Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market

Søren Asmussen, Bent Jesper Christensen and Julie Thøgersen

Insurance: Mathematics and Economics, 2019, vol. 87, issue C, 92-100

Abstract: Two insurance companies I1,I2 with reserves R1(t),R2(t) compete for customers, such that in a suitable stochastic differential game the smaller company I2 with R2(0)Keywords: Stochastic differential game; Diffusion approximation; Exit problem; Market friction; Nash equilibrium; Saddle point; Beta distribution (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167668718300775
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:87:y:2019:i:c:p:92-100

DOI: 10.1016/j.insmatheco.2019.02.002

Access Statistics for this article

Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

More articles in Insurance: Mathematics and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().