Mathematics: UKRI and Swansea University Funded PhD Scholarship: Optimal Problems under Contagious Markets with Regime Switching and Risk Uncertainty (RS691)

Closing date: 2 December 2024

Key Information

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.

Funding

This scholarship covers the full cost of UK tuition fees and an annual stipend of £19,237.

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

How to Apply

To apply, please complete your application online with the following information:

Course choice –

For April 2025 start, select:

Mathematics/ PhD / Full-time / 3 Years / April

OR

*For July 2025 start, select:

Mathematics/ PhD / Full-time / 3 Years / July

In the event you have already applied for the above programme previously, the application system may issue a warning notice and prevent application. In this event, please email pgrscholarships@swansea.ac.uk where staff will be happy to assist you in submitting your application.
Start year – please select 2025
Funding (page 8) –

‘Are you funding your studies yourself?’ – please select No
‘Name of Individual or organisation providing funds for study’ – please enter ‘RS691 - Risk Uncertainty’

*It is the responsibility of the applicant to list the above information accurately when applying, please note that applications received without the above information listed will not be considered for the scholarship award.

One application is required per individual Swansea University led research scholarship award; applications cannot be considered listing multiple Swansea University led research scholarship awards.

NOTE: Applicants for PhD/EngD/ProfD/EdD - to support our commitment to providing an environment free of discrimination and celebrating diversity at Swansea University you are required to complete an Equality, Diversity and Inclusion (EDI) Monitoring Form in addition to your programme application form. Please click the following link to complete your EDI Monitoring Form:

Equality, Diversity and Inclusion (EDI) Monitoring Form (online form)

Please note that completion of the EDI Monitoring Form is mandatory; your application may not progress if this information is not submitted.

As part of your online application, you MUST upload the following documents (please do not send these via email). We strongly advise you to provide the listed supporting documents by the advertised closing date, where possible:

CV
Degree certificates and transcripts (if you are currently studying for a degree, screenshots of your grades to date are sufficient)
A cover letter including a ‘Supplementary Personal Statement’ to explain why the position particularly matches your skills and experience and how you choose to develop the project.
Two references (academic or previous employer) on headed paper or using the Swansea University reference form. Please note that we are not able to accept references received citing private email accounts, e.g. Hotmail. Referees should cite their employment email address for verification of reference.
Evidence of meeting English Language requirement (if applicable).
Copy of UK resident visa (if applicable)
Confirmation of EDI form submission

Informal enquiries are welcome; please contact Dr Guo Liu (guo.liu@swansea.ac.uk / (+44)1792 513 050).

*External Partner Application Data Sharing – Please note that as part of the scholarship application selection process, application data sharing may occur with external partners outside of the University, when joint/co- funding of a scholarship project is applicable.