| Autor: |
Rajeev Rajaram, Nathan Ritchey |
| Jazyk: |
angličtina |
| Rok vydání: |
2021 |
| Předmět: |
|
| Zdroj: |
Risks, Vol 9, Iss 9, p 169 (2021) |
| Druh dokumentu: |
article |
| ISSN: |
2227-9091 |
| DOI: |
10.3390/risks9090169 |
| Popis: |
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. |
| Databáze: |
Directory of Open Access Journals |
| Externí odkaz: |
|
