• Home
• Vitae
• Publications
• Research
• Teaching
• Miscellaneous

---

News Archive

2024

• April 26, 2024

  My past PhD student Qiuqi Wang won the 2024 Pierre Robillard Award for the best PhD thesis in probability or statistics defended at a Canadian university during 2023. See the news from the Statistical Society of Canada.

  

• March 5, 2024

  My 100th peer-reviewed paper is accepted today. Huge thanks to all my co-authors!
  

  

• February 20, 2024

  The suggestions for writing mathematics document has been updated.

  

2023

• December 30, 2023

  Happy new year of 2024! Our paper "Robustness in the optimization of risk measures" receives the Best Paper Award on Financial Engineering in Operations Research from INFORMS.

  

• May 1, 2023

  Very happy to be appointed Canada Research Chair (Tier 1) in Quantitative Risk Management, supported by NSERC.

  

• April 29, 2023

  I uploaded an article of writing guideline: Ruodu Wang's suggestions for writing mathematics in scientific papers. Please feel free to distribute it to your students and colleagues. Any comments and corrections are welcome.

  

• March 17, 2023

  I composed a new working paper series on Optimal transport and its applications. More to come in this series.

  

• February 1, 2023

  Posted two new papers on diversification and p/e-values; see the Publications tab.

  

• January 7, 2023

  Happy new year of 2023! Posted a few new papers on arXiv recently; see the Publications tab.

  

2022

• September 2, 2022

  Posted several new papers on arXiv; see the Publications tab.

  

• August 15, 2022

  Given the increasing mass of recent literature on e-values, a new working paper series: E-values: Theory and methods is composed for students and scholars interested in learning this topic.

  

• April 26, 2022

  Posted a few new papers on arXiv; see the Publications tab.

  

• April 24, 2022

  I am very much honoured to be elected to Fellow of the Institute of Mathematical Statistics (IMS) "For significant contributions to statistics and applied probability in operations research, risk management, and actuarial science; and highly influential interdisciplinary research bridging statistics and probability." The list of 2022 IMS Fellows can be found on the IMS website.

  

• March 24, 2022

  Posted a few new papers on arXiv; see the Publications tab.

  

• January 18, 2022

  Posted two new (very long) papers on arXiv; see the Publications tab. Proud of these two papers, which are in new fields for me. The 100th paper posted online!

  

2021

• December 18, 2021

  An interview article: An interview with Ruodu Wang in Expanding Horizons (Nov 2021) published by the Society of Actuaries.

  

• December 3, 2021

  Posted two new papers on SSRN; see the Publications tab.

  

• October 30, 2021

  Posted a few new papers on arXiv and SSRN; see the Publications tab.

  

• August 10, 2021

  I am very happy and much honoured to be selected as the first recipient of the SOA Actuarial Science Early Career Award from the Society of Actuaries!

  

  

• July 20, 2021

  Posted a new paper on arXiv: A unified framework for bandit multiple testing. In this paper we continue to explore multi-armed bandit problems with e-values and the e-BH procedure.

  

• July 10, 2021

  Posted two new papers on arXiv and SSRN; see the Publications tab. One paper is on optimal insurance and the other one is on variance comparison of estimators for stochastic gradients.

  

• April 1, 2021

  Posted a new paper on arXiv: Start-shaped risk measures (four new co-authors!).

  

2020

• December 13, 2020

  Posted a few new papers on arXiv; see the Publications tab.

  

• December 2, 2020

  I will be teaching a joint Rutgers-CMU-Waterloo PhD course (STAT946/ACTSC991) Game-theoretic statistical inference: betting, e-values and martingale in Winter 2021, together with Professors Glenn Shafer (Rutgers) and Aaditya Ramdas (Carnegie Mellon). PhD students interested in game-theoretic statistics and e-values are welcome.

  

• November 10, 2020

  Posted two working papers on arXiv: Optimizing distortion riskmetrics with distributional uncertainty (a unifying treatment for distortion riskmetrics under various settings of distributional uncertainty); Testing with p*-values: Between p-values and e-values (a new notion of p*-values is introduced for a few good reasons). Comments are appreciated.

  

• October 11, 2020

  Posted two working papers on SSRN: Bayes risk, elicitability, and the Expected Shortfall (a new notion of Bayes risk measures and two new characterizations); Dependence and risk attitudes: Neutrality and aversion (we introduce dependence neutrality and aversion, and show an equivalence between dependence and risk attitudes). Critical comments are very much welcome.

  

• September 17, 2020

  Our paper E-values: Calibration, combination, and applications (previous title: "Combining e-values and p-values") is to appear in the Annals of Statistics. In the future, hopefully more hypothesis testing will be done with e-values (in addition to p-values)!

  

• September 16, 2020

  Posted a new working paper on arXiv: False discovery rate control with e-values. In this paper, we propose the e-BH procedure, similar to the Benjamini-Hochberg procedure, but applied to e-values instead of p-values. The main attraction is that the e-BH procedure always yields a desirable false discovery rate control with no correction, regardless of the dependence structure among e-values. Critical comments are welcome.

  

• July 29, 2020

  Posted a new working paper on arXiv: Admissible ways of merging p-values under arbitrary dependence. This paper is the first systematic study of admissibility issues in p-merging functions. We are able to obtain interesting theoretical results connected to e-values, and strictly improve some classic methods in the literature.

  

• July 27, 2020

  Posted a new working paper on arXiv: Ordering and inequalities for mixtures on risk aggregation. Critical comments are welcome.

  

• July 20, 2020

  Posted a new working paper on arXiv: Convolution bounds on quantile aggregation. Critical comments are welcome.

  

• July 16, 2020

  Posted a new paper on SSRN: Adjusted Expected Shortfall (a new class of simple convex risk measures). Comments are welcome.

  

• July 9, 2020

  Posted a new paper on SSRN: A critical comparison of two notions of fractional stochastic dominance. Comments are welcome.

  

• June 13, 2020

  Due to COVID-19, on-campus seminars have been cancelled in most places. My group members have been organizing an online seminar series, and now it has a website: Weekly Seminars on Risk Management and Actuarial Science . Researchers all over the world on risk management, actuarial science and quantitative finance are welcome to join.

  

• April 20, 2020

  Media coverage: My recent working paper Self-consistency, subjective pricing, and a theory of credit rating (with Nan Guo, Steven Kou, Bin Wang) got the attention of Bloomberg and they wrote a story about it: Riskier CLOs get big boost from S&P in ‘new ratings shopping’.

  

• April 6, 2020

  Posted a new paper on SSRN: Trade-off between anytime- and sometime-valid methods for merging p-values (a comparison on p-values merging methods based on robust risk aggregation). Critical comments are very much welcome.

• March 27, 2020

  I composed four working papers series to summarize some streams of my research work: Axiomatic theory of risk measures; Risk sharing, allocation, and equilibria; Joint mixability; Robust risk aggregation. I plan to update them from time to time. The purpose is to help scholars and students to learn quickly and work on these fascinating topics.

  

• March 4, 2020

  Vladmir Vovk and I started a new series of working papers on hypothesis testing with e-values (website: http://www.alrw.net/e/, maintained by Vladimir). Abstract: "Testing statistical hypothesis is usually done in sciences using p-values. In this project we promote using e-values, which are Bayes factors stripped of their Bayesian content. In some respects they are more convenient: e.g., the arithmetic mean of e-values is again an e-value, whereas merging p-values is more difficult. To a large degree, we are motivated by the algorithmic theory of randomness, which has both p-tests (introduced by Per Martin-Löf) and e-tests (introduced by Leonid Levin)."

  

• February 21, 2020

  Posted a new paper on arXiv: The directional optimal transport (a new experience for me in mass transportation). Critical comments are very much welcome.

  

• February 12, 2020

  The arXiv note True and false discoveries with e-values has been updated (by my co-author) to a full paper. Any comments are welcome.

  

• January 16, 2020

  Posted a small note True and false discoveries with e-values on arXiv. This is a preliminary version and will be updated.

  

2019

• December 28, 2019

  Happy new year of 2020! Posted a new paper on SSRN: Distortion riskmetrics on general spaces (a comprehensive collection of results on what we call "distortion riskmetrics". Please consider using distortion riskmetrics in your actuarial, financial, or statistical applications). Critical comments are very much welcome.

  

• December 15, 2019

  Posted two new papers on SSRN: An axiomatic approach for credit rating (as far as we know, a first theory and an up-to-date empirical analysis of credit rating criteria); Combining e-values and p-values (statistical procedures for multiple hypothesis testing using e-values, and the interplay between e-values and p-values). Critical comments are very much welcome.

  

• November 25, 2019

  Posted two new papers on SSRN: PELVE: Probability equivalent level of VaR and ES (a new distributional index characterizing the balancing point between VaR and ES); Inf-convolution and optimal allocations for tail risk measures (general results on risk sharing for tail risk measures). Critical comments are very much welcome.

  

• October 30, 2019

  Our paper on merging p-values (with V. Vovk) is accepted by Biometrika. I am particularly happy because the paper was an attempt to apply techniques we developed in risk management and quantitative finance to a classic question in statistics.

  

• August 30, 2019

  Back in Waterloo. Uploaded two new manuscripts on SSRN: An axiomatic foundation for the Expected Shortfall (a first - as far as I know - axiomatic approach to ES), Distributional transforms, probability distortions, and their applications (a mathematical framework for widely used distributional transforms). Critical comments are very much welcome.

  

• June 8, 2019

  My 50th peer-reviewed journal paper is accepted today. Huge thanks to all my co-authors!

  

• April 15, 2019

  Uploaded a new manuscript on SSRN, the first paper of 2019: Is the inf-convolution of law-invariant preferences law-invariant?. The title should already tell the content. Critical comments are very much welcome.

  

• March 14, 2019

  We are organizing the First Waterloo Conference in Statistics, Actuarial Science and Finance (WatSAF1) on Quantitative Risk Management and Financial Technology, April 25-26, 2019, Waterloo, Canada. Registration is now open, with early-bird registration deadline March 28.

  I look forward to seeing all guests and friends in Waterloo in April.

  

• January 3, 2019

  Happy new year! Winter terms starts at Waterloo.

  

2018

• December 12, 2018

  Uploaded a new manuscript on arXiv: Weak comonotonicity. In this paper we introduce a notion of weak comonotonicity with the hope to bridge the gap between the classical comonotonicity and other notions of positive dependence. Critical comments are very much welcome.

  

• November 30, 2018

  Uploaded two new manuscripts on arXiv and SSRN: Risk functionals with convex level sets (first partial characterizations of elicitability in dimension two), Sums of standard uniform random variables (innocent-looking but surprising results on the sums of U[0,1] random variables). Critical comments are very much welcome.

  

• October 9, 2018

  Uploaded a new manuscript on arXiv: Compatible matrices of Spearman's rank correlation. In this small paper, we give a negative answer to the long-standing open question of whether a linear correlation matrix is necessarily a rank correlation matrix. Critical comments are very much welcome.

  

• September 24, 2018

  Uploaded a new manuscript on SSRN: Robustness in the optimization of risk measures. In this paper we develop a notion of robustness with an emphasis on risk optimization problems. Critical comments are very much welcome.

  

• August 20, 2018

  Uploaded a new manuscript on SSRN: Scenario-based risk evaluation. Critical comments are very much welcome.

  

• August 17, 2018

  Back in Waterloo again. Uploaded a new manuscript on SSRN: Convex risk functionals: representation and applications.

  

• July 1, 2018

  Back in Waterloo till July 9.

  

• May 4, 2018

  I am visiting RiskLab and FIM, Department of Mathematics, ETH Zurich until June 30. My office at ETH: HG.G.39.5.
  
  Uploaded a new manuscript on SSRN: Characterizing optimal allocations in quantile-based risk sharing, which is a continuation of my previous work on quantile-based risk sharing. Comments are welcome.

  

• April 22, 2018

  Postdoctoral and PhD positions at the University of Waterloo are currently available. Interested junior scholars or students are welcome to send an email inquiry directly to me.

  

• April 20, 2018

  Uploaded a new manuscript on SSRN: Combining p-values via averaging. This is an attempt of applying results from the area of risk management into a classic problem in statistics. Comments are welcome.

  

• January 1, 2018

  Happy new year!
  A brilliant young student Jie Shen is on the job market this year. Please feel free to contact me or her if you look for candidates for a postdoctoral or junior faculty position in Probability and Statistics.
  
  Starting from January 1, 2018, I serve as Co-Editor of ASTIN Bulletin (specialized area: risk management).
  
  I plan to visit ETH Zurich, Switzerland from May to June this year.

  

2017

• December 20, 2017

  Uploaded a new manuscript on SSRN. Comments are welcome.
  Merry Christmas and happy new year!

  

• November 29, 2017

  Uploaded two new manuscripts on SSRN. Comments are welcome.

  

• November 14, 2017

  I am back in my office in Waterloo.

  

• September 9, 2017

  I will stay in China for a longer period of time, and return to Canada later this fall term.

  

• April 20, 2017

  I am visiting ETH Zurich, Switzerland from April 17 to July 15.

  

• April 10, 2017

  Academics and practitioners in risk management are cordially invited to participate in the Workshop on Risk Measurement and Regulatory Issues in Business, Montreal, Canada, September 11-14, 2017, as part of the Thematic Semester: Risk in complex systems - Models, applications, perceptions, and policy implications, August-December 2017.

  

• January 1, 2017

  Happy new year of 2017! New semester starts at Waterloo.
  I have planned a visit to Zurich, Switzerland from mid April to mid July this year.

  

2016

• December 8, 2016

  I will be on a personal trip from December 10 to December 31, with limited internet access. Merry Christmas!

  

• August 31, 2016

  Back in office. Fall semester starts at Waterloo.

  

• June 20, 2016

  I am visiting the Chinese University of Hong Kong from June 20 to June 24.

  

• June 6, 2016

  I am visiting China for the summer, mostly in Beijing with the Chinese Academy of Sciences.

  I am attending the Sixth International Gerber-Shiu Workshop in Beijing, China, June 8 - June 9.
  I am attending the 2016 Symposium on Financial Engineering and Risk Management in Guangzhou, China, June 12 - June 13.
  I am organizing the Workshop on Random Complex Structures and Data Analysis in Finance, Beijing, China, August 3 - August 7.

  

• May 23, 2016

  I am back in office in Waterloo till June 4.

  

• May 9, 2016

  I am visiting Risklab at ETH Zurich till May 20.

  

• March 16, 2016

  I will be visiting Beijing from 17 March till early May. I am offering a PhD level short course at Peking University.

  

• January 17, 2016

  I am back in my office in Waterloo, Canada.

  

2015

• December 13, 2015

  I will be on a trip from December 14, 2015 to January 14, 2016 with only limited internet access.
  Merry Christmas & Happy New Year.

  

• December 7, 2015

  The website has a new design. Thanks to Ian Yu at Mono for his kind help.

  

• August 25, 2015

  Today, the number of countries that I visited reaches my age.

  

• August 19, 2015

  I am visiting the Department of Mathematics at ETH Zurich till December 2015.

  

• May 4, 2015

  Back in office. Spring term starts.

  

• April 16, 2015

  I will be traveling starting April 18th, with limited internet access.

  

• January 3, 2015

  Back in office. Winter term starts.

  

2014

• December 3, 2014

  I will be traveling starting December 12th, with limited internet access.
  Merry Christmas & Happy New Year.

  

• November 21, 2014

  Interested researchers are invited to look at this research note:
  Current open questions in complete mixability

  

• September 5, 2014

  Back in office. Fall term starts.

  

• June 12, 2014

  I will be traveling from late June to late August.

  I am attending the 11th International Vilnius Conference on Probability Theory and Mathematical Statistics in Vilnius, Lithuania, June 30 - July 4.
  I am attending the 18th International Congress on IME in Shanghai, China, July 10 - July 12.
  I am attending the Workshop on Risk Analysis, Ruin and Extremes in Tianjin, China, July 14 - July 16.
  I will be visiting Europe/China/East Asia for the above period.

  

• May 29, 2014

  Back in office.

  

• April 20, 2014

  I will be visiting ETH Zurich, Switzerland, May 8-22.
  I am attending a workshop on Recent Developments in Dependence Modeling in Brussels, Belgium, May 23.
  I am attending the 2014 Annual Meeting of SSC in Toronto, May 26-28.

  

• April 1, 2014

  Check this out: a new working paper on joint mixability (with Bin Wang).
  This paper contains major progress in my current research. Comments are very much appreciated.

  

• Mar 21, 2014

  I will be visiting Montreal, March 27-29.

  

• Jan 28, 2014

  I am attending the 3rd Workshop on Insurance Mathematics in Quebec City, Jan 31.

  

• Jan 7, 2014

  Back in office.

  

2013

• Dec 7, 2013

  I will be in China from Dec 10, 2013 to Jan 5, 2014.

  

• Nov 25, 2013

  Just came back in Waterloo. I will attend the International Workshop on High-Dimensional Dependence and Copulas in Beijing, Jan 3-5, 2014.

  

Back to Home