Ruodu Wang

University of Waterloo - Department of Statistics and Actuarial Science

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

48

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Top 6,386

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121

CROSSREF CITATIONS

83

Scholarly Papers (48)

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 590 (55,246)
Citation 4

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

2.
Downloads 504 ( 67,151)
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 440 (78,517)
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 64 (414,321)
Citation 9

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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 269 (136,908)
Citation 7

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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 261 (141,169)
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 257 (143,347)
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 246 (149,784)

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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 245 (150,352)
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 229 (160,425)
Citation 3

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

9.

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 210 (174,117)

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

10.

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 209 (174,933)
Citation 9

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

11.

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 (175,752)
Citation 7

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

12.

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 206 (177,305)
Citation 8

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

13.

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 197 (184,769)
Citation 1

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

14.

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 180 (200,264)
Citation 6

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

15.

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 174 (206,251)
Citation 1

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

16.

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 151 (232,374)
Citation 2

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

17.

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 146 (238,723)

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

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 145 (240,107)
Citation 9

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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 144 (241,520)
Citation 1

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

20.
Downloads 141 (245,646)
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 (246,394)
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.

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 (271,202)
Citation 4

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

22.

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 120 (277,788)
Citation 3

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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

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 (284,605)
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 112 (291,704)
Citation 11

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

25.

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 107 (301,201)
Citation 2

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

26.

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 102 (311,091)
Citation 17

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

27.

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 102 (311,091)
Citation 13

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

28.

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 101 (313,202)

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

29.

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 100 (315,224)

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

30.

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 97 (321,427)

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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 (349,712)
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 (798,720)
Citation 2
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risk aggregation, distortion risk measures, convex risk measures, dependence uncertainty, diversification

32.

Adjusted Expected Shortfall

Swiss Finance Institute Research Paper No. 20-120
Number of pages: 29 Posted: 14 Aug 2020 Last Revised: 22 Dec 2020
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 81 (359,269)

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

33.

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 79 (364,590)
Citation 2

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

34.

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 75 (375,650)

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

35.

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 74 (378,486)

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

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 University of Waterloo - Department of Statistics and Actuarial Science
Downloads 70 (390,129)
Citation 2

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comonotonicity; Choquet integrals; convexity; convex order; continuity

37.

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 (412,350)
Citation 2

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

38.

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 61 (418,932)
Citation 5

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

39.

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 58 (429,338)

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

40.

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

Number of pages: 34 Posted: 01 May 2020 Last Revised: 23 Jul 2020
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 52 (451,293)

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Hypothesis testing; multiple hypothesis testing; validity; efficiency

41.

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 (451,293)
Citation 1

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

42.

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 (459,025)
Citation 1

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

43.

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 45 (479,543)

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

44.

Dependence and Risk Attitudes: Neutrality and Aversion

Number of pages: 15 Posted: 23 Nov 2020
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 39 (506,198)

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

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 (510,773)

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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 (530,560)
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 (581,798)
Citation 3

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48.

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 (763,149)
Citation 2
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bootstrap, capital allocation, expected shortfall, nonparametric estimation, sensitivity analysis, value‐at‐risk