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1
() = { , 0
0,
Survival Function, S(x) Certain disciplines e.g. Actuarial science, Survival analysis etc. make
use of a survival function instead of the distribution function. In these cases, X is a r.v.
representing life-length. (eg. life-length of a light bulb, person etc.)
Definition 1: For a continuous r.v. X with df. F and pdf f, the survival function S(x) is defined to
be:
By Fundamental Theorem of Calculus, f(x) = () = F(x).
Hazard rate, (x) A measure of the instantaneous rate of death at time x given that an
individual has survived up to that time.
Definition 2: For a continuous r.v. X with pdf f and survival function S(x), the hazard rate (x),
is defined to be:
() ()
(x) = () = 1()
If X is a life-length, (x)x P(object dies in the interval (x+) | survives to age x).
()x
(x)x = ()
f(x)
()x
P( x<X<x+| > ) = = (x)x
()
Theorem 1: If X is a r.v. with survival function S(x) and hazard rate (x). Then
S(x) = exp{ 0 (u)du}
Residual life and Memoryless property of the Exponential See pgs 81 82, Lecture notes.
Residual/Future Lifetime Age xo the extra number x that a person lives beyond age xo. (the
r.v. X is the life-length of a person).
( < + | > ), 0
Fo(x) = {
0 ,
Memoryless property An exponential r.v. X has the property that the future is independent
of the past. The probability of an event occurring is unaffected by the events that occurred
before. This is called the Memoryless Property of the exponential. (Pg 82 83 proves this for the
general exponential function).
Question: Suppose that life-length X has pdf f where f(x) = 2xI[0,1] (x), find the pdf of the residual
or future life T at age .
e.g. a point event in time is an exact time e.g. time a telephone call starts.
Poisson process simplest model that shows the density of events( rate at which events occur)
is UNIFORM in an interval and the process is memoryless.