Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/258253 
Year of Publication: 
2021
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 9 [Issue:] 9 [Article No.:] 169 [Publisher:] MDPI [Place:] Basel [Year:] 2021 [Pages:] 1-19
Publisher: 
MDPI, Basel
Abstract: 
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.
Subjects: 
Hattendorff differential equation
Kolmogorov forward equations
multistate model
policy value
Thiele's differential equation
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
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