%0 Journal Article
%T Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation
%J Risks | An Open Access Journal from MDPI
%D 2019
%R https://doi.org/10.3390/risks7020049
%X 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 ) £¿ 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 Cram¨¦r-Lundberg risk process extended to allow investment in a risk-free asset. View Full-Tex
%U https://www.mdpi.com/2227-9091/7/2/49