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From the point of view of the first insurer, we determine the ideal proportion of an insurance policy, in a Levy market, to be re insured and the expected value attained using Stochastic control (Dynamic programming).
A Levy process is used to model the reserves of the insurer given that a re insurance policy has been implemented as a means of risk transfer.
For completeness, the results are analytically and graphically compared with those of a diffusion model with the aid of Matlab.
Financial mathematicians, actuaries, and insurers would find this book useful.
A background in stochastic differential equations will make understanding easier.
Makumbe is a BSc (HONS) Mathematics graduate from withthe University of Zimbabwe (U.Z.) where he taught from 2006 toAugust 2010.
Currently, he is awaiting the completion of his MScMathematical modelling with U.Z.
while teaching at the ZimbabweOpen Universty.
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