In many states/locales, the police will not do anything in parking lot hits. If you live in a states with Contributory Negligence laws, you will both need to go back to your own carrier anyway. If you live in a state with Comparative Negligence laws, and both admit equal fault, you will see both insurance companies pay 50/50 (ie 50% of each person's damage costs).
In general, in a case where neither party is clearly at fault, neither party is injured, and both are amicable, your insurance companies will go nowhere with it. That said, it does not hurt to exchange info simply because that way you will have it if your company asks for it. In general though, unless your deductible is particularly low, you will probably wind up paying for it yourself anyway.
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