Mathematics: Fully Funded UKRI and Swansea PhD Scholarship: Optimal problems under contagious markets with regime switching and risk uncertainty (RS455)
Closing date: 26 January 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 start date:
- 1 October 2024 (Enrolment open from mid-September)
- 1 January 2025 (Enrolment open from mid-December)
- Dr Guo Liu (email@example.com)
- Professor Chenggui Yuan
Aligned programme of study: PhD in Mathematics
Mode of study: Full-time
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.
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) (see country specific qualifications). Please note that you may need to provide evidence of your English Language proficiency.
English Language: IELTS 6.0 Overall (with no individual component below 5.5) or Swansea University recognised equivalent. Full details of our English Language policy, including certificate time validity, can be found here.
This scholarship is open to candidates of any nationality.
EPSRC DTP studentships are available to home and international students. Up to 30% of our cohort can comprise international students, once the limit has been reached, we are unable to make offers to international students. We are still accepting applications from international applicants. International students will not be charged the fee difference between the UK and international rate. Applicants should satisfy the UKRI eligibility requirements.
Please note that the programme requires some applicants to hold ATAS clearance, further details on ATAS scheme eligibility are available on the UK Government website.
ATAS clearance IS NOT required to be held as part of the scholarship application process, successful award winners (as appropriate) are provided with details as to how to apply for ATAS clearance in tandem with scholarship course offer.
If you have any questions regarding your academic or fee eligibility based on the above, please email firstname.lastname@example.org with the web-link to the scholarship(s) you are interested in.
This scholarship covers the full cost of tuition fees and an annual stipend at UKRI rate (currently £18,622 for 2023/24).
Additional research expenses will also be available.
How to Apply
To apply, please complete your application online with the following information:
- Course choice – please select Mathematics / PhD / Full-time / 3 Year / October
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 email@example.com where staff will be happy to assist you in submitting your application.
- Start year – please select 2024
- Funding (page 8) –
- ‘Are you funding your studies yourself?’ – please select No
- ‘Name of Individual or organisation providing funds for study’ – please enter ‘RS455 - 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.
We encourage you to complete the following to support our commitment to providing an environment free of discrimination and celebrating diversity at Swansea University:
- Equality, Diversity and Inclusion (EDI) Monitoring Form (online form)
As part of your online application, you MUST upload the following documents (please do not send these via email):
- 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 (optional)
Informal enquiries are welcome, please contact Dr Guo Liu (firstname.lastname@example.org).
*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.