| Publication | Date of Publication | Type |
|---|
An unexpected stochastic dominance: Pareto distributions, dependence, and diversification
(available as arXiv preprint) | N/A | Paper |
Testing mean and variance by e-processes
(available as arXiv preprint) | N/A | Paper |
Invariant correlation under marginal transforms
(available as arXiv preprint) | N/A | Paper |
Max-stability under first-order stochastic dominance
(available as arXiv preprint) | N/A | Paper |
Combining exchangeable p-values
(available as arXiv preprint) | N/A | Paper |
Allocation Mechanisms in Decentralized Exchange Markets with Frictions
(available as arXiv preprint) | N/A | Paper |
Sub-uniformity of harmonic mean p-values
(available as arXiv preprint) | N/A | Paper |
Distorted optimal transport
Mathematics of Operations Research | 2026-09-15 | Paper |
The ESG rating game: deviation, disagreement, and greenwashing
Mathematical Finance | 2026-09-14 | Paper |
Improved thresholds for e-values
The Annals of Statistics | 2026-08-24 | Paper |
On convex order and supermodular order without finite mean
Insurance Mathematics & Economics | 2026-06-23 | Paper |
Counter-monotonic risk sharing with heterogeneous distortion risk measures
Insurance Mathematics & Economics | 2026-06-23 | Paper |
Cash-subadditive risk measures without quasi-convexity
Mathematics of Operations Research | 2026-06-12 | Paper |
Elicitability and identifiability of tail risk measures
Mathematical Finance | 2026-06-12 | Paper |
Subuniformity of harmonic mean p-values
The Canadian Journal of Statistics | 2026-05-27 | Paper |
Coherent risk measures and uniform integrability
Finance and Stochastics | 2026-03-23 | Paper |
Monotonic mean-deviation risk measures
Finance and Stochastics | 2026-03-23 | Paper |
"Correction for: ``Combining exchangeable \(P\)-values"""
Proceedings of the National Academy of Sciences of the United States of America | 2026-03-13 | Paper |
Combining exchangeable P-values
Proceedings of the National Academy of Sciences of the United States of America | 2026-03-13 | Paper |
Risk sharing, measuring variability, and distortion riskmetrics
Mathematical Finance | 2026-03-06 | Paper |
Negative dependence in matrix arrangement problems
Annals of Operations Research | 2025-12-19 | Paper |
The reference interval in higher-order stochastic dominance
Economic Theory Bulletin | 2025-12-12 | Paper |
A duality between utility transforms and probability distortions
Theory and Decision | 2025-11-28 | Paper |
Prudence and higher-order risk attitudes in the rank-dependent utility model
Journal of Mathematical Economics | 2025-11-24 | Paper |
Convolution bounds on quantile aggregation
Operations Research | 2025-11-11 | Paper |
Risk exchange under infinite-mean Pareto models
Insurance Mathematics & Economics | 2025-10-23 | Paper |
Max- and min-stability under first-order stochastic dominance
Mathematics and Financial Economics | 2025-10-17 | Paper |
The only admissible way of merging arbitrary e-values
Biometrika | 2025-10-15 | Paper |
Testing the mean and variance by e-processes
Biometrika | 2025-10-15 | Paper |
Anticomonotonicity for preference axioms: the natural counterpart to comonotonicity
Theoretical Economics | 2025-10-01 | Paper |
Proposer of the vote of thanks to Grünwald, de Heide, and Koolen and contribution to the discussion of `safe testing'
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2025-09-25 | Paper |
Optimizing distortion riskmetrics with distributional uncertainty
Mathematical Programming. Series A. Series B | 2025-09-09 | Paper |
Technical note -- an unexpected stochastic dominance: Pareto distributions, dependence, and diversification
Operations Research | 2025-07-17 | Paper |
Simultaneous optimal transport
Transactions of the American Mathematical Society | 2025-07-11 | Paper |
Probabilistic risk aversion for generalized rank-dependent functions
Economic Theory | 2025-06-26 | Paper |
The checkerboard copula and dependence concepts
SIAM Journal on Financial Mathematics | 2025-05-28 | Paper |
Diversification for infinite-mean Pareto models without risk aversion
European Journal of Operational Research | 2025-05-19 | Paper |
A theory of multivariate stress testing
European Journal of Operational Research | 2025-05-16 | Paper |
Multiple testing under negative dependence
Bernoulli | 2025-02-25 | Paper |
Martingale transports and Monge maps
The Annals of Applied Probability | 2025-01-31 | Paper |
Ruodu Wang's contribution to the discussion of `Testing by betting: a strategy for statistical and scientific communication' by Glenn Shafer
Journal of the Royal Statistical Society. Series A. Statistics in Society | 2025-01-31 | Paper |
Joint mixability and notions of negative dependence
Mathematics of Operations Research | 2025-01-28 | Paper |
A new characterization of second-order stochastic dominance
Insurance Mathematics & Economics | 2025-01-17 | Paper |
On the existence of powerful p-values and e-values for composite hypotheses
The Annals of Statistics | 2025-01-03 | Paper |
True and false discoveries with independent and sequential e-values
The Canadian Journal of Statistics | 2024-11-24 | Paper |
Risk concentration and the mean-expected shortfall criterion
Mathematical Finance | 2024-11-20 | Paper |
A Reverse ES (CVaR) Optimization Formula
North American Actuarial Journal | 2024-11-18 | Paper |
e-values as unnormalized weights in multiple testing
Biometrika | 2024-11-13 | Paper |
Invariant correlation under marginal transforms
Journal of Multivariate Analysis | 2024-10-08 | Paper |
False discovery rate control with e-values
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-09-10 | Paper |
Post-selection inference for e-value based confidence intervals
Electronic Journal of Statistics | 2024-09-03 | Paper |
Calibrating Distribution Models from PELVE
North American Actuarial Journal | 2024-08-05 | Paper |
Ruodu Wang's contribution to the discussion of `Estimating means of bounded random variables by betting' by Waudby-Smith and Ramdas
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2024-07-09 | Paper |
A framework for measures of risk under uncertainty
Finance and Stochastics | 2024-04-02 | Paper |
Testing with \(\mathrm{p}^*\)-values: between p-values, mid p-values, and e-values
Bernoulli | 2024-03-26 | Paper |
Testing with \(\mathrm{p}^*\)-values: between p-values, mid p-values, and e-values
Bernoulli | 2024-03-26 | Paper |
Merging sequential e-values via martingales
Electronic Journal of Statistics | 2024-03-25 | Paper |
Merging sequential e-values via martingales
Electronic Journal of Statistics | 2024-03-25 | Paper |
Diversification quotients based on VaR and ES
Insurance Mathematics & Economics | 2024-02-13 | Paper |
Trade-off Between Validity and Efficiency of Merging P-Values Under Arbitrary Dependence
STATISTICA SINICA | 2023-11-09 | Paper |
| Risk Aversion and Insurance Propensity | 2023-10-13 | Paper |
Choquet Regularization for Continuous-Time Reinforcement Learning
SIAM Journal on Control and Optimization | 2023-10-11 | Paper |
Bayes risk, elicitability, and the Expected Shortfall
Mathematical Finance | 2023-09-28 | Paper |
Ordering and inequalities for mixtures on risk aggregation
Mathematical Finance | 2023-09-28 | Paper |
Pairwise counter-monotonicity
Insurance Mathematics & Economics | 2023-07-18 | Paper |
Confidence and discoveries with e-values
Statistical Science | 2023-07-07 | Paper |
One Axiom to Rule Them All: A Minimalist Axiomatization of Quantiles
SIAM Journal on Financial Mathematics | 2023-07-04 | Paper |
| On the existence of powerful p-values and e-values for composite hypotheses | 2023-05-25 | Paper |
An impossibility theorem on capital allocation
Scandinavian Actuarial Journal | 2023-04-18 | Paper |
PELVE: probability equivalent level of VaR and ES
Journal of Econometrics | 2023-04-14 | Paper |
| Multiple testing under negative dependence | 2022-12-19 | Paper |
Fractional stochastic dominance in rank-dependent utility and cumulative prospect theory
Journal of Mathematical Economics | 2022-12-06 | Paper |
Star-Shaped Risk Measures
Operations Research | 2022-12-01 | Paper |
| Martingale Transports and Monge Maps | 2022-09-28 | Paper |
Inf-convolution, optimal allocations, and model uncertainty for tail risk measures
Mathematics of Operations Research | 2022-09-26 | Paper |
Parametric measures of variability induced by risk measures
Insurance Mathematics & Economics | 2022-09-14 | Paper |
Optimal insurance to maximize RDEU under a distortion-deviation premium principle
Insurance Mathematics & Economics | 2022-05-12 | Paper |
The directional optimal transport
The Annals of Applied Probability | 2022-05-06 | Paper |
Admissible ways of merging \(p\)-values under arbitrary dependence
The Annals of Statistics | 2022-03-23 | Paper |
Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient
Operations Research Letters | 2022-03-11 | Paper |
Risk aggregation under dependence uncertainty and an order constraint
Insurance Mathematics & Economics | 2022-03-10 | Paper |
Risk measures induced by efficient insurance contracts
Insurance Mathematics & Economics | 2022-03-10 | Paper |
Robustness in the optimization of risk measures
Operations Research | 2022-02-18 | Paper |
Distributional transforms, probability distortions, and their applications
Mathematics of Operations Research | 2022-02-08 | Paper |
Competitive equilibria in a comonotone market
Economic Theory | 2022-02-04 | Paper |
| Simultaneous Optimal Transport | 2022-01-10 | Paper |
Scenario-based risk evaluation
Finance and Stochastics | 2021-11-02 | Paper |
| Cash-subadditive risk measures without quasi-convexity | 2021-10-23 | Paper |
E-values: calibration, combination and applications
The Annals of Statistics | 2021-09-28 | Paper |
A theory for measures of tail risk
Mathematics of Operations Research | 2021-09-14 | Paper |
Regulatory arbitrage of risk measures
Quantitative Finance | 2021-07-16 | Paper |
Stochastic decomposition for \(\ell_p\)-norm symmetric survival functions on the positive orthant
Journal of Multivariate Analysis | 2021-06-22 | Paper |
Star-shaped Risk Measures
(available as arXiv preprint) | 2021-03-29 | Paper |
Risk functionals with convex level sets
Mathematical Finance | 2021-03-23 | Paper |
Combining p-values via averaging
Biometrika | 2021-01-21 | Paper |
Characterization, robustness, and aggregation of signed Choquet integrals
Mathematics of Operations Research | 2021-01-08 | Paper |
Distortion riskmetrics on general spaces
ASTIN Bulletin | 2020-12-13 | Paper |
Quantile-based risk sharing
Operations Research | 2020-10-12 | Paper |
| False discovery rate control with e-values | 2020-09-06 | Paper |
Characterizing optimal allocations in quantile-based risk sharing
Insurance Mathematics & Economics | 2020-08-03 | Paper |
Quantile-based risk sharing with heterogeneous beliefs
Mathematical Programming. Series A. Series B | 2020-06-15 | Paper |
Risk aversion in regulatory capital principles
SIAM Journal on Financial Mathematics | 2020-06-08 | Paper |
