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, 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 Charted 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.


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

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.

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 long-term part of the Fundamentals of Actuarial Mathematics (FAM) actuarial exam. Students will gain an understanding of key concepts for selling insurance to various constituents, which includes among other things pricing based on a person's age and gender. Additional topics covered in the course include: 1) Key features of long-term insurance coverages, 2) Key concepts concerning survival models for individual lives, 3) Calculations on the present value random variables associated with long-term insurance benefits and expenses, 4) The premium and policy value calculation process, and 5) Pricing simple financial options under the binomial and Black-Scholes models.

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

Zhu N., Bauer D., "Modeling the Risk in Mortality Projections." Operations Research, 2022
Moenig T., Zhu N., "The Economics of a Secondary Market for Variable Annuities." North American Actuarial Journal, 2020,
Crocker K. J., Zhu N., "The Efficiency of Voluntary Risk Classification in Insurance Markets." Journal of Risk and Insurance, 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, vol. 21, no. 4, 2017, pp. 485-501
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,

Research Impact and Media Mentions

"Life insurance",, Internet,
"PIP insurance",, Internet,
"Metromile insurance",, Internet,