PhD Studentship: Stochastic Optimal Controls: Optimal Problems Under Contagious Markets with Regime Switching and Risk Uncertainty

Swansea University - Stochastic Optimal Controls, Point Processes, Insurance Strategies, Regime Switchings, and Risk Uncertainty

Qualification Type:	PhD
Location:	Swansea
Funding for:	UK Students, International Students
Funding amount:	£19,237 UKRI rate (currently £19,237 for 2024/25)
Hours:	Full Time

Placed On:	29th April 2025
Closes:	19th May 2025
Reference:	RS822

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.

Funding Comment

This scholarship covers the full cost of tuition fees and an annual stipend at UKRI rate (currently £19,237 for 2024/25).

Additional research expenses of up to £1,000 per year will also be available.

Closing Date: 19 May 2025

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