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2-1
or by
where, of course,
Z t
Fx (t) = fx (s)ds.
0
Either of the functions fx (t) or Fx (t) are used to describe the future
lifetime distribution beyond age x. Clearly, Fx (t) = P[Tx ≤ t] is the
probability that someone who has survived to age x will not survive
beyond age x + t. Therefore,
2-2
Properties of a Survival Function Sx (t)
Property 1:
Sx (0) = 1.
Sx (t1 ) ≥ Sx (t2 ).
2-3
Let T0 denote the total lifelength from birth of an arbitrary individual.
The density of its distribution is f0 (t).
Note that
P[x < T0 ≤ x + t]
= = (2.1)
p[T0 > x]
2-4
Taking a derivative with respect to t produces
S0 (x) − S0 (x + t) S0 (x + t)
Fx (t) = =1−
S0 (x) S0 (x)
Therefore
2-5
Rewriting this expression produces
S0 (x + t) = S0 (x)Sx (t)
2-6
2-7
Assumptions for a Survival Function Sx (t) that are useful when
finding expected values
Assumption 1:
lim t 2 Sx (t) = 0.
t→∞
The right-hand tail of the survival function goes to zero even faster
as t goes to infinity.
2-8
Example 2-1: Let ω denote some upper age limit (e.g. 120) and
( 2
12 t t
1 − for 0 < t < ω
f0 (t) = ω ω ω
0 elsewhere
Find F0 (t), Sx (t) for general ω and S40 (10) when ω = 120.
2-9
Section 2.3 - Force of Mortality
Concept - At any age, what is the rate of death among persons who
have survived to that age?
Large positive number −→ hazardous age
Small positive number −→ less hazardous age
Define the Force of Mortality at age x to be
2-10
Force of Mortality is a function of the age x of the individual. It is
also called the hazard function or the failure rate function. Note that
F00 (x)|t=x
µx =
S0 (x)
d
1 − S (t)
dt 0
t=x
= or
S0 (x)
R x+t Rt
= e− x µr dr
= e− 0 µx+r dr
2-12
−S00 (x + t)
µx+t =
S0 (x + t)
S0 (x+t+∆)−S0 (x+t)
− lim∆&0 ∆
=
S0 (x + t)
S0 (x)Sx (t+∆)−S0 (x)Sx (t)
− lim∆&0 ∆
=
S0 (x + t)
2-13
1
Example 2-2: Given µx = 100−x for 0 < x < 100,
find S50 (10) = P[T50 > 10].
2-14
Example 2-3: Given µx = 2x for 0 < x,
find f0 (t), F0 (t), S0 (t) and fx (t).
2-15
Gompertz Law of Mortality (1825):
Rt
Sx (t) = e− 0 µx+r dr
x
Rt
C r dr
= e−BC 0
h it
Cr
−BC x ln(C)
=e 0
x
BC
− ln(C) C t −1
=e
2-16
Makeham Law of Mortality (1860):
BC x
−tA− ln(C) C t −1
=e
2-17
Section 2.4 - Actuarial Notation
Having survived to age x, the probability of surviving t additional
years is:
2-18
It follows that
u t qx = u px − u+t px = u px (t qx+u ).
Also,
Note that
S00 (x) − d (x p0 )
µx = − = dx .
S0 (x) x p0
2-19
But since
d d
t px = Sx (t) = −fx (t),
dt dt
we also get
Likewise, we have
2-20
Section 2.5 - Properties of Tx
The future lifetime at age x, Tx , is a continuous random variable. We
are interested in the properties of this random variable. In particular,
its mean is called the complete expectation of life and is equal to
Z ∞
= t (t px )µx+t dt
0
Z ∞
d
=− tt px dt
0 dt
∞ Z ∞
= −t (t px ) + t px dt,
0 0
producing the computation formula
2-21
In a similar manner, the computation formula for the second moment
of Tx is
2-22
The percentiles of the distribution of Tx are of interest.
In particular, the Median, m(x), (the 50th percentile) is the value
which satisfies
2-23
The Central Death Rate
Rt
0 µx+s s px ds
t mx = Rt
0 s px ds
2-24
Example 2-4: Continuing example 2-1, find
◦
ex , StDev(Tx ), and m(x).
2-25
Section 2.5.5 - Some Important Mortality Models
1
ω if 0 < t < ω
f0 (t) =
0 elsewhere
t
t q0 = F0 (t) = for 0 < t < ω
ω
ω−t
t p0 = for 0 < t < ω.
ω
With this model, if we assume the person has already lived to age x,
then
2-26
The force of mortality under DeMoivre’s Law is
Note that it is an increasing function of the age x. That is, life is more
hazardous as we get older under this model.
2-27
An important property of the DeMoivre Law (Uniform Distribution) is
its reproducibility. If a future lifelength is uniform, then the future
lifelength beyond any future age is also uniform. That is, if Tx is
uniform (0, ω − x), then Tx+y is uniform (0, ω − x − y ). So future life
length distributions stay within the class of uniform distributions, it
merely changes the parameter of the distribution (the length of the
interval in this case).
2-28
Exponential Distribution
Z t
1 −s
t q0 = F0 (t) = e θ ds
0 θ
s t
= −e− θ
0
t
= 1 − e− θ for 0 < t
t
t p0 = e− θ = S0 (t) for 0 < t
2-29
Now suppose this exponential function describes survival from birth
and that the person has already lived to age x > 0. The density of
future life length beyond x is
This clearly shows that the future life length beyond x has exactly
the same distribution as the original life length from birth.
The exponential distribution has an even stronger reproducibility
property than the uniform distribution had. Under the exponential
distribution for future life length, the life length distribution beyond
any point in the future is exactly the same exponential distribution
that is applicable beyond today (same distribution AND the same
parameter value).
2-30
For the exponential distribution:
Z ∞ Z ∞
◦ t
ex = E[Tx ] = t px dt = e− θ dt
0 0
Z ∞ Z ∞ t
2
E[Tx ] = 2 t(t px )dt = 2 te− θ dt
0 0
Z ∞
h
− θt ∞
2 1 −t i
= 2 − θte 0
+θ e θ dt
0 θ
2
= 2θ .
Therefore
2-31
For the exponential, the force of mortality is
d 1 t 1
Sx (t)t=0 = e− θ t=0 = .
µx = −
dt θ θ
2-32
Weibull Distribution
This family of distributions has two parameters: a scale parameter
θ > 0 and a shape parameter τ > 0. Its survival function takes the
form:
2-33
The Weibull force of mortality function is:
2-34
Using the Weibull distribution to describe mortality from birth, the
future lifelength beyond age x satisfies
τ
t+x
−
S0 (x + t) e θ
Sx (t) = = τ
S0 (x) x
e− θ
n τ + 2 h τ + 1 i2 o
Var [Tx ] = θ2 Γ − Γ
τ τ
2-35
Generalized DeMoivre (Beta)
2-36
When α = 1, this is DeMoivre’s Law, ie it is a uniform (0, ω)
distribution. We also note that for the generalized DeMoivre
distribution
ω − t α
t q0 = F0 (t) = 1 − for 0 < t < ω and
ω
2-37
We see that this conditional distribution is also a member of the
generalized DeMoivre family with scale parameter ω − x and the
same shape parameter α. So this family has a reproducibility
property.
The force of mortality function for the generalized DeMoivre is
(ω − x)2 α
Var [Tx ] = .
(α + 1)2 (α + 2)
2-38
Example 2-5: You are given that there is a constant force of mortality
◦
µ∗ and that e30 = 41. Find µ∗ .
2-39
α
Example 2-6: You are given S0 (t) = 1 − ωt for 0 < t < ω and
◦ ◦
α > 0. Derive ex and then find µx ex .
2-40
Section 2.6 - Curtate Future Lifetime
= P[k ≤ Tx < k + 1]
= k px − k +1 px = k px − k px px+k
= k px (1 − px+k ) = k px qx+k .
2-41
The expected value of Kx is denoted by ex and can be computed via
∞
X
ex = E[Kx ] = k P[Kx = k ]
k =0
= 1 px + 2 px + 3 px + · · ·
∞
X
= k px
k =1
2-42
Likewise the second moment is:
∞
X
E[Kx 2 ] = k 2 P[Kx = k ]
k =0
∞
X
= k 2 (k px − k +1 px )
k =0
= 12 (1 px − 2 px ) + 22 (2 px − 3 px ) + 32 (3 px − 4 px ) + · · ·
∞
X
= (2k − 1) k px
k =1
∞
X ∞
X
=2 k k px − k px
k =1 k =1
X∞
=2 k k px − ex .
k =1
2-43
Therefore,
Because
Tx ≥ Kx > Tx − 1,
0 ≤ Tx − Kx < 1.
As an approximation, it is sometimes assumed that in a short period
of time (eg one year) deaths occur uniformly. Thus it is assumed
1
(Tx − Kx ) ∼ uniform(0, 1) and therefore E[Tx − Kx ] = .
2
Based on this assumption
◦
ex = E[Tx ] = E[Kx + (Tx − Kx )]
. 1
= ex + .
2
2-44
Example 2-7: Suppose T0 ∼ DeMoivre with ω = 100. Find the
curtate mean e20 .
2-45