• Medientyp: E-Artikel
  • Titel: Stackelberg equilibrium premium strategies for push-pull competition in a non-life insurance market with product differentiation
  • Beteiligte: Asmussen, Søren [Verfasser:in]; Christensen, Bent Jesper [Verfasser:in]; Thøgersen, Julie [Verfasser:in]
  • Erschienen: Basel: MDPI, 2019
  • Sprache: Englisch
  • DOI: https://doi.org/10.3390/risks7020049
  • ISSN: 2227-9091
  • Schlagwörter: Product differentiation ; Stackelberg equilibrium ; Adverse selection ; Stochastic differential game
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  • Beschreibung: Two insurance companies I 1 ,I 2 with reserves R 1 (t),R 2 (t) compete for customers, such that in a suitable differential game the smaller company I 2 with R 2 (0)<R 1 (0) aims at minimizing R 1 (t)&#x2212;R 2 (t) by using the premium p 2 as control and the larger I 1 at maximizing by using p 1. Deductibles K 1 ,K 2 are fixed but may be different. If K 1 >K 2 and I 2 is the leader choosing its premium first, conditions for Stackelberg equilibrium are established. For gamma-distributed rates of claim arrivals, explicit equilibrium premiums are obtained, and shown to depend on the running reserve difference. The analysis is based on the diffusion approximation to a standard Cramér-Lundberg risk process extended to allow investment in a risk-free asset.
  • Zugangsstatus: Freier Zugang
  • Rechte-/Nutzungshinweise: Namensnennung (CC BY)