MASTER EN CIENCIAS ACTUARIALES Y FINANCIERAS

MODELOS DE SUPERVIVENCIA

LECCION 3: Life Tables.

Introduction
A Life Table is a convenient way of summarizing information about a survival model.

We can define, in very general terms, a Life Table as an study of the mortality in a sample of
persons belonging to a certain population.
The Life Table will lead us to an estimation of the probability distribution of the random
variable: curtate future lifetime of a life aged (x).

Basic Functions: l x , d x , p x and q x .

The most important function in a Life Table is l x . It is usually the first column.
lx Number of persons alive at age x
l0 Radix or Sample size
It is clear that l x is a decreasing function.

A second important function in a Life Table is

dx Number of persons dying at age x
dx lx lx 1 lx lx 1 dx

With the former functions, the probability function of the curtate future lifetime of a life aged
(x) is easily obtained,

P d
i dx i i 0, 1, 2, . . .
x
lx
also the Survival Function,
 S i lx i 1
d
x
lx i 1px i 0, 1, 2, . .
lx j
jpx lx
j 1, 2, 3, . . .
lx 1
1px
lx
and, finally, the Cumulative Function,

F d i 1 S d i lx lx i 1
x x
lx
lx lx j
jqx
lx
dx
1qx
lx

However, Life Tables only include,

1px px
1qx qx
and we can obtain the actuarial functions in an alternative fashion,
j 1

jpx px px 1 px 2 px 3 px j 1 px i
i 0
j 1

jqx 1 px i
i 0

qx px qx 1 2px qx 2 j 1px qx j 1
j 1

ipx qx i
i 0

Remark What does the following expression mean?

x
lx dx i
i 0

Remark Notice these two expressions,

j 1

jqx ipx qx i (Discrete)

i 0
j j
jqx f x z dz zpx x z dz (Continuous)
0 0

The study of non-integer instants of death.

The Life Table is a very convenient way of studying the mortality but it is only designed for
estimating the probability distribution of the curtate future lifetime of life aged (x).
 The next question is indeed: What about the continuous consideration?
Let us start studying now the following probabilities,
d
P x i P x i 1

and subsequently,
i 1
i 1qx F d
x
i f x z dz F x i 1 Fx i 1
0

jqx Fx j j 1, 2, . . . 0qx Fx 0 0
jpx Sx j j 1, 2, . . . 0px Sx 0 1
It is then clear that we will be able to obtain F x j or S x j for integer values of j and x using
the former expression; and what about S x j s , s 0, 1 ?

Firstly, let us use this expression

Sx j s Sx j Sx j s
this means that we will be only interested in the functions

S k (s), s (0,1)

for any integer value of k, because we already know the value of

Sx j jpx

Notice that
Sk s 1, S k 1

Yes, but How can we get S k s , s (0,1) ?

We need to use interpolation techniques.

Linear Interpolation: Uniform Distribution of Deaths

The first interpolation model will be linear
Sk s a bs
We already know that

Sk s 1 s 0
pk s 1
and then,
1 a
pk a b

solving the linear system of equations

Sk s 1 s qk
or F k s s qk
Let us now multiply by l k both sides of the former expression,
lk Fk s s lk qk s dk
and abusing of the notation,
dk s s dk
which means that deaths are occurring at a constant rate d k with time; in other words, deaths are
uniformly distributed during the year. For instance, with age k (1/2), half of the people dying
with age k will be dead.
As a consequence,

dF k s
fk s qk
ds
fk s qk
k s k s
Sk s 1 s qk

It is important to mention that

qk
lim k s
s 1 1 qk
lim k 1 s qk 1
s 0

This means that a sensible approximation for k, k integer

qk
qk 1
1 qk 2qk
k 1
2 2 pk
And, as an example
 x 1
o x k 1
ex S x z dz S x z dz
0 k
k 0
x 1 x 1
1 1
Sx k s ds Sx k Sx k s ds
0 0
k 0 k 0
x 1
1
Sx k 1 s qx k ds
0
k 0
x 1
qx k
kpx 1
2
k 0

Exponential interpolation.
Again, we already know that

Sk s 1 s 0
pk s 1
but this time we will adjust a function like this
Sk s a cs
The system of equations
1 a
pk ac
leads us to
s log p k s
Sk s pk e
s log p k s
Fk s 1 pk 1 e
log p k s
fk s log p k e
fk s
k s k s log p k
Sk s

The hazard rate is constant inside the intervals (k,k 1). It is important to mention that

lim k s log p k
s 1

lim k 1 s log p k 1
s 0

This means that a sensible approximation for k, k integer

 log p k log p k 1 log 2 p k
k 1
2 2
And, again
x 1
o 1
ex Sx k Sx k s ds
0
k 0
x 1
1
log p x s
Sx k e k ds
0
k 0
x 1
1 e log p x k
kpx log p x k
k 0

Miscellaneous Functions
Let us define now,
o n n
nLx l x e x:n l x S x z dz " l x z " dz
0 0

as the average number of years lived by the l x lives within n years.

The asymptotic case

o x
lim nLx Tx lx ex " l x z " dz
n x 0

can then be defined as the average number of years lived by the l x lives until the extinction of
the collective.

Let us present now an alternative formula for the central-death rate,

lx Fx n dx n
nm x o
lx e x:n nLx