Speaker(s): Sure Mataramvura (University of Cape Town)
This presentation considers the problem of an insurer who decides to allocate a proportion (1 - a(t)) of premiums to a re-insurance company (thereby retaining a proportion a(t) of premiums). The insurer also has to pay dividends c(t) at any time t to shareholders. If the insurer's reserve is x(t) given by an Ito Levy process , solve a dual optimal policy of a dividend payout scheme for shareholders with constant relative risk aversion (CRRA) preferences and retention level of received premiums for the insurance company . Set the problem as a stochastic control problem and solve the resulting HJB equation. Results are discussed in detail.