Hattendorff Differential Equation for Multi-State Markov Insurance Models

Rajeev Rajaram and Nathan Ritchey
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Rajeev Rajaram: Department of Mathematical Sciences, Kent State University, Kent, OH 44242, USA
Nathan Ritchey: Department of Mathematical Sciences, Kent State University, Kent, OH 44242, USA

Risks, 2021, vol. 9, issue 9, 1-19

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 2 ? t ( j ) ). We also show using matrix notation that both models can be easily adapted for use in MATLAB for numerical computations.

Keywords: policy value; Kolmogorov forward equations; multistate model; Thiele’s differential equation; Hattendorff differential equation (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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