Contents

1 Survival analysis i 10
1.1 Age–at–death random variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 10
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1.2 Future lifetime random variable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11
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1.3 Actuarial notations . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

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1.4 Curtate future lifetime random variable . . . . . . . . . . . . . . . . . . . . . . . . . . . 15

1.5 Force of mortality . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17
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1.5.1 Gompertz’s law (1825) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

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1.5.2 Makeham’s law (1860) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20

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1.5.3 Weibull Distribution (1939) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

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1.5.4 Sample exam questions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 21

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9
 Chapter 1

Survival analysis
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1.1 Age–at–death random variable

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Let us begin with the age–at–death random variable, which is denoted by T0 . The definition of T0 can
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be easily seen from the diagram below.

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Timeline
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Time 0 1 2 ··· T0 − 1 T0 T0 + 1 ··· age

f.

The age–at–death random variable can take any value within [0, +∞). Sometimes, we assume that
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no individual can live beyond a certain very high age. We call that age the limiting age, and denote
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it by ω. If limiting age is assumed, then T0 can only take a value within [0, ω].
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We regard T0 as a continuous random variable, because it can, in principle, take any value on the
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interval [0, +∞) if there is no limiting age or [0, ω] if a limiting age is assumed. Of course, to model
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T0 , we need a probability distribution. The following notation is used throughout this study guide
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(and in the examination).
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ˆ F0 (t) = P(T0 ≤ t) is the (cumulative) distribution function of T0

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ˆ f0 (t) = F00 (t) is the probability density function of T0 .

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In life contingencies, we often need to calculate the probability that an individual will survive to a
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certain age. This motivates us to define the survival function:

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S0 (t) = P(T0 > t) = 1 − F0 (t).

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Note that the subscript ”0” indicates that these functions are specified for the age-at-death random
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variable (or equivalently, the future lifetime of a person age 0 now).

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Not all functions can be regarded as survival functions. A survival function must satisfy the fol-
lowing requirements:

1. S0 (0) = 1. This means every individual can live at least 0 years.

2. S0 (ω) = 0 or limt→+∞ S0 (t) = 0. This means that every individual must die eventually.

3. t 7−→ S0 (t) is non–increasing. This means that, for example, the probability of surviving to age
80 cannot be greater than that of surviving to age 70.

10
 11

Important formulas
Z ∞
F0 (t) = P(T0 ≤ t), S0 (t) = P(T0 > t) = 1 − F0 (t) = f0 (u) du, f0 (t) = F00 (t) = −S00 (t).
t
Z t Z ∞
F0 (t) = f0 (u) du and S0 (t) = f0 (u) du
−∞ t
Z b
P (a < T0 ≤ b) = f0 (t) dt = F0 (b) − F0 (a) = S0 (a) − S0 (b).
a

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Remark 1.1.1 Note that because T0 is a continuous random variable, P(T0 = c) = 0 ∀ c.
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Exercise 1.1.1 You are given that S0 (t) = 1 − 100 for 0 ≤ t ≤ 100.
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(a) Verify that S0 (·) is a valid survival function.

(b) Find expressions for of the c.d.f. and the p.d.f. of T0 .
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(c) Calculate the probability that T0 is greater than 20 and smaller than 50.
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Solution:
0 100
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(a) 1) We have S0 (0) = 1 − 100 = 1 and 2) we have ω = 100, then S0 (100) = 1 − 100 = 0. 3) The first
0 1
derivative S0 (t) of S0 (t) is − 100 , indicating that the mapping t 7−→ S0 (t) is non–increasing. Hence,
f.

S0 (·) is a valid survival function.

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(b) We have F0 (t) = 1 − S0 (t) = 100 t

, for 0 ≤ t ≤ 100. and f0 (t) = F00 (t) = 100
1
, for 0 < t < 100. This
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means that the distribution of T0 is uniform over the age interval (0, 100).
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50 20 30
(c) P(20 < T0 < 50) = F0 (50) − F0 (20) = 100 − 100 = 100 = 0.3.
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1.2 Future lifetime random variable

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Consider an individual who is age x now. Throughout this text, we use (x) to represent such an lM
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individual. Instead of the entire lifetime of (x), we are often more interested in the future lifetime of
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(x). We use Tx to denote the future lifetime random variable for (x). The definition of Tx can be
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easily seen from the diagram below.

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Age
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0 ··· x x+1 x+2 ··· ··· x + Tx ···

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Time from now

0 1 2 ··· ··· Tx ···
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If there is no limiting age, Tx can take any value within [0, +∞). If a limiting age is assumed, then
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Tx can only take a value within [0, ω − x]. We have to subtract x because the individual has attained
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age x at time 0 already. We let Sx (t) be the survival function for the future lifetime random variable.
The subscript “x” here indicates that the survival function is defined for a life who is age x now. It
is important to understand that when modeling the future lifetime of (x), we always know that the
individual is alive at age x.
We first define Tx as the random variable for time to death for someone age x. Thus, for someone
age 50, T50 is the amount of time until he dies, and to say T50 = 32.4 means that the person who was
originally at age 50 died when he has the age 82.4. We will use the symbol (x) to mean “someone age
x”, so (50) means “someone age 50”. It is very common in this course to use the letter x to mean age.
As an example of a cumulative distribution function, FT50 (30) is the probability that (50) dies within
30 years. Rather than using a double subscript, we will abbreviate the notation for the cumulative
 12

distribution function of Tx as Fx (t), or F50 (30) in our example.

If we wanted to express the probability that (40) will die between ages 75 and 85 in terms of distribution
functions, we would write it as
P(35 ≤ T40 < 45) = F40 (45) − F40 (35)
and if we wanted to express it in terms of survival functions, we would write
P(35 ≤ T40 < 45) = S40 (35) − S40 (45).
Important formulas
Z ∞
Fx (t) = P(Tx ≤ t), Sx (t) = P(Tx > t) = 1 − Fx (t) =
i fx (u) du, fx (t) = Fx0 (t) = −Sx0 (t).
t
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Z t Z ∞
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Fx (t) = fx (u) du, Sx (t) = fx (u) du, and , Fx (t) = 1 − Sx (t),

−∞ t
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Z b
S0 (x + t)
P (a < Tx ≤ b) = fx (t) dt = Fx (b) − Fx (a) = Sx (a) − Sx (b), Sx (t) = .
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a S0 (x)
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A survival function must have the following properties:

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1. Sx (0) = 1. Negative survival times are impossible.

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2. Sx (ω) = 0 = 0 or limt7→∞ Sx (t) = 0. Eventually everyone dies; Tx is never infinite.

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3. Sx (t) ≤ Sx (u) for u < t. The function is monotonically non–increasing. The probability of
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surviving a longer amount of time is never greater than the probability of surviving a shorter
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amount of time.
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Those are the required properties of a survival function.

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Exercise 1.2.1 You are given that S0 (t) = 1 − 100 for 0 ≤ t ≤ 100.
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(a) Find expressions for S20 (t), F20 (t) and f20 (t).
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(b) Calculate the probability that an individual age 20 now will die within 15 years.
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(c) Calculate the probability that an individual age 20 now can survive to age 45.
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Solution:
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(a) Here, we have ω = 100 and therefore these functions are defined for 0 ≤ t ≤ 80 = 100 − 20 only.
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20+t
S0 (20+t) 1− t t
We have S20 (t) = S0 (20)
= 1− 100
20 = 1− 80
for 0 ≤ t ≤ 80. Then F20 (t) = 1 − S20 (t) = 80
for
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100
0 1
0 ≤ t ≤ 80 and f20 (t) = F20 (t) = 80for 0 < t < 80. This means that the distribution of T20 is uniform
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over the age interval (0, 80).

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(b) P(T20 ≤ 15) = F20 (15) = 80 = 16 = 0.1875.

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(c) P(25 < T20 ) = S20 (25) = 1 − 80 = 16 = 0.6875.
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Remark 1.2.1 Examples of valid survival functions (although they may not represent human mortal-
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ity) are
t

−0.3t x+1 1 − 100−x for t ≤ 100 − x
i) Sx (t) = e , ii) Sx (t) = , iii) Sx (t) =
x+1+t 0 for t > 100 − x
Examples of invalid survival functions are

50 − t for t ≤ 50
i) Sx (t) = violates the first property Sx (0) = 50 6= 1
0 for t > 50
ii) Sx (t) = |cos (t)| Violates second and third properties.
 13

We will also assume the following properties for our survival functions:
(i) t 7−→ Sx (t) is differentiable for t ≥ 0, with at most only a finite number of exceptions. Dif-
ferentiability will allow us to define the probability density function (except at a finite number of
points).
(ii) limt7→∞ tSx (t) = 0. This will assure that mean survival time exists.
(iii) limt7→∞ t2 Sx (t) = 0. This will assure that the variance of survival time exists.

Exercise 1.2.2 The survival function for newborns is

( q
100−t
for t ≤ 100
S0 (t) = 100
i 0 for t > 100
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Calculate
1. The probability that a newborn survives to age 75 but does not survive to age 84.
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2. The probability that (20) survives to age 75 but not to age 84.
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3. F60 (20).
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Solution:
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1.
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r r
100 − 75 100 − 84
P(75 ≤ T0 < 84) = S0 (75) − S0 (84) = − = 0.5 − 0.4 = 0.1.
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100 100
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You can also use

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P(75 ≤ T0 < 84) = F0 (84) − F0 (75).

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2. We know that

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S0 (75) S0 (84)
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P(55 ≤ T20 < 64) = S20 (55) − S20 (64) = −

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S0 (20) S0 (20)
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S0 (75) − S0 (84) 0.1

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= = .
S0 (20) S0 (20)
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We have
2√
r
100 − 20
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S0 (20) = = 5 = 0.89443.
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100 5
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Therefore
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P(55 < T20 ≤ 64) = = 0.1118.

0.89443
√ 100−80
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√
3. F60 (20) = 1 − S60 (20) = 1 − SS00 (60)
(80)
= 1 − √ 100−60 = 1 − 12 2 = 0.29289.
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100

100
tu
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1.3 Actuarial notations

For convenience, we have designated actuarial notation for various types of death and survival proba-
bilities.

1. t px denotes the probability that a life age x now survives to t years from now and write

t px = P(Tx > t) = Sx (t). When t = 1 we write 1 px as px .

 14

2. t qx denotes the probability that a life age x now dies before attaining age x + t and write
t qx = P(Tx ≤ t) = Fx (t). When t = 1 we write 1 qx as qx .
px = 1 − qx : The probability that a person age x survives one year is 1 minus the probability
that the same person dies within a year.
t px = 1 − t qx : The probability that a person age x survives t years is 1 minus the probability
that the same person dies within t years.
3. t+u px= t px × u px+t : The probability that the same person survives t+u years is the probability
that a person age x survives t years and then survives for another u years .
4. t|u qx
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denotes the probability that a life age x now dies between ages x + t and x + t + u and
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write
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t|u qx = P(t < Tx ≤ t + u) = Fx (t + u) − Fx (t) = Sx (t) − Sx (t + u).

= t+u qx − t qx = t px − t+u px . When u = 1 we write t|1 qx as t| qx .
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= t px − t+u px means that t|u qx is the probability that (x) dies in the period from t to t + u
t|u qx
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is the probability that (x) survives t years and does not survive t + u years.
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and t|u qx = t+u qx − t qx means that t|u qx is the probability that (x) dies in the period from t to
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t + u is the probability that (x) dies within t + u years minus the probability that (x) dies within
.

t years,
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5. = t px × u qx+t : The probability that a person age x dies at least t years from now but
t|u qx
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sooner than t + u years from now is the probability that the same person survives t years and
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then dies within the next u years.

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Remark 1.3.1 Notice that when we describe survival distributions, “p” always means a survival prob-
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ability, while “q” always means a death probability. The “|” between t and u means that the death
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probability is deferred by t years. We read “t|u” as “t deferred u”.
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Remark 1.3.2 The word “survives n years” means that the person does not die within n years. It
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does not mean that the person dies immediately at the end of n years.
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Exercise 1.3.1 You are given the following mortality table

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x 60 61 62 63 64
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qx 0.001 0.002 0.003 0.004 0.005

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Calculate the probability that a person age 60 will die sometime between 2 and 5 years from now.
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Solution: The actuarial notation for what we are calculating is

t ua

2|3 q60 = 2 p60 − 5 p60 = 5 q60 − 2 q60 = 2 p60 3 q62 .

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One way to calculate this is as the probability of living 2 years minus the probability of living 5 years,
or 2 p60 − 5 p60 . We calculate:
2 p60 = 1+1 p60 = p60 p61 = (1 − q60 ) (1 − q61 ) = (1 − 0.001) (1 − 0.002) = 0.997002
and
5 p60 = 2+3 p60 = 2 p60 3 p62 = 2 p60 p62 p63 p64 = 2 p60 (1 − q62 ) (1 − q63 ) (1 − q64 )
= 0.997002 (1 − 0.003) (1 − 0.004) (1 − 0.005) = 0.985085.
Therefore 2|3 q60 = 0.997002 − 0.985085 = 0.011917. ( n px = px px+1 · · · px+n−1 ).
 15

Exercise 1.3.2 Assuming that S0 (t) = e−0.0125t for t ≥ 0, evaluate the probabilities associated with
the following events in actuarial notation.
(a) A new born infant dies no later than age 45. 45 q0
(b) A person age 20 now survives to age 38. 18 p20
(c) A person age 57 now survives to age 60 but dies before attaining age 65. 3|5 q57

Solution:
(a) The probability that a new born infant dies no later than age 45 can be expressed as 45 q0 . [Here
we have “q” for a death probability, x = 0 and t = 45.] Further, 45 q0 = F0 (45) = 1 − S0 (45) = 0.4302.
(b) The probability that a person age 20 now survives to age 38 can be expressed as 18 p20 . [Here we
have “p” for a survival probability, x = 20 and t = 38 − 20 = 18.] Further, we have
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S0 (38) e−0.0125×38
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18 p20 = S20 (18) = = −0.0125×20 = 0.7985.

S0 (20) e
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(c) The probability that a person age 57 now survives to age 60 but dies before attaining age 65 can
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be expressed as 3|5 q57 . [Here, we have “q” for a (deferred) death probability, x = 60, t = 60 − 57 = 3,
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and u = 65 − 60 = 5.] Further, we have

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S0 (60) S0 (65) e−0.0125×60 − e−0.0125×65

3|5 q57 = S57 (3) − S57 (8) = − = = 0.058357
S0 (57) S0 (57) e−0.0125×57
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Relations between t px , t qx and t|u qx

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t px + t qx = 1, t+u px = t px × u px+t and t|u qx = t+u qx − t q x = t px − t+u px = t px × u qx+t .

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Exercise 1.3.3 Given: (i) px = 0.99 (ii) px+1 = 0.985 (iii) 3 px+1 = 0.95 (iv) qx+3 = 0.02.
Calculate the following: (a) px+3 , (b) 2 px , (c) 2 px+1 , (d) 3 px (e) 1|2 qx . lM
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Solution:
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(a) px+3 = 1 − qx+3 = 1 − 0.02 = 0.98.

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(b) 2 px = px px+1 = 0.99 × 0.985 = 0.97515.

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(c) Remark first that 3 px+1 = 2 px+1 × px+3 , hence 2 px+1 = 3ppx+3
x+1
= 0.95 = 0.96939.
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0.98
(d) 3 px = px × 2 px+1 = 0.99 × 0.96939 = 0.95970.
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(e) 1|2 qx = px × 2 qx+1 = px (1 − 2 px+1 ) = 0.99 (1 − 0.96939) = 0.030304.

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1.4 Curtate future lifetime random variable

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Let Tx be the future lifetime r.v. We define Kx = bTx c, where b·c stands for the integral part of y.
For example, b0.75c = 0, b1c = 1, b4.3c = 4 and b10.99c = 10.
We call Kx the curtate future lifetime random variable. It is clear that Kx is a discrete random
variable, since it can only take non–negative integral values (i.e., 0, 1, 2, . . . ) that th set of all possible
values of Kx is N. The probability mass function P(Kx = k) for Kx can be derived as follows:

P(Kx = 0) = P(0 ≤ Tx < 1) = qx = 0| qx ,

P(Kx = 1) = P(1 ≤ Tx < 2) = 1|1 qx = 1| qx ,
P(Kx = 2) = P(2 ≤ Tx < 3) = 2| qx ,
 16

in general we have
P(Kx = k) = P(k ≤ Tx < k + 1) = k| qx = k px qx+k , for k = 0, 1, 2, . . .
The cumulative distribution function (c.d.f.) of Kx can be derived as follows:
P(Kx ≤ k) = P(Tx < k + 1) = k+1 qx for k = 0, 1, 2, . . .
The expected value of Kx is denoted by ex and is called the curtate life expectation. The expected
value of min(Kx , n) is called the n–year temporary curtate life expectancy and is denoted by ex:n .
From the definition of moments, formulas for the first and second moments of Kx and min(Kx , n)
are: bi ∞ ∞ ∞
X X X
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ex := E [Kx ] = kP(Kx = k) = k k| qx = k k| qx
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k=0 k=0 k=1

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and
n−1
X n−1
X
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ex:n := E [min(Kx , n)] = k k| qx + n n px = k k| qx + n n px

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k=0 k=1
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and ∞ ∞
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 2 X 2
X
E Kx = k k| qx = k 2 k| qx
k=0 k=1
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and
Pr

n−1
X n−1
X
2
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2 2
k 2 k| qx + n2 n px .

E (min(Kx , n)) = k k| qx + n n px =
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k=0 k=1
u.

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Remark 1.4.1 The variance of Kx can be calculated as

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Var (Kx ) = E Kx2 − e2x

 

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and
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Var (min(Kx , n)) = E min(Kx , n)2 − (ex:n )2 .

 
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Remark 1.4.2 Better formulas can be obtained through summation by parts:

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∞ n
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X X
ex := E [Kx ] = k px and ex:n := E [min(Kx , n)] = k px
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k=1 k=1
r

and
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∞ n
 2 X  2
X
E Kx = (2k − 1) k px and E (min(Kx , n)) = (2k − 1) k px
t
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k=1 k=1
For limiting age ω
ω−x−1 min(n,ω−x−1)
X X
ex := E [Kx ] = k px and ex:n := E [min(Kx , n)] = k px
k=1 k=1

and
min(n,ω−x−1)
 2  ω−x−1
X X
E (min(Kx , n))2 =
 
E Kx = (2k − 1) k px and (2k − 1) k px
k=1 k=1
 17

Example 1.4.1 You are given the following mortality table

x 90 91 92 93 94
qx 0.10 0.12 0.15 0.20 1

Calculate the curtate life expectancy of (90).

P95−90−1
Solution: We know that e90 = k=1 k p90 . Calculate k p90 in terms of 1−qx for x = 90, 91, 92, 93, 94:

p90 = 1 − q90 = 1 − 0.10 = 0.90, 2 p90 = p90 p91 = p90 (1 − q91 ) = 0.90 × 0.88 = 0.792
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3 p90 = 2 p90 p92 = 2 p90 (1 − q92 ) = 0.792 × 0.85 = 0.6732,
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4 p90 = 3 p90 p93 = 3 p90 (1 − q93 ) = 0.6732 × 0.80 = 0.53856, 5 p90 = 4 p90 p94 = 0.53856 × 0 = 0.
Ed

Therefore e90 = 0.90 + 0.792 + 0.6732 + 0.53856 = 2.9038.

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Exercise 1.4.1 Assume that qx+k = 0.1 (k + 1), for k = 0, 1, 2, . . . , 9. Calculate Var(Kx ∧ 3), where
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a ∧ b = min(a, b).
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We know that
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3 3
Pr

X  2
X
E [Kx ∧ 3] = p and E (K ∧ 3) = (2k − 1) k px
u.

k x x
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k=1 k=1
u.

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and
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px = 1 − qx = 1 − 0.1 = 0.9,

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2 px = px px+1 = px (1 − qx+1 ) = 0.9 × 0.8 = 0.72,

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3 px = 2 px px+2 = 2 px (1 − qx+2 ) = 0.72 × 0.7 = 0.504.

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So
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E [Kx ∧ 3] = 0.9 + 0.72 + 0.504 = 2.124.

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and
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E (Kx ∧ 3)2 = 0.9 + 3 × 0.72 + 5 × 0.504 = 5.58

 
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Then the variance of Kx ∧ 3, is Var(Kx ∧ 3) = 5.58 − (2.124)2 = 1.0686.

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1.5 Force of mortality

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For each integer x ≥ 0, the expected number of survivors to age x is denoted by `x . The ratio
µx = `x −`
`x
x+1
describes the rate of mortalitity within one year for surviors to age x. Moreover fro any
t ≥ 0, µx+t = `x+t`−` x+t+1
x+t
describes the rate of mortalitity within one year for surviors to age x + t.
`x+t −`x+t+∆t
But for a short period of ∆t this mortality rate can be defined µx+t ' ∆t`x+t
or in other words
`x+t −`x+t+∆t
∆tµx+t ' `x+t
.
A function related to density is the force of mortality, denoted by µx . It measures the rate of
mortality at age x, given survival to age x. It can also be defined as the probability of death in a
small period of time after age x, given survival to age x. The force of mortality µx can be written as
µx = Sf00(x)
(x)
.
 18

S0 (x+t) S00 (x+t)

Since Sx (t) = S0 (x)
, differentiating this expression with respect to t, we get Sx0 (t) = S0 (x)
hence
f0 (x+t)
fx (t) = S0 (x)
. It follows that
f0 (x+t)
fx (t) S0 (x) f0 (x + t)
= S0 (x+t)
= .
Sx (t) S0 (x + t)
S0 (x)
Therefore 0
fx (t) f0 (x + t) fx (t) tp S 0 (t)
µx+t =
= = =− x =− x .
Sx (t) S0 (x + t) t px t px Sx (t)
For example, if you want to calculate µ50 and you are given probability functions f30 (t) and S30 (t),
you may calculate i f30 (20)
hb
µ50 = µ30+20 = .
S30 (20)
da

d t qx
Since Sx (t) = t px and Fx (t) = t qx so that fx (t) = , hence µx+t can be written as
Ed

dt
1 d t qx 1 d t px
µx+t = =−
ed

t px dt t px dt
m

or equivalently µx+t = − d ln(dtt px ) , which gives by integrating

ha
M

 Z t   Z x+t 
Sx (t) = t px = exp − µx+u du = exp − µu du
f.

0 x
o

sa
Pr

u.

Remark 1.5.1 We require the force of mortality to satisfy the following two criteria:
ed

R∞
(i) µx+t ≥ 0 for all x ≥ 0 and t ≥ 0. (ii) 0 µx+t dt = +∞.
u.

The following five specifications of the force of mortality are often used in practice.

I
ks

els
Constant Force of Mortality µx = µ for all x t px = e−µt
@

od
Uniform distribution of death 1
i

t
=1−
hb

µx = for all x < ω t px

lM
or De Moivre (1729) ω−x
ω−x
da

ica
ed

1
Example 1.5.1 Assume that the force of mortality of a life is given by µ35+t = 100+t
for any t ≥ 0.
at
m

1. Calculate 10 p35 , 2. Calculate 20 q45 . 3. 10|20 q35 .

m
he

Solution:
at

1. We know that
lM

 Z 10   Z 10 
1
du = exp − [ln (100 + u)]10


10 p35 = exp − µ35+u du = exp − 0
100 + u
ia

 0   0
ar


110 100 10
= exp − ln = exp ln = = 0.90909.
tu

100 110 11
Ac

2. We have 20 q45 =1− 20 p45 , and

 Z 20   Z 20 
20 p45 = exp − µ45+u du = exp − µ35+u+10 du
0 0
 Z 30   Z 30 
1
IMPORTANT = exp − µ35+s ds = exp − ds
s=u+10 10 10 100 + s
  
30
130
= exp − [ln (100 + u)]10 = exp − ln
110
  
110 11
= exp ln = .
130 13
 19

11 2
Therefore 20 q45 = 1 − 13
= 13
.
3. We know that
10 2 20
10|20 q35 = 10 p35 20 q45 = = .
11 13 143

Remark 1.5.2 The density function for Tx can be written as fx (t) = Sx (t)µx+t = t px µx+t . Therefore
Z t+u Z t+u Z t
t|u qx = P (t < Tx ≤ t + u) = fx (s) ds = s px µx+s ds and t qx = P (0 < Tx ≤ t) = s px µx+s ds .
t t 0

i
hb
1.5.1 Gompertz’s law (1825)
da

If we assume ln µx is a straight line, we can solve for the parameters (by linear regression or some
Ed

other means):
ln (µx ) = α + βx
ed

Exponentiating, we get Gompertz’s law:

m

µx = Bcx
ha

with appropriate parameters B > 0 and c > 1. The survival function under this law is
M

 Z t
Bcx (ct − 1)
  
f.

x+u
t px = exp − Bc du = exp −
o

sa
ln(c)
Pr

0
u.

Since the law has two parameters, you can solve for all functions if you are given two values of
ed

mortality.
u.

I
Example 1.5.2 Mortality for a life age 20 follows Gompertz’s law. You are given µ30 = 0.001 and
ks

els
µ80 = 0.15. Determine 50 p20 .
@

od
i
hb

Solution: We know that

Bc20 (c50 − 1)
lM

da

50 p20 = exp −
ln(c)
ica
ed

Now, we have to find the parameters B and c. Set up two equations for ages 30 and 80.
at
m

µ30 = Bc30 = 0.001 and µ80 = Bc80 = 0.15,

m
he

then
at

µ80 0.15
= = c50 = 150, c = 1.105406
lM

µ30 0.001
and B = 0.001 0.001
= (1.105406)30 = 0.00004947.
ia

c30
One can also solve it using ln as follows
ar
tu

ln(µ30 ) =
ln 0.001 = ln B + 30 ln c
Ac

ln(µ80 ) =
ln 0.15 = ln B + 80 ln c
50 ln c =
ln 150
c e(ln 150)/50 = 
= 1.105406
ln 150
ln B = ln 0.15 − 80 = −9.914136
50
thus B = 0.0000494704. Using formula (1.5.1),
0.0000494704 (1.10540620 ) (1.10540650 − 1)
 
50 p20 = exp − = 0.57937.
ln(1.105406)
 20

1.5.2 Makeham’s law (1860)

Makeham improved Gompertz’s law by adding a third parameter A :

µx = A + Bcx

A represents the constant part of the force of mortality, mortality that is independent of age and
is due to accidental causes. Bcx , with c > 1, represents mortality resulting from deterioration and
degeneration, which increases exponentially by age. Makeham’s law provides a good fit for ages above
20. As we know, adding A to µ multiplies the survival function by e−At , so building on equation (1.5.1),

Bcx (ct − 1) Bcx (ct − 1)

   
i
t px = exp −At − = exp (−At) exp −
hb
ln(c) ln(c)
da

thaus we can wrtite

Ed

M
t px = exp (−At) t pG
x.

Since the law has three parameters, you can solve for all functions if you are given three values of
ed

mortality. However, numerical methods may be needed to solve for the parameters.
m

In the above, A, B and c are constants such that RA + B ≥ 0, B > 0 and c > 1. If c = 1, this
ha

n
is exponential mortality. If c < 1, then the integral 0 µs ds does not approach infinity as n tends
M

towards infinity.
f.
o

sa

Example 1.5.3 Mortality follows Makeham’s law. You are given µ10 = 0.0014, µ20 = 0.0024, and
Pr

u.

µ30 = 0.0042. Determine 50 p20 .

ed

Solution: We have
u.

I
Bc20 (c50 − 1)
 
ks

els
50 p20 = exp −50A −
ln(c)
@

od
i
hb

Write out the three equations for the three µ’s

lM
da

A + Bc10 = 0.0014, A + Bc20 = 0.0024, A + Bc30 = 0.0042

ica
ed

Bc10 c10 − 1 = 0.0010, Bc20 c10 − 1 = 0.0018

at
m

c10 = 1.8 =⇒ c = e(ln 1.8)/10 = 1.060540

m
he

B(1.8)(0.8) = 0.0010 =⇒ B = 0.000694444

at

hence
lM

A + 0.000694444(1.8) = 0.0014 =⇒ A = 0.00015

ia

Therefore, the probability of surviving 50 years is (In the following expression, we use c10 = 1.8, so
ar

2 5
c20 = (c10 ) = (1.8)2 and c50 = (c10 ) = (1.8)5 .
tu
Ac

0.000694444 ((1.8)2 ) ((1.8)5 − 1)

 
50 p20 = exp −0.00015(50) − = 0.50031.
ln(1.060540)

A generalization of Makeham’s law is GM(r, s) (GM standing for Gompertz–Makeham) having the
form
µx = h1r (x) + exp h2s (x)

where h1r and h2s are polynomials of degrees r and s respectively. Thus can be set
r s
!
X X
µx = ak xk + exp bk x k .
k=0 k=0
 21

1.5.3 Weibull Distribution (1939)

Occasionally an exam question will use the Weibull distribution, although it won’t be called that. The
exam question would just say µx = kxn using some specific k and n. For the Weibull distribution, the
cumulative distribution function is
x τ x τ
F (x) = 1 − e−( θ ) ⇐⇒ S(x) = e−( θ ) .

τ −1
If you log, negate, and differentiate the survival function, you will obtain µx = τθ xθ = θττ xτ −1 .
The above parametrization is the one you will use on Risk Theory course and Exam STAM. The
more traditional parametrization of the Weibull is µx = kxn , where n > −1 and need not be an integer.
bi
You can then derive probability functions in the usual manner.
h
da

The Weibull distribution is flexible in that n (or τ ) can be set to allow mortality or failure rate to
have a reasonable pattern. If n = 0 (τ = 1), the Weibull reduces to an exponential distribution, which
Ed

is not a reasonable mortality assumption. But if n > 0 (or τ > 1), the force of mortality increases with
age, so it becomes more reasonable. Rather than using it for human mortality, it is more commonly
ed

used for other types of failure, like machine breakdown.

m

After studying the constant force of mortality law in the next section, a confusion to avoid is that
ha

µx = kx is the force of mortality for a Weibull, not an exponential, distribution. The reason this may
M

be confusing is that when going from force of mortality to survival rate, you integrate the force of
.

mortality, and for an exponential, the integral of the force of mortality has the form kx.
of

.sa
Pr

Example 1.5.4 You are given the force of failure for a battery is 0.1x, with x measured in hours of
u
ed

use. Calculate the probability that the battery will last 10 hours.
u.

I
els
ks

Solution: The survival probability to time t is

@

od
 Z t 
bi

0.1u du = exp −0.05t2

lM
exp −
ah

0
ica
d
ed

= e−0.05(10 ) = e−5 = 0.006738.

2
so 10 p0
at
m

1.5.4 Sample exam questions

he
at

Exercise 1.5.1
lM

1. Assume that the force of mortality of life aged x is of the form µx = A + e2x , x ≥ 0 and
ia

0.4 p0 = 0.50. Does µ· corresponds to a Gompertz’s law or a Makeham’s law? Calculate

r
ua

the constant A.
t

q
Ac

t
2. Given S0 (t) = 1 − 100 , for 0 ≤ t ≤ 100, calculate the probability that a life age 36 will die
between ages 51 and 64.

3. Assume that the force of mortality of life aged x is given by :


0.05 for 50 ≤ x < 60
µx =
0.04 for 60 ≤ x < 70

Calculate 4|14 q50 . (Hint decompose 18 p50 = 10+8 p50 )

 22

2
4. You are given: µx = 100−x
, 0 ≤ x < 100. Find the probability that the age–at–death is in between
20 and 50.

Rt
5. Which of the following is equivalent to 0 r px µx+r dr?
(A) t px , (B) t qx , (C) fx (t), (D) t px µx+t , (E) 1 − t px .

6. Which of the following is equivalent to d(dt t px )

?
(A) − t qx µx+t , (B) t px µx+t , (C) − t px µx+t , (D) µx+t , (E) −fx (t).

7. You are given the survival function S0 (t), where

i
hb
0≤t≤1

 1 for
da

et

S0 (t) = 1− 1 ≤ t < 4.5
Ed


 100
0 t ≥ 4.5
ed

Calculate µ4 .
m
ha
M

Solution:
f.

1. µ· corresponds to a a Makeham’s law with B = 1 and c = e2 . Notice first that

o

sa
Pr

u.

1 R 0.4 R 0.4 R 0.4 2u

= e− 0 µu du = e− 0 (A+e ) du = e−0.4A− 0 e
2u
ed

du
0.4 p0 =
2
u.

I
1
= e−0.4A− 2 (e ) = exp (−0.4A − 0.61277) .
2×0.4 −1
ks

els
@

od
Thus 0.5 = exp (−0.4A − 0.61277), gives A = 0.20094.
i
hb

lM
da

2. The probability that a life age 36 will die between ages 51 and 64 is given by
ica
ed

15|13 q36 = P (15 < T36 ≤ 28) = F36 (28) − F36 (15) = S36 (15) − S36 (28).
at
m

m
he

q
S0 (36 + t) 1 − 36+t
100 1√
at

S36 (t) = = q = 64 − t.
S0 (36) 8
lM

36
1 − 100
√ √
ia

Thus S36 (15) = 18 64 − 15 = 78 = 0.875 and S36 (28) = 18 64 − 28 = 43 = 0.75. Therefore

ar
tu

7 3 1
15|13 q36 = − = 0.875 − 0.75 = 0.125 = .
Ac

8 4 8

3. We know that 4|14 q50 = 4 p50 − 18 p50 . Let us first write

10+8 p50 = 10 p50 × 8 p60

Remark first that

R4 R4
4 p50 = e− 0 µ50+u du
= e− 0 0.05 du
= e−0.05×4 , since 50 ≤ 50 + u ≤ 54 for 0 ≤ u ≤ 4,
 23

and
R 10 R 10
10 p50 = e− 0 µ50+u du
= e− 0 0.05 du
= e−0.05×10 , since 50 ≤ 50 + u ≤ 60 for 0 ≤ u ≤ 10,
R8 R8
8 p60 = e− 0 µ60+u du
= e− 0 0.04 du
= e−0.04×8 , since 60 ≤ 50 + u ≤ 68 for 0 ≤ u ≤ 8.

It follows that

4|14 q50 = 4 p50 − 18 p50 = e−0.05×4 − e−0.05×10 × e−0.04×8 = 0.81873 − 0.44043 = 0.3783.

4. Our goal is to find 20|30 q0 = P(20 < T0 < 50) = S0 (20) − S0 (50). Given the force of mortality,
i
hb
we can find the survival function as follows:
da

 Z t   Z t 
2
Ed

du = exp 2 [ln(100 − u)]t0

S0 (t) = exp − µu du = exp −
0 0 100 − u
ed

    2
100 − t t
= exp 2 ln = 1− .
m

100 100
ha
M

So, the required probability is

f.

 2  2
20 50
o

= (0.8)2 − (0.5)2 = 0.39.

sa

20|30 q0 = 20 p0 − 50 p0 = 1− − 1−
Pr

1000 1000
u.
ed
u.

I
Rt
5. (B) and (E): p µx+r dr = t qx = 1 − t px
ks

0 r x

els
@

d(t px )

od
6. (C) and (E): = −fx (t) = − t px µx+t
i

dt
hb

−Sx0 (t)
lM
da

7. Remember that µx+t = Sx (t)

, so to calculate µ4 we take x = 0 and t = 4, thus
ica
ed

et
at
m

−S00 (t) et
= 100 t =
m

µt = for 1 < t < 4.5,

S0 (t) e 100 − et
he

1−
100
at
lM

e4
hence µ4 = 100−e4
= 1.2026.
ia

Exercise 1.5.2 For a life age x now, you are given µx = 0.002x for x ≥ 0. Find Sx (t) and Find
ar

fx (t).
tu
Ac