{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/13223"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/13223","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"Reinsurance and dividend management","abstract":"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.","abstract_html":"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.","abstract_has_math":false,"creators":["Marufu, Humphery"],"institution":"Division of Actuarial Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Mataramvura, Sure"],"committee_chairs":[],"committee_members":[],"year":2014,"date_issued":"2014","date_published":"2014","updated_at":"2026-07-22T22:22:54Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/13223","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Mataramvura, Sure"]},{"key":"dc:creator","label":"Author","values":["Marufu, Humphery"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2015-07-01T08:56:03Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2015-07-01T08:56:03Z"]},{"key":"dc:date.issued","label":"Date","values":["2014"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Division of Actuarial Science"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MPhil"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/13223"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["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."]},{"key":"dc:title","label":"Title","values":["Reinsurance and dividend management"]}]}],"canonical_facts":{"dc:contributor.advisor":["Mataramvura, Sure"],"dc:creator":["Marufu, Humphery"],"dc:date.accessioned":["2015-07-01T08:56:03Z"],"dc:date.available":["2015-07-01T08:56:03Z"],"dc:date.issued":["2014"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["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."],"dc:identifier.uri":["http://hdl.handle.net/11427/13223"],"dc:language.iso":["eng"],"dc:publisher.department":["Division of Actuarial Science"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["Reinsurance and dividend management"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MPhil"]},"updated_at":"2026-07-22T22:22:54Z"}