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Fully Funded UKRI and Swansea PhD Scholarship: Optimal Problems Under Contagious Markets with Regime Switching and Risk Uncertainty

Swansea University - Mathematics

Qualification Type: PhD
Location: Swansea
Funding for: UK Students, EU Students, International Students
Funding amount: £18,622
Hours: Full Time
Placed On: 8th November 2023
Closes: 26th January 2024

Funding providers: UKRI and Swansea University's Faculty of Science and Engineering

Subject areas: Stochastic Optimal Controls, Point Processes, insurance strategies, regime switchings, and Risk Uncertainty

Project description: 

In this project, different optimal control problems will be considered under a contagious financial and insurance market with regime switching and risk uncertainty.

In the first chapter, an optimal portfolio choice and life consumption problem will be studied under a fragile financial market with regime switching and risk uncertainty, where the transition matrix is no longer constant but depends on historical paths of financial assets in that market.

In the second chapter, an optimal reinsurance problem will be investigated under a contagious insurance market with regime switching. A stochastic differential game will be constructed to find the optimal reinsurance policy by considering the interaction between the insurer and the reinsurer.

More chapters will be considered if the first two chapters run smoothly.

Eligibility

Candidates must hold an undergraduate degree at 2.1 level or master’s degree with a minimum overall grade at ‘Merit’ (or Non-UK equivalent as defined by Swansea University). Please note that you may need to provide evidence of your English Language proficiency.

English Language: IELTS 6.0 Overall (with no individual component below 5.5) or Swansea University recognised equivalent.

This scholarship is open to candidates of any nationality.

Please visit our website for more information on eligibility.

Funding Details

This scholarship covers the full cost of UK tuition fees and an annual stipend at UKRI rate (currently £18,622 for 2023/24).

Additional research expenses will also be available. 

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