Mathematics: UKRI and Swansea University Funded PhD Scholarship: Optimal Problems under Contagious Markets

Funding provider(s): UKRI and Faculty of Science and Engineering 

Subject area(s): Stochastic Optimal Controls, Point Processes, insurance strategies, regime switchings, and Risk Uncertainty

Project start date(s):

• 1 April 2025
• 1 July 2025

Supervisors: Guo Liu and Chenggui Yuan 

Aligned programme of study: PhD in Mathematics

Mode of study: Full-time 

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 re-insurance 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 a UK Bachelor degree with a minimum of Upper Second Class honours or overseas Bachelor degree deemed equivalent to UK Bachelor (by UK ECCTIS) and achieved a grade equivalent to UK Upper Second Class honours – see country specific qualifications;

Or a master’s degree with a minimum overall grade at ‘Merit’ (or Non-UK equivalent as defined by Swansea University).

Due to funding restrictions, this scholarship is open to applicants eligible to pay tuition fees at the UK rate only, as defined by UKCISA regulations. 

Please note that you may need to provide evidence of your English Language proficiency.

If you have any questions regarding your academic or fee eligibility based on the above, please email pgrscholarships@swansea.ac.uk with the web-link to the scholarship(s) you are interested in.