Part B

Actuarial Science - specimen solution to last part of

q3, 2014

Date of this version: 17 May 2019

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1. (a)
B
(b) We are given µ(t) = A + 1+CeBt , t≥0
 R 
t
(i) t px = exp − 0 µx+s ds so
Z t Z t
B
µx+s ds = A+ ds
0 0 1 + CeB(x+s)
Z t
B
= A+ Bx eBs
ds
0 1 + Ce
Z t
1 + CeBx eBs − CeBx eBs
= A+B ds
0 1 + CeBx eBs
Z t
BCeBx eBs
= A+B− ds
0 1 + CeBx eBs

Let u = 1 + CeBx eBs

Z t Z t
1 du
µx+s ds = A+B− ds
0 0 u ds
= (A + B)t − log 1 + CeBx eBt + log 1 + CeBx

1 + CeB(x+t)
⇒t px = exp (−(A + B)t)
1 + CeBx

e−(A+B)t + CeBx e−At

=
1 + CeBx
(ii) This should now follow pretty quickly. We can see the survival function is a weighted
sum of a survival function using µ1 = A > 0 and µ2 = A + B > 0. So any sum (or
integral) of this multiplied by a discount factor will be the weighted sum:

1 CeBx
ax = ax@µ1 + ax@µ2
1 + CeBx 1 + CeBx

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