Research

My research interests focus on stochastic optimal control, longevity risk and retirement, agricultural insurance, and predictive analytics. 

Publications:

• Li, Y., Wei, P., & Zhang, J. (2025). Optimal liquidity and risk management: the use of CAT bonds. North American Actuarial Journal, forthcoming. 

• Zhang, J. (2024). Blended Insurance Scheme: A Synergistic Conventional-Index Insurance Mixture. Insurance: Mathematics and Economics, 119, 93-105.

• Li, Y., Guo, J. E., Li, Y., & Zhang, J. (2024). Intensified distortion: Investment decisions with endogenous contracts and time inconsistency. Finance Research Letters, 65, 105539. 

• Zhang, J., & Zhu, X. (2024). Optimal Design of Raising Retirement Age. North American Actuarial Journal, 29 (1), 119-143.

• Lu, Y., Zhang, J., & Zhu, W. (2024). Cyber Risk Modeling: A Discrete Multivariate Count Process Approach. Scandinavian Actuarial Journal, 2024 (6), 625-655.

• Huang, S., Tan, K. S., Zhang, J., & Zhu, W. (2024). Epidemic Financing Facilities: Pandemic Bonds and Endemic Swaps. North American Actuarial Journal, 28 (3), 626-657.

• Huang, S., Zhang, J., & Zhu, W. (2024). Storm CAT Bond: Modeling and Valuation. North American Actuarial Journal, 28 (4), 718-743.

• Chen, Z., Lu, Y., Zhang, J., & Zhu, W. (2024). Managing weather risk with a neural network-based index insurance. Management Science, 70(7), 4306-4327. 

• Tan, K. S., & Zhang, J. (2024). Flexible weather index insurance design with penalized splines. North American Actuarial Journal, 28(1), 1-26. 

• Fan, Q., Tan, K.S., & Zhang, J. (2023). Empirical Tail Risk Management with Model-Based Annealing Random Search. Insurance: Mathematics and Economics, 110, 106-124. 

• Tan, K. S., Weng, C., & Zhang, J. (2022). Optimal Dynamic Longevity Hedge with Basis Risk. European Journal of Operational Research, 297 (1), 325-337. 

• Wang, C. W., Zhang, J., & Zhu, W. (2021). Neighboring Prediction for Mortality. ASTIN Bulletin, 51(3), 689-718.

• Zhang, J., Tan, K. S., & Weng, C. (2019). Index Insurance Design. ASTIN Bulletin, 49 (2), 491-523. 

• Xue, X., Zhang, J., & Weng, C. (2019). Mean‐variance hedging with basis risk. Applied Stochastic Models in Business and Industry, 35(3) 704-716. 

• Zhang, J., Tan, K. S., & Weng, C. (2017). Optimal hedging with basis risk under mean–variance criterion. Insurance: Mathematics and Economics, 75, 1-15. 

Working papers:

• Tan, J., & Zhang, J. (2024). Optimal Disaster Fund Strategy: Seeking the Ideal Mix of Disaster Risk Financing Instruments.

• Diao, L., Weng, C. & Zhang, J. (2024). Integrated Design for Index Insurance.