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

Found in: beBee jobs GB - 2 weeks ago


Swansea, City and County of Swansea, United Kingdom Swansea University Full time

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.

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.

£19,237 p.a.



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