Preprint Article Version 2 Preserved in Portico This version is not peer-reviewed

Numerical Solutions of the Hattendorff Differential Equation for Multi-state Markov Insurance Models

Version 1 : Received: 8 December 2021 / Approved: 10 December 2021 / Online: 10 December 2021 (12:29:58 CET)
Version 2 : Received: 27 December 2021 / Approved: 29 December 2021 / Online: 29 December 2021 (09:00:20 CET)

How to cite: Ritchey, N.; Rajaram, R. Numerical Solutions of the Hattendorff Differential Equation for Multi-state Markov Insurance Models. Preprints 2021, 2021120176 (doi: 10.20944/preprints202112.0176.v2). Ritchey, N.; Rajaram, R. Numerical Solutions of the Hattendorff Differential Equation for Multi-state Markov Insurance Models. Preprints 2021, 2021120176 (doi: 10.20944/preprints202112.0176.v2).

Abstract

We provide methodology and numerical results for the Hattendorff differential equa- tion for the continuous time evolution of the variance of L(j)t , the loss at time t random variable for a multi-state process, given that the state at time t is j.

Keywords

Policy Value; Kolmogorov forward equations; Multi-state model; Thiele's differential equation; Hattendorff differential equation

Subject

MATHEMATICS & COMPUTER SCIENCE, Computational Mathematics

Comments (1)

Comment 1
Received: 29 December 2021
Commenter: Nathan Ritchey
Commenter's Conflict of Interests: Author
Comment: We have added the necessary references that were requested.
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