Nan Zhu
Associate Professor of Risk Management
Department Risk Management
Office Address 303 Business Building
Email Address
nxz24@psu.edu
Nan Zhu
Associate Professor of Risk Management
Department Risk Management
Office Address 303 Business Building
Email Address
nxz24@psu.edu
Dr. Nan Zhu is an Associate Professor of Risk Management at the Smeal College of Business, Pennsylvania State University. He earned his B.S. and M.S. in Financial Mathematics, and B.A. in Economics, all from Peking University in China, and received his PhD in Risk Management and Insurance from Georgia State University. His doctoral thesis was sponsored by the 2011 Research Grant from the Geneva Association.
Dr. Zhu is a Fellow of the Society of Actuaries (FSA) and Chartered Enterprise Risk Analyst (CERA). His research interests include stochastic mortality modeling, secondary life market, longevity risk management, and insurance contract theory. His paper, “Lapse-and-Reentry in Variable Annuities”, was awarded the 2017 Redington Prize by the Society of Actuaries.
Dr. Zhu teaches undergraduate actuarial science courses at Penn State. He was named a Penn State Teaching Fellow and awarded the Alumni/Student Award for Excellence in Teaching in 2023.
Education
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 497 – Special Topics (4)
Formal courses given infrequently to explore, in depth, a comparatively narrow subject which may be topical or of special interest.
RM 411 – LONG TERM ACTUARIAL MATH FUND (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 412 – LONG TERM ACTUARIAL MATH ADV (3)
A study of joint-life and survivor-life functions, population life tables, and multiple decrement theory, with applications to disability and retirement problems. The course provides a solid understanding of the advanced topics in long-term actuarial mathematics, and helps actuarial students prepare for the Advanced Long-Term Actuarial Mathematics (ALTAM) actuarial exam. Topics covered include: 1) Key concepts of multiple state survival models, including calculations of premium and policy values, 2) Analysis of emerging surplus and apply profit testing principles, 3) Basic pension/retirement benefits, including accrual, valuation and funding calculations, and 4) Various equity-linked life insurance guarantees and options, including relevant pricing, reserving and hedging principles. Building on these topics, students will be able to apply theoretical concepts to real-world insurance problems using a project-based approach focused on one or more advanced topics covered in the course.
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
Research Impact and Media Mentions
Editorship
Guest editor of the journal Risks on Innovations in Annuities and Longevity Risk Management.