My research interest includes the following:
Topic 1. InsurTech: Mutual aid and peer-to-peer insurance
Optimal Risk Pooling of Peer-to-Peer Insurance. Z Chen, R Feng, W Hu and Y Mao. R&R, Working paper.
Peer-to-peer Insurance With Social Network. Z Chen, J Dhaene and T Li. Working paper.
Cost-Effectiveness, Fairness and Adverse Selection in Mutual Aid. Z Chen, R Feng, L Wei and J Zhao. European Financial Management. 2023
Topic 2. Economic epidemiology: Pandemic risk and impact, and insurance solution
Learning from COVID-19: A Catastrophe Mortality Bond Solution in the Post-Pandemic Era. Z Chen, H Li, Y Mao and K Q. Zhou. Working paper.
Fence off Black Swans: The Economics of Insurance for Vaccine Injury. Z Chen, B Chen, and Y Mao*. Oxford Bulletin of Economics and Statistics. 2024
Long-Term Effect of Childhood Pandemic Experience on Medical Major Choice: Evidence from the 2003 SARS Outbreak in China. Z Chen, Y Wang, Y Guan, J Guo and R Xu*, Health Economics. 2023.
Optimal Pandemic Control: Limited Resource and Human Mobility. W Hu, Y Shi, C Chen and Z Chen*. Mathematical Biosciences and Engineering. 2021
Topic 3. Interplay between actuarial and financial risk: Fair valuation and quantitative risk management
Coping with Longevity via Hedging: Fair Dynamic Valuation of Variable Annuities. Z Chen, R Feng, H Li and T Yang*. Insurance: Mathematics and Economics. Accepted, 2024
Financial Literacy Confidence and Retirement Planning: Evidence from China. B Chen, and Z Chen*. Risks. 2023.
Hedge inflation risk of specic purpose guarantee funds. Z Chen, B Chen, Y Hu and H Zhang. European Financial Management. 2022.
A Tail Measure with Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy. W Hu, C Chen, Y Shi and Z Chen*, Methodology and Computing in Applied Probablity. 24, 2022
Fair Dynamic Valuation of Insurance Liabilities via Convex Hedging. 2021. Z Chen*, B Chen, J Dhaene, T Yang. Insurance: Mathematics and Economics 98, 1-13.
Fair Dynamic Valuation of Insurance Liabilities: A Loss Averse Convex Hedging Approach. 2020. Z Chen*, B Chen, J Dhaene. Scandinavian Actuarial Journal, 2020(9), 792–818.
Fair Dynamic Valuation of Insurance Liabilities: Merging Actuarial Judgement with Market-and Time-consistency. 2019. K Barigou, Z Chen*, J Dhaene. Insurance: Mathematics and Economics 88, 19-29.
Fair Daluation of Insurance Liabilities: Merging Actuarial Judgement and Market-consistency. 2017. J Dhaene, B Stassen, K Barigou*, D Linders, Z Chen. Insurance: Mathematics and Economics 76, 14-27.
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