Aihua Zhang

Lecturer in Actuarial ScienceAihua Zhang

Director of MSc in Actuarial Science

Department of Mathematics, University of Leicester

Email: az90 at

Member of Institute and Faculty of Actuaries' Risk and Customer Outcomes Research Working Party

Personal details

Fellow of the Higher Education Academy (FHEA)

PhD in Financial Mathematics (Magna Cum Laude, Fraunhofer ITWM, Germany)

MSc in Financial Mathematics (1.0 Top grade,TU Kaiserslautern,Germany)

MBA study in Strategic Carbon Management (with Postgraduate Certificate in Management, UEA, UK)

MSc study in Economics (University of Edinburgh)

MSc in Mathematics Education (CCNU, China)

BSc in Mathematics (CCNU, China)

Prior to joining University of Leicester, I worked at Nottingham University Business School (China), University of Munich (LMU, Germany), University of Glasgow, University of St Andrews and China Petroleum University (Beijing).

I have been invited to act as a reviewer for the following international journals:

Quantitative Finance; Mathematical Finance; IMA Journal of Management Mathematics; Journal of Industrial and Management Optimization; Investment management and Financial Innovations; Applied Mathematics and Computation; ANZIAM Journal; Stochastics; European Actuarial Journal; North American Actuarial Journal.


CT7 Business Economics and CT8 Financial Economics


Working papers

  1. Zhang, A., Zhang, Y., Zhao, Y. and Borgia, D. (2017) Portfolio Selection in Heston's Stochastic Volatility Model Using a Contingent Claim, under review PDF
  2. Ewald, C., Wu, Y. and Zhang, A. (2017) Pricing Asian Options with Stochastic Convenience Yields and Jump Diffusions, under review. PDF
  3. Ewald, C.,  Zhang, A., and Zong, Z. (2017) On the Calibration of the Schwartz Two-Factor Model to WTI Crude Oil Options and the Extended Kalman Filter, under review.
  4. Ewald, C.,  Zhang, A., and Zong, Z. (2017)  On the consistency of benchmark approaches to calibrate the Schwartz two-factor model for commodity futures, under review.
  5. Andrés-Sánchez, J. d., González-Vila P. L. and Zhang, A. (2017) Using fuzzy set theory to evaluate medically underwritten life annuities, accepted to be presented at IAA Life Colloquium, Barcelona 2017.
  6. Dias, A, Ismail, I. and Zhang, A. (2017)  Copula Based Hierarchical Risk Aggregation: Evidence from Australian Insurance Industry, presented at the 21st International Congress on Insurance: Mathematics and Economics, Vienna, July 6-7, 2017.
  7. Lam, K.K, Wang, B. and Zhang, A. (2017) Unemployment and mortality rates: evidence from Japan.
  8. Debt,  Deficits, and Finite Horizons: the continuous time stochastic case (joint with Christian Ewald, Charles Nolan, 2015), PDF

Refereed journal and media articles

    1. Zhang, A. (2017) What could have tipped the EU referendum result in favour of Remain, August 16, 2017, The Conversation.
    2. Zhang, A. (2017) New Findings on Key Factors Influencing the UK's Referendum on Leaving the EU, World Development, 7 Aug 2017.
    3. Ewald, C., Zhang, A. (2017) On the Effects of Changing Mortality Patterns on Investment, Labour and Consumption under Uncertainty. Insurance Mathematics and Economics.
    4. The IFoA's Risk and Customer Outcomes Working Party, IFoA (2017) Do customers understand our life insurance products? British Actuarial Journal, to appear.
    5. Zhang, A., (2012) The real terminal wealth optimization with index bond: Equivalence of real and nominal portfolio choices for CRRA utility. IMA Journal of Management Mathematics 23, 29-39.
    6. Korn, R., Siu, T. K., Zhang, A. (2011) Asset allocation for a DC pension fund under regime-switching environment, European Actuarial Journal, Volume 1, Supplement 2, 361-377.
    7. Zhang, A., (2010) A closed-form solution to the continuous-time consumption model with endogenous labor income, Decisions in Economics and Finance, Volume 33, Number 2, 149-167.
    8. Zhang, A., Ewald, C., (2010)Optimal investment for a pension fund under inflation risk. Mathematical Methods of Operations Research, 71, 353-369.
    9. Zhang, A., (2010) Pension funds under inflation risk, Pension Fund Risk Management: Financial and Actuarial Modeling, Chapman and Hall/CRC.
    10. Zhang, A., (2007) A secret to create a complete market from an incomplete market, Applied Mathematics and Computation 191, 253-262.
    11. Zhang, A., Korn, R., Ewald, C., (2007) Optimal management and inflation protection for defined contribution pension plans, European Actuarial Journal, Volume 28 (2), 239-258.
    12. Zhang, A., (2007) Optimal Consumption, Labour Supply and Portfolio Rules in a Continuous-time Life Cycle Model, Proceedings of the Second Conference on Game Theory and Applications, World Academic Press.
    13. Ewald, C., Zhang, A., (2006) A New Method for the Calibration of Stochastic Volatility Models: The Malliavin Gradient Method, Quantitative Finance, Volume 6 (2), 147-158.


      • Actuarial Science: Pensions, Annuities, longevity/mortality-linked products, Risk Management, Determinants of Life Expectancy.
      • Financial Mathematics: Asset Pricing, Portfolio Management
      • Economics: Economic Dynamics and Econometrics
      • Miscellany: Business Valuation, Accounting, and Carbon Finance

      Major recent grants and honours

      • 2012-2015: Grant Holder (PI), Research Grant  ¥ 260,000 (≈ £30,000 / $52,000), National Natural Science Foundation (China) 国家自然科学基金面上项目
      • 2011-2012: Grant Holder (PI), Research Grant ¥ 50,000 (≈ £5,675 / $10,000), Zhejiang Provincial Natural Science Foundation (China)
      • 2011-2012: Grant Holder (PI), Research Grant ¥ 30,000 (≈ £3,400 /$6,000), Ningbo Natural Science Foundation (China)
      • 2009: Candidate for Ningbo ‘4321 Talent Project’+ ¥ 10,000 prize (≈£1,135 / $2000) ,  Ningbo Municipal Government, China


      Current PhD students

      1. Nur Ain Ayunni Sabri: Commenced in Sept 2015

      Fully funded by Ministry of Higher Education Malaysia

      Emailnaas2 at

      Current research topic: Annuitization and Asset Allocation

      2. Isaudin Ismail: Commenced in Nov. 2015

      Fully funded by Ministry of Higher Education Malaysia

      Emailii31 at

      Current research topic: Risk Analysis in Insurance

      3. Ka Kin Lam: Commenced in Nov. 2016

      Co-supervising with Dr. W Bo

      Email: kkl21 at

      4. Muhammad Alkhudaydi: Commenced in May 2017

      Fully funded by Saudi government

      Email:  mhaa4 at

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