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 <i>t</i> random variable given that the state at time <i>t</i> is <i>j</i>, for a multi...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-09-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/9/9/169 |