Impossibility Theorem on Capital Allocation

Scandinavian Actuarial Journal, forthcoming
Number of pages: 18 Posted: 18 Nov 2021 Last Revised: 24 Jun 2022
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 157 (354,144)
Citation 3

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

32.

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 157 (354,144)

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

33.

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 155 (357,956)
Citation 13

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

34.

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, Georgia State University - J. Mack Robinson College of Business and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 151 (365,601)
Citation 5

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

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 147 (373,712)
Citation 13

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

36.

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 146 (375,791)
Citation 4

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

37.

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 141 (386,334)
Citation 8

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

38.

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 141 (386,334)
Citation 17

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

39.

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 131 (409,243)
Citation 3

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

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
Georgia State University - J. Mack Robinson College of Business, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 120 (440,106)
Citation 11

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comonotonicity; Choquet integrals; convexity; convex order; continuity

41.

Simulation and Data Analysis for E-backtesting

Number of pages: 27 Posted: 02 Feb 2023
Qiuqi Wang, Ruodu Wang and Johanna Ziegel
Georgia State University - J. Mack Robinson College of Business, University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 119 (440,106)

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

42.

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 105 (482,661)
Citation 1

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

43.

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 104 (485,901)

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

44.

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 104 (485,901)

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

45.

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 98 (506,097)
Citation 2

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

46.

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 98 (506,097)
Citation 4

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

47.

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 97 (509,404)

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Hypothesis testing; multiple hypothesis testing; validity; efficiency

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
The University of Illinois at Urbana-Champaign, University of Waterloo - Department of Statistics and Actuarial Science and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 96 (512,846)

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

49.

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 82 (565,850)
Citation 1

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

50.

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
Georgia State University - J. Mack Robinson College of Business, University of Waterloo - Department of Statistics and Actuarial Science and Western University
Downloads 80 (574,264)
Citation 1

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

51.

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 78 (582,717)
Citation 6

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

52.

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 72 (609,287)

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

53.

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 70 (618,684)
Citation 1

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

54.

E-backtesting

Number of pages: 58 Posted: 22 Sep 2022
Qiuqi Wang, Ruodu Wang and Johanna Ziegel
Georgia State University - J. Mack Robinson College of Business, University of Waterloo - Department of Statistics and Actuarial Science and University of Bern
Downloads 68 (628,335)

Abstract:

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

55.

An Efficient Approach to Quantile Capital Allocation and Sensitivity Analysis

Forthcoming in Mathematical Finance
Number of pages: 32 Posted: 20 Dec 2018
City University London - The Business School, Georgia State University - Risk Management & Insurance Department, University of Waterloo - Department of Statistics and Actuarial Science and Georgia State University
Downloads 68 (628,335)

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

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 67 (633,209)
Citation 4

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57.

A Duality Between Utility Transforms and Probability Distortions

Number of pages: 24 Posted: 31 Aug 2023 Last Revised: 26 Mar 2024
Georgetown University - Department of Economics, University of Essex and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 63 (653,537)

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Distributional transforms; probability distortions; utility transforms; rank- dependent-utility transforms; quantiles

58.

Variance Optimality of Empirical Martingale Simulation Estimators

Number of pages: 29 Posted: 16 Nov 2023
Stevens Institute of Technology - School of Business, Lingnan (University) College, Sun Yat-sen University, Guangzhou, China., University of Waterloo - Department of Statistics and Actuarial Science, Fudan University School of Economics and Florida State University
Downloads 55 (697,512)

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Empirical martingale simulation, Monte Carlo, Option pricing, Markov process, Stein’s lemma

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 53 (709,094)
Citation 1

Abstract:

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

60.

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
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Citation 1

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Cauchy distribution, Complete mixability, Joint mixability, Multivariate dependence

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NBER Working Paper No. w31656
Number of pages: 82 Posted: 11 Sep 2023
University of Wisconsin - Madison, Yale UniversityYale University - Cowles Foundation, University of Waterloo - Department of Statistics and Actuarial Science and Stanford University
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