Reinsurance and dividend management

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dc.contributor.advisorMataramvura, Sureen_ZA
dc.contributor.authorMarufu, Humpheryen_ZA
dc.date.accessioned2015-07-01T08:56:03Z
dc.date.available2015-07-01T08:56:03Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractIn 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.en_ZA
dc.identifier.apacitationMarufu, H. (2014). <i>Reinsurance and dividend management</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science. Retrieved from http://hdl.handle.net/11427/13223en_ZA
dc.identifier.chicagocitationMarufu, Humphery. <i>"Reinsurance and dividend management."</i> Thesis., University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014. http://hdl.handle.net/11427/13223en_ZA
dc.identifier.citationMarufu, H. 2014. Reinsurance and dividend management. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Marufu, Humphery AB - 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. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Reinsurance and dividend management TI - Reinsurance and dividend management UR - http://hdl.handle.net/11427/13223 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/13223
dc.identifier.vancouvercitationMarufu H. Reinsurance and dividend management. [Thesis]. University of Cape Town ,Faculty of Commerce ,Division of Actuarial Science, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/13223en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentDivision of Actuarial Scienceen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.subject.otherMathematical Financeen_ZA
dc.titleReinsurance and dividend managementen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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