Qualification Type: | PhD |
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Location: | Swansea |
Funding for: | UK Students |
Funding amount: | £19,237 p.a. |
Hours: | Full Time |
Placed On: | 25th June 2024 |
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Closes: | 1st August 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 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, 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.
Funding Details
Additional Funding Information
This scholarship covers the full cost of tuition fees and an annual stipend at £19,237.
Additional research expenses will also be available.
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