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

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Handle: RePEc:eee:insuma:v:87:y:2019:i:c:p:92-100