Journal article

On a class of non-zero-sum stochastic differential dividend games with regime switching

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li

Applied Mathematics and Computation | ELSEVIER SCIENCE INC | Published : 2021


This paper investigates a class of non-zero-sum stochastic differential game problems between two insurance companies. The surplus process of each company is modeled by a Brownian motion where drift and volatility depend on the continuous-time Markov regime switching process. Both companies have the option of paying dividends. The objective is to maximize the expected discount utility of surplus relative to a reference point for each insurer, the gains brought by the insurer's own dividend payout, and the losses incurred by the dividend payment of the competitor. The gains and losses are proportional to the amount of corresponding dividend payment. To find the optimal dividend policy, we rel..

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Funding Acknowledgements

The authors wish to thank two anonymous referees for their valuable comments and suggestions on the first draft of this paper. Financial support from an Australian Government Research Training Program (RTP) Scholarship is also fully acknowledged by Ms. Jiannan Zhang.