Submitted:
08 December 2021
Posted:
10 December 2021
Read the latest preprint version here
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
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