Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Reinsurance and dividend management
Includes bibliographical references.
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Division of Actuarial Science
2015
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613215099191296 |
|---|---|
| access_status_str | Open Access |
| author | Marufu, Humphery |
| author2 | Mataramvura, Sure |
| author_browse | Marufu, Humphery Mataramvura, Sure |
| author_facet | Mataramvura, Sure Marufu, Humphery |
| author_sort | Marufu, Humphery |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/13223 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:32:36.207Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2015 |
| publishDateRange | 2015 |
| publishDateSort | 2015 |
| publisher | Division of Actuarial Science |
| publisherStr | Division of Actuarial Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/13223 Reinsurance and dividend management Marufu, Humphery Mataramvura, Sure Mathematical Finance Includes bibliographical references. In this dissertation we set to find the dual optimal policy of a dividend payout scheme for shareholders with a risk-averse utility function and the retention level of received premiums for an insurance company with the option of reinsurance. We set the problem as a stochastic control problem. We then solve the resulting second-order partial differential equation known as Hamilton-Jacobi-Bellman equation. We find out that the optimal retention level is linear with the current reserve up to a point whereupon it is optimal for the insurance company to retain all business. As for the optimal dividend payout scheme, we find out that it is optimal for the company not to declare dividends and we make further explorations of this result. 2015-07-01T08:56:03Z 2015-07-01T08:56:03Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/13223 eng application/pdf Division of Actuarial Science Faculty of Commerce University of Cape Town |
| spellingShingle | Mathematical Finance Marufu, Humphery Reinsurance and dividend management |
| thesis_degree_str | Master's |
| title | Reinsurance and dividend management |
| title_full | Reinsurance and dividend management |
| title_fullStr | Reinsurance and dividend management |
| title_full_unstemmed | Reinsurance and dividend management |
| title_short | Reinsurance and dividend management |
| title_sort | reinsurance and dividend management |
| topic | Mathematical Finance |
| url | http://hdl.handle.net/11427/13223 |
| work_keys_str_mv | AT marufuhumphery reinsuranceanddividendmanagement |