Paraffin wax is a general term coined to any alkane or hydrocarbon with a formula CnH2n+2. Paraffin waxes refer to any mixtures of the said hydrocarbon with a long Carbon chain (approximately n=20). At room temperature they can be thick liquid to solid in form. They are commonly used as coatings for food and additives for candles, fertilizers, crayons and lubricants.
Looking back at their structure, paraffin wax contains C-H bonds all over the structure which makes the entire molecule neutral or without partial charges. This accounts to their insolubility with water. Paraffin waxes are insoluble because of its non-polar characteristic. All alkanes are non-polar in nature. And since we always say that "like dissolves like", water being a polar molecule, cannot dissolve paraffin waxes.
Other example of non-polar molecules which are not soluble in water are: Boron trifluoride, benzene, fats, and diatomic gasses.