If it is from a stab & if you have the retractable blade knife? I found the easiest way is to either fit the knifes hilt with magnetic strips, if the hilt is plastic or wood. Then sew into the shirt of the victim a pocket to hold a metal plate. Large enough for the target area & the perp to ensures it is bedded in, as it may tend to bobble about. Or with a steel hilt the magnetetic strip material is in the stab area pocket. You can put a sqeeze bulb of Kensington gore [fake blood] into the knifes handle or squirted by the perp.
The hiccup is if the victim has to wear a coat, you may have a problem with permability of the magnetic flux, for the knife to stay there. Similar to putting too many pieces of paper under a fridge magnet - it falls off.
However if it thrown into the back, you will need a harness, like a bra on the victim. Then a spring loaded mechanism & triggering device. For the knife to spring out from under a flap in the costume.
But before I get into mechanisms. Iif you can give a wee bit more info on how the knife gets there, this may help?

Buy an actual knife (don't borrow or rent, because it's gonna get ruined and you can't return it.) Dull the blade to a harmless edge with stone or grinder.

Stick the thing in a vise and bend the blade at a 90-degree angle about halfway between the tip and the handle. (Depending on what kind of knife you've purchased, you may need to heat the blade to accomplish this.)

Cut a slit in the back of the actor/victim's costume where you'd like the knife to "penetrate."

On the INSIDE of the costume, directly under the slit, sew a sturdy leather sheath just big enough to accommodate the bent tip of the knife.

Now comes the tricky part: (With practise, this maneuver can be accomplished in a manner of seconds and is relatively harmless, becauses the knife point is running flat alongside the actor's back, and not directly into it.)   As the actor/victim turns his back upstage, a stagehand slips the bent knife edge through the costume's slit and into the sheath where it will be held.   

The 90-degree bend creates an optical illusion causing the remainder of the knife to look as if it's sticking straight out of the actor's back.

If the sheath is sewn tightly enough, the victim should be able to flail about quite dramatically with little danger of the knife dislodging.

Of course, practise, practise, practise. Safety first.