Decision Analysis, Risk Management, Behavioral Economics

2010-2012: Tsinghua University. Postdoctoral in Economics and Management

2005-2010: Tsinghua University. Ph.D. in Mathematics

2001-2005: Tsinghua University. Bachelor in Mathematics

   

2012-present: Academy of Mathematics and Systems Science, University of Chinese Academy of Sciences

2010-2012: Tsinghua University. Postdoctoral Research Fellow in Economics and Management

Courses on Decision Analysis and Behavioral Economics

   

1. Manel Baucells and Lin Zhao, 2019. Everything in Moderation: Foundations and Applications of the Satiation Model. Management Science. Accepted.
2. Rachel Huang, Larry Tzeng and Lin Zhao, 2019. Fractional Degree Stochastic Dominance. Management Science. Accepted.
3. Dongmei Guo, Shouyang Wang and Lin Zhao, 2019. More Stringent Cap or Higher Penalty Fee? Dealing with Procrastination in Environmental Protection. Annals of Economics and Finance. Accepted.
4. Rachel Huang, Larry Tzeng, Jr-Yan Wang and Lin Zhao, 2019. Operational Asymptotic Stochastic Dominance. European Journal of Operational Research. Online Available.
5. Jing Ai, Lin Zhao and Wei Zhu, 2019. Self-Control, Effort Procrastination and Competitive Equilibrium in Insurance Markets. Journal of Risk and Insurance. Online Available.
6. Rachel Huang, Larry Tzeng, Jr-Yan Wang and Lin Zhao, 2019. Comment on "Aging Population, Retirement, and Risk Taking".  Management Science. Online Available.
7. Haoyu Gao, Junbo Wang, Xiaoguang Yang and Lin Zhao, 2019. Borrower Opacity and Loan Performance: Evidence from China. Journal of Financial Services Research. Online Available.
8. Manel Baucells and Lin Zhao, 2019. It is Time to Get Some Rest. Management Science, 65, 1717-1734.
9. Jing Ai, Lin Zhao and Wei Zhu, 2018. Portfolio Choice in Personal Equilibrium. Economics Letters, 170, 163-167.
10. Frank Y. Feng, Michael R. Powers, Ruian Xiao and Lin Zhao, 2017. Berry-Esseen Bounds for Compound-Poisson Loss Percentiles. Scandinavian Actuarial Journal, 2017:6, 519-534.
11. Jing Ai, Lin Zhao and Wei Zhu, 2016. Contracting with Present-Biased Consumers in Insurance Markets. Geneva Risk and Insurance Review, 41, 107-148.
12. Dongmei Guo. Yi Hu, Shouyang Wang and Lin Zhao, 2016. Comparing Risks with Reference Points: A Stochastic Dominance Approach. Insurance: Mathematics and Economics, 70, 105-116.
13. Yi-Chieh Huang, Larry Y. Tzeng and Lin Zhao, 2015. Comparative Ambiguity Aversion and Downside Ambiguity Aversion. Insurance: Mathematics and Economics, 62, 257-269.
14. Lihong Zhang and Lin Zhao, 2013. Quantifying the Impact of Partial Information on Sharpe Ratio Optimization. Probability in the Engineering and Informational Sciences, 27, 375-402.
15. Lin Zhao and Wei Zhu, 2011. Ambiguity Aversion: A New Perspective on Insurance Pricing. ASTIN Bulletin-Journal of International Actuarial Association, 41, 157-189.
16. Bingzheng Chen, Lihong Zhang and Lin Zhao, 2010. On the Robustness of Longevity Risk Pricing. Insurance: Mathematics and Economics, 47, 358-373.

1. Li Ma and Lin Zhao, 2010. Classification of Positive Solitary Solutions of the Nonlinear Choquard Equation. Archive for Rational Mechanics and Analysis, 195, 455-467.
2. Li Ma and Lin Zhao, 2010. Stability for the Time-Dependent Hartree Equation with Positive Energy. Journal of Mathematical Analysis and Applications, 362, 114-124.
3. Li Ma, Xianfa Song and Lin Zhao, 2010. New Monotonicity Formulae for Semilinear Elliptic and Parabolic Systems. Chinese Annals of Mathematics B, 31, 411-432.
4. Li Ma and Lin Zhao, 2008. Uniqueness of Ground States of Some Coupled Nonlinear Schrodinger Systems and Their Application. Journal of Differential Equations, 245, 2551-2565.
   
5. Li Ma and Lin Zhao, 2008. Sharp Thresholds of Blow-Up and Global Existenc for the Coupled Nonlinear Schrodinger System. Journal of Mathematical Physics, 49, 062103.
6. Li Ma and Lin Zhao, 2008. Regularity for Positive Weak Solutions to Semi-Linear Elliptic Equations. Communications on Pure and Applied Analysis, 7, 631-643.
7. Li Ma and Lin Zhao, 2007. Blow-Up of Solutions to the Nonlinear Schrodinge Equations on Manifolds. Journal of Mathematical Physics, 48, 053519
8. Li Ma, Lin Zhao and Xianfa Song, 2007. Gradient Estimate for the Degenerate Parabolic Equation on Manifolds. Journal of Differential Equations, 244, 1157-1177
9. Li Ma, Cong Li and Lin Zhao, 2007. Monotone Solutions to  A Class of Elliptic and Diffusion Equations. Communications on Pure and Applied Analysis, 6, 237-246.
   

1. Junbo Wang, Yun Wang, Xiaoguang Yang and Lin Zhao, 2019. Beyond Spatial Proximity: Social Proximity and Local Bank Lending Performance.
2. James Davies, Michael Hoy and Lin Zhao, 2019. Revisiting Comparisons of Income Inequality When Lorenz Curves Intersect.
3. Manel Baucells, Tianyang Wang and Lin Zhao, 2019. Formation of Reference Point under Social Comparisons.
4. Michael Hoy, Rachel Huang, Larry Tzeng and Lin Zhao, 2019. Consistent Comparisons of Income Inequality.
5. Cary Deck, Rachel Huang, Larry Tzeng and Lin Zhao, 2019. Exploring the Range of Higher Order Risk Attitudes.
6. Rachel Huang, Larry Tzeng and Lin Zhao, 2019. Benchmarked Stochastic Dominance.
7. Rachel Huang, Larry Tzeng, Jr Yan Wang and Lin Zhao, 2019. Option Pricing Bounds for Incomplete Markets with Risk Lovers.
8. Haoyu Gao, Junbo Wang, Xiaoguang Yang and Lin Zhao, 2019. Does Bank Capital Matter for Corporate Borrowing Allocation? Theory and Empirical Evidence.
9. Jing Ai, Warren Bailey, Haoyu Gao, Xiaoguang Yang and Lin Zhao, 2019. Default of Bank Loans with Chinese Characteristics.
   

All my research in Decision Analysis aims at incorporating behaviorial realism into decision models and risk management. The behavioral elements I have explored (together with coauthors) include:

1. local substitution in inter-temporal preferences (satiation and fatigue);
2. time-inconsistent preferences (hyperbolic discounting);
3. reference point, loss aversion and local risk lovingness;
4. uncertainty and ambiguity aversion;
5. higher order risk preference.

Currently, the main achievements in my study of Decision Analysis include:

1. Manel and I have established the axiomatic foundation for the satiation model, and developed mixed-integer linear programming approach to facilitate the application of the satiation model in the field of service/process design;
2. Manel and I have incorporated fatigue into the production function, and found the optimal strategy in minimizing the negative effect of fatigue in production;
3. Rachel, Larry and I have proposed a new stochastic dominance rule-fractional degree stochastic dominance-to extend the traditional comparative statics analysis for various decision problems;
4. Rachel, Larry, Jr Yan and I have found the correct stochastic dominance rule for comparing lognormal assets in the long run, which completely solves the asymptotic stochastic dominance problem raised by Levy (2017);
5. I have co-worked with others on analyzing the effects of ambiguity in comparative statics, investigating the implications of self-control problem (hyperbolic discounting) on insurance markets, and empirically testing the effects of various non-financial factors (e.g., social proximity, borrower opacity, agent gender, etc.) on credit markets.
   

Distinguished Young Scholar in Systems Science in Honor of Zhaozhi Guan, 2017

Distinguished Postdoctoral Research Fellow, Tsinghua University, 2012

Outstanding Paper Award for the 6th China Insurance Education Forum, 2011

1. Associate Editor for Management Science (from Nov 2019);
2. Reviewer for Econometrica (2019), Management Science (2019), Operations Research (2019), Theory and Decision (2018), Journal of Risk and Insurance (2018).