Nan Zhu

Color portrait of Nan Zhu

Associate Professor of Risk Management

Department Risk Management
Office Address 303 Business Building
Phone Number 814-863-8666
Email Address

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Dr. Nan Zhu is an Associate Professor of Risk Management at the Smeal College of Business, the Pennsylvania State University. His research interests include stochastic mortality modeling, secondary life market, longevity risk management, and insurance contract theory. He earned his B.S. and M.S. in Financial Mathematics, and B.A. in Economics, all from Peking University, and received his Ph.D. in Risk Management and Insurance from Georgia State University. His doctoral thesis was supported by the 2011 Research Grant from the Geneva Association. He is the recipient of the 2017 Redington Prize by the Society of Actuaries.

Dr. Zhu is a Fellow of the Society of Actuaries (FSA) and Charted Enterprise Risk Analyst (CERA).


Ph D, Risk Management and Insurance, Georgia State University, 2012

MS, Financial Mathematics, Peking University, 2007

BA, Economics, Peking University, 2005

BS, Financial Mathematics, Peking University, 2005

Courses Taught

RM 411 – Actuarial Math I (3)
A study of the mathematical theory of life contingencies, single-life functions, and their applications. The course provides a solid understanding of the mathematics of life insurance and annuities, and helps actuarial students prepare for the international MLC actuarial exam (Models in Life Contingencies). Students will produce a paper on selling insurance to someone they know, which includes pricing it based on the person's age and gender. Topics covered include: 1) The mathematics, statistics, and interest theory supporting life contingencies, 2) In depth study of survival models and mortality tables, including Select, Ultimate, and Aggregate Mortality, 3) Pricing and understanding life insurance, and in particular, Whole Life Insurance, Endowment Insurance, and Term Insurance, 4) Pricing and understanding life annuities, including temporary and deferred annuities, 5) Determination and understanding of premiums for life insurance and annuities, and 6) Determination and understanding of life insurance reserves, and multiple ways of calculating them.

RM 415 – Modeling for Actsc (3)
Modeling for Actuarial Science provides detailed actuary principles dealing with models of interest rates used to price liabilities, and models of stock prices and options used to price employee options and cash balance accounts.The first section of the course focuses on discrete models, such as binomial option pricing, which can be used for pricing employee stock options. The second section covers put-call parity, the effects of style, maturity, and strike price on option prices, generalized parity, and exchange options. The third section looks at continuous models such as: 1) the Black-Scholes formula and it's applications to options on stocks, currencies, futures, and market-making, 2) Delta-Hedging and the understanding of and pricing of exotic options (Asian, Barrier, Compound, Gap, and Exchange Options), 3) understanding lognormal distributions, Monte Carlo testing, Brownian motion, Ito's Lemma, historic and implied volatility, Sharpe ratios, interest rate models, and the application of these to liabilities. The course assists in preparing students for the international actuarial exam MFE (Models in Life Contingencies).

Selected Publications

Crocker K. J., Zhu N., "The Efficiency of Voluntary Risk Classification in Insurance Markets." Journal of Risk and Insurance, 2020,
Moenig T., Zhu N., "The Economics of a Secondary Market for Variable Annuities." North American Actuarial Journal, 2020
Bauer D., Russ J., Zhu N., "Asymmetric Information in Secondary Insurance Markets: Evidence from the Life Settlements Market." Quantitative Economics, 2020,
MacMinn R. D., Zhu N., "Hedging Longevity Risk: Does the Structure of the Financial Instrument Matter?." North American Actuarial Journal, 2019,
Moenig T., Zhu N., "Lapse-and-Reentry in Variable Annuities." Journal of Risk and Insurance, 2018,
Bauer D., Fasano M. V., Russ J., Zhu N., "Evaluating Life Expectancy Evaluations." North American Actuarial Journal, 2018,
Bauer D., Gao J., Moenig T., Ulm E. R., Zhu N., "Policyholder Exercise Behavior in Life Insurance: The State of Affairs." North American Actuarial Journal, 2017,
MacMinn R. D., Zhu N., "Hedging Longevity Risk in Life Settlements Using Biomedical Research-Backed Obligations." Journal of Risk and Insurance, 2017,
Zhu N., Bauer D., "A Cautionary Note on Natural Hedging of Longevity Risk." North American Actuarial Journal, 2014,
Zhu N., Bauer D., "Coherent Pricing of Life Settlements Under Asymmetric Information." Journal of Risk and Insurance, 2013,
Zhu N., Bauer D., "Applications of Forward Mortality Factor Models in Life Insurance Practice." Geneva Papers on Risk and Insurance: Issues and Practice, 2011,