Jason Jushen Zou
I am currently a Ph.D. student in Finance at the Johnson Graduate School of Management, Cornell University.
I received my graduate study from the School of Economics, Peking University from 2022 fall to 2023 fall.
In June 2022, I received my bachelor's degree from Renmin University of China, with B.A. in Finance and B.Sc. in Mathematics.
Research Interests:
Market Microstructure
Information Economics in Financial Markets
Corporate Finance
International Finance
Contact Information:
Email: jz2274@cornell.edu
Publications
Revisiting the optimal insurance design under adverse selection: distortion risk measures and tail-risk overestimation, with Zhihang Liang (Paris School of Economics) and Wenjun Jiang (University of Calgary), Insurance: Mathematics and Economics, Vol 104: 200-221, 2022.
Abstract: This paper studies the design of optimal insurance from an insurer’s perspective when it is subject to adverse selection issue. Different from the literature, the insureds who are exposed to different types of risks are allowed to apply different preference measures. By assuming that the insureds’ preferences are dictated by some distortion risk measures that always over-estimate the tail risk, we figure out the optimal policy menu without assuming the parametric form of indemnity functions. We also find that the insureds who deem their losses riskier than those of others will always purchase full insurance, which is consistent with the results in past studies. Furthermore, we show that in the presence of adverse selection the optimal policy menu always outperforms the optimal single policy in the sense that the former can yield a larger expected profit for the insurer. This outcome also echoes some existing results in the literature.