Hattendorff differential equation for multi-state Markov insurance models

We derive a Hattendorff differential equation and a recursion governing the evolution of continuous and discrete time evolution respectively of the variance of the loss at time t random variable given that the state at time t is j, for a multistate Markov insurance model (denoted by 2σt(j)). We also show using matrix notation that both models can be easily adapted for use in MATLAB for numerical computations.

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Year of publication:	2021
Authors:	Rajaram, Rajeev ; Ritchey, Nathan
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 9.2021, 9, p. 1-19
Publisher:	Basel : MDPI
Subject:	Hattendorff differential equation \| Kolmogorov forward equations \| multistate model \| policy value \| Thiele's differential equation

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks9090169 [DOI] 1773859048 [GVK] hdl:10419/258253 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10013200833