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An optimal reinsurance management and dividend payout strategy

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Added , Speaker Sure Mataramvura (University of Cape Town), VICA2018, in AFIR / ERM ASTIN
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Description

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.

Tags: Reinsurance

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