2023

THE UNIVERSITY OF HONG KONG

DEPARTMENT OF STATISTICS AND ACTUARIAL SCIENCE
STAT3901 Life Contingencies I

LN2: Survival Distributions

Age-at-death random variable

T0 – age-at-death (lifetime for newborn) random variable

To completely determine the distribution of T0 , we may use (for t ≥ 0),

(1) (cumulative) distribution function: F0 (t) = Pr(T0 ≤ t)

(2) survival function: S0 (t) = 1 − F0 (t) = Pr(T0 > t)

d
(3) probability density function: f0 (t) = F00 (t) = F0 (t)
dt
f0 (t) −S00 (t)
(4) force of mortality: µt = =
1 − F0 (t) S0 (t)

Requirements:

(1) For distribution function,

F0 (x)

(i) non-decreasing function

x
0

(ii) F0 (t) → 1 as t → ∞
(iii) F0 (t) = 0, t≤0

1
Relations:

Rt
• F0 (t) = 0
f0 (y)dy

• F0 (t) = 1 − S0 (t)
Rt
• F0 (t) = 1 − exp{− 0
µy dy}

(2) For survival function,

S0 (x)

(i) non-increasing function

x
0

(ii) S0 (t) = 1 as t ≤ 0
(iii) S0 (t) → 0, t→∞

Relations:

R∞
• S0 (t) = t
f0 (y)dy

• S0 (t) = 1 − F0 (t)
Rt
• S0 (t) = exp{− 0 µy dy}

(3) For probability density function,

(i) f0 (t) = 0, t<0

(ii) f0 (t) ≥ 0, t ≥ 0
Z ∞
(iii) f0 (y)dy = 1
0

2
Relations:

• f0 (t) = F00 (t)

• f0 (t) = −S00 (t)

Rt
• f0 (t) = µt exp{− 0
µy dy}

(4) For force of mortality,

(i) µt = 0, t<0
(ii) µt ≥ 0, t ≥ 0
Z ∞
(iii) µy dy = ∞
0

Relations:

• µt = F00 (t)/(1 − F0 (t))

• µt = −S00 (t)/S0 (t)

R∞
• µt = f0 (t)/ t f0 (y)dy

Future lifetime of a life aged x

Let (x) be a life aged x and let Tx be the future lifetime of (x).

Then, Tx ⇔ T0 − x|T0 > x where T0 is the age-at-death random variable.

Let Fx (t) = Pr(Tx ≤ t) be the distribution function of the future lifetime of (x), and
Sx (t) = 1 − Fx (t) = Pr(Tx > t) be the survival function for (x), that is, the probability
that (x) survives for at least t years.

The distribution of Tx is conditional on survival at age x. Define

t qx = Fx (t) = Pr(Tx ≤ t), t ≥ 0,

t px = Sx (t) = Pr(Tx > t) = 1 − t qx , t ≥ 0.

If t = 1, we write 1 qx and 1 px as qx and px , respectively. Note that

3
 Pr((T0 > x + t) ∩ (T0 > x)) S0 (x + t)
t px = Pr(Tx > t) = Pr(T0 − x > t|T0 > x) = = ,
Pr(T0 > x) S0 (x)

S0 (x + t)
t qx =1− .
S0 (x)

The probability that (x) dies between ages x + t and x + t + u is given by

z }| {
| | |
x x+t | {z } x+t+u

t|u qx = Pr(t < Tx < t + u)

= Pr(Tx ≤ t + u) − Pr(Tx ≤ t)
= t+u qx − t qx
= (1 − t+u px ) − (1 − t px )

S0 (x+t+u)
 t+u px =
 S0 (x)
S0 (x+t) S0 (x+t+u)
= t px − t+u px ← = S0 (x)
· S0 (x+t)

= t px u px+t

= t px − t px u px+t
= t px (1 − u px+t )
= t px u qx+t .

If u = 1, we write t|1 qx as t| qx

Example 1. Suppose the survival function of the future lifetime of a newborn in a

certain community is given by
 x 2
S0 (x) = 1 − , 0 ≤ x < 100,
100
= 0, elsewhere.

(a) Determine the distribution function F0 (x), the force of mortality µx , and the prob-
ability density function f0 (x).

(b) Find the probability that (i) a newborn dies no later than 45; (ii) a newborn dies
after age 45 but no later than age 80; and (iii) a person aged 30 dies no later than
age 80.

4
Soln:

x 2
(

1− 1− 100
, 0 ≤ x < 100
(a) F0 (x) =
1 , x ≥ 100
( 2 x


100
1− 100
, 0 ≤ x < 100
f0 (x) =
0 , otherwise
f0 (x) 2/100
2
µx = S0 (x)
= x
= 100−x
1− 100

45 2


(b) (i) Pr(T0 ≤ 45) = 1 − 1 − 100
= 0.6975.
(ii) Pr(45 < T0 ≤ 80) = F0 (80) − F0 (45)
= 0.96 − 0.6975 = 0.2625
S0 (80)
(iii) Pr(T30 < 50) = 1 − S0 (30)
0.2 2 45


=1− 0.7
= 49

2
Example 2. Given µx = 100−x
for 0 ≤ x < 100. Find f40 (t) and F40 (t) for T40 .

Soln:
 Z x 
S0 (40 + t) 2
F40 (t) = 1 − S0 (x) = exp − dr
S0 (40) 0 100 − r
 2
100 − 40 − t n x o
= 1− = exp 2 ln(100 − r)

100 − 40 0
 2  2 !
60 − t 100 − x
= 1− = exp ln
60 100
 2
100 − x
=
100
f40 (t) = t p40 µ40+t
 2  
60 − t 2
=
60 60 − t
2(60 − t)
=
3, 600
60 − t
=
1, 800

5
Distribution of Tx (continuous random variable)

Tx ⇔ T0 − xT0 > x

distribution function Fx (t) = t qx = Pr(Tx ≤ t)

S0 (x + t)
= 1− = 1 − t px
S0 (x)
d
probability density function fx (t) = t qx
dt
S00 (x + t) S0 (x + t)  S00 (x + t) 
= − = −
S0 (x) S0 (x) S0 (x + t)
= t px µx+t

Curtate-future-lifetime of (x)

Kx = bTx c (truncation, i.e., integer part of Tx )

Pr(Kx = k) = Pr(k ≤ Tx < k + 1)
(Note: Tx is continuous Pr(Tx = k) = 0) = Pr(Tx < k + 1) − Pr(Tx < k)
= k+1 qx − k qx
= k px qx+k
= k| qx k = 0, 1, 2, . . .

Distribution of Kx (discrete random variable)

Kx – curtate-future-lifetime of (x)

Kx = bTx c

probability mass function : Pr(Kx = k) = k px qx+k = k| qx

k
X
distribution function : Pr(Kx ≤ k) = y px qx+y = k+1 qx
y=0

6
Life Table Functions

Assume that there are l0 newborns (random survivorship group). Let

(
1, if life j survives to age x
Ij (x) =
0, otherwise
l0
X
L(x) = Ij (x).
j=1

Then, the expected number of survivors to age x from l0 is

l0
X
lx = E(L(x)) = E(Ij (x)) = l0 S0 (x) .
j=1

Hence,
−lx0 −l0 S00 (x)
lx0 = l0 S00 (x) or = = µx .
lx l0 S0 (x)

Define n dx as the expected number of deaths between ages x and x + n. Then,

n dx = l0 (F0 (x + n) − F0 (x))
= l0 (S0 (x) − S0 (x + n))
= lx − lx+n .

Note that Z x+n

n dx = ly µy dy = lx − lx+n .
x
If n = 1, we write 1 dx as dx . It is obvious that
dx lx+1
= qx and = px
lx lx
n dx lx+n
= n qx and = n px .
lx lx
So far, we have seen life table functions

qx , dx , lx , n dx .

Other life table functions are

e̊x , ex , Lx , mx , n Lx , n mx , a(x), . . ..

Here, we only discuss e̊x and ex . For Lx , n Lx , mx , n mx , a(x), . . ., see for example
“Actuarial Mathematics” (p.68 – 72).

7
Complete-expectation-of-life e̊x
Z ∞
e̊x = E(Tx ) = t t px µx+t dt
0
Z ∞
= t px dt
0
Z ∞ Z ∞
E(Tx2 ) = t 2
t px µx+t dt = 2 t t px dt
0 0
Z ∞
Var(Tx ) = 2 t t px dt −e̊2x
0

Curtate-expectation-of-life ex
∞
X ∞
X
ex = E(Kx ) = k k px qx+k = k px
k=0 k=1
∞
X ∞
X
E(Kx2 ) = k 2 k px qx+k = (2k − 1)k px
k=0 k=1
∞
X
Var(Kx ) = (2k − 1)k px − e2x
k=1

Example 3.

x 90 91 92 93
lx 100 87 52 0
dx 13 35 52 –

Find the curtate-expectation-of-life for x = 90, the distribution function of K90 and the
probability function for K90 .

Soln:
p90 = 0.87, = 0.52, 2 p90 3 p90 =0
∞
X
e90 = E(K90 ) = k p90
k=1
= 0.87 + 0.52 = 1.39
Let G be the distribution function of K90 and g be the probability mass function for K90 .
Then, we have
13 48
(G(k) = k+1 qx ) G(0) = q90 = , G(1) = 2 q90 = , G(2) = 1
100 100
13 35 52
(g(k) = k px qx+k ) g(0) = , g(1) = , g(2) = .
100 100 100

8
Recursive Formulas
∞
X ∞
X
ex = k px = px + k px
k=1 k=2
∞
X
= px + px k−1 px+1
k=2
∞
X
= px + px k px+1 = px (1 + ex+1 ).
k=1
Z ∞ Z 1 Z ∞
e̊x = t px dt = t px dt + t px dt
0 0 1
Z ∞ Z 1
= px t−1 px+1 dt + t px dt
1 0
Z ∞ Z 1
= px t px+1 dt + t px dt
0 0
Z 1
= t px dt + px e̊x+1 .
0

Example 4. If µx+t = t, calculate (a) t px µx+t and (b) e̊x .

Soln:

(a)
 Z x+t  
exp − S0 (x + t)
t px = µs ds  t px =


x S0(x) Z
 Z t  x 
exp −  S0 (x) = exp − µs ds

= µx+s ds 
0 0
 Z t 
= exp − s ds
0
 2
t
= exp −
2
 2
t
t px µx+t = t exp − .
2

9
 (b)
Z ∞ Z ∞
t2
e̊x = t t px µx+t dt = t2 e− 2 dt
0 0
1 ∞ 2 − t2
Z
1 t2
= t e 2 dt Note: standard normal has density √ e− 2
2 −∞ 2π
√ Z ∞
2π 1 2 −t 2
= √ t e 2 dt
2 −∞ 2π
√
2π
Var(X) + (E(X))2


= X ∼ N (0, 1)
√2 r
2π π
= (1 + 02 ) = .
2 2

Example 5. Show that

∂
(a) t px = t px (µx − µx+t )
∂x
d
(b) e̊x =e̊x µx − 1
dx
(c) ∆ ex = qx ex+1 − px

Soln:

(a)
 
∂ ∂ S0 (x + t)
t px =
∂x ∂x S0 (x)
S0 (x) ∂x S0 (x + t) − S0 (x + t)S00 (x)
∂
=
(S0 (x))2
∂   0 
S (x + t)
∂x 0 S0 (x + t) S0 (x)
= −
S0 (x) S0 (x) S0 (x)
 
−µx+t S0 (x + t) S0 (x + t)
= − (−µx )
S0 (x) S0 (x)
= t px (µx − µx+t ).

10
(b)
Z ∞
d d
e̊x = t px dt
dx dx 0
Z ∞
d R x+t
= e− x µs ds dt
dx
Z ∞0 R x+t
= (µx − µx+t ) e− x µs ds dt
Z0 ∞
= (µx − µx+t )t px dt
0
= µx e̊x − 1.

(c)

∆ex = ex+1 − ex = ex+1 − px (1 + ex+1 )

= ex+1 (1 − px ) − px
= qx ex+1 − px .

Laws of Mortality

µx S0 (x)
1 x
de Moivre (1729) 1− 0≤x<ω
ω−x ω

(ω is called the limiting age)

 
x B
Gompertz (1825) Bc exp − log c
(cx − 1) B>0
c>1
x≥0
 
B
Makeham (1860) A + B cx exp −Ax − log c
(cx − 1) B>0
A ≥ −B
c>1
x≥0
k


Weibull (1939) k xn exp − n+1 xn+1 k>0
n > −1
x≥0

11
Example 6. Using Gompertz’ law, evaluate
Z x+1
µy − µy+1
dy
x ln py

Soln:
 Z y+1   
x B y y+1
py = exp − B c dx = exp (c − c )
y ln c
B cy
ln py = (1 − c)
ln c
µy − µy+1 = B cy (1 − c)
x+1
µy − µy+1
Z
dy = ln c.
x ln py

Assumptions for Fractional Age

A bridge from tabular models (discrete) to continuous ones.

Three Assumptions

(1) Uniform Distribution of Deaths (linear interpolation)

S0 (x + t) = (1 − t)S0 (x) + tS0 (x + 1), 0≤t≤1

(2) Constant Force of Mortality (exponential interpolation)

log S0 (x + t) = (1 − t) log S0 (x) + t log S0 (x + 1), 0≤t≤1

(3) Balducci Assumption (harmonic interpolation)

1 1−t t
= + , 0≤t≤1
S0 (x + t) S0 (x) S0 (x + 1)

Under uniform distribution of deaths (UDD) assumption, we have

(i)
S0 (x) − S0 (x + t)
t qx = , 0<t<1
S0 (x)
S0 (x) − ((1 − t)S0 (x) + t S0 (x + 1)) t(S0 (x) − S0 (x + 1))
= = = t · qx
S0 (x) S0 (x)

12
(ii)

S00 (x + t) S0 (x) − S0 (x + 1) qx
µx+t = − = = , 0<t<1
S0 (x + t) (1 − t)S0 (x) + t S0 (x + 1) 1 − tqx

(iii)

S0 (x + t) − S0 (x + t + y) y qx
y qx+t = = , 0 < t < 1, 0 ≤ y ≤ 1, y + t ≤ 1
S0 (x + t) 1 − tqx

For y = 1 − t, we have
(1 − t)qx
1−t qx+t =
1 − tqx
(iv)
t px = 1 − t qx = 1 − tqx , 0<t<1
(v)
t px µx+t = qx , 0<t<1

For constant force and Balducci assumptions, we have

Constant force Balducci

tqx
t qx 1 − ptx
1 − (1 − t)qx
qx
µx+t − log px
1 − (1 − t)qx
1−t qx+t 1 − px1−t (1 − t)qx
yqx
y qx+t 1 − pyx
1 − (1 − y − t)qx
px
t px ptx
1 − (1 − t)qx
qx px
t px µx+t −ptx log px
(1 − (1 − t)qx )2
0 < t < 1, 0 ≤ y ≤ 1, y+t≤1

13
 µx+t

Uniform

Constant force

Balducci
t
0 0.5 1
x x + 0.5 x+1 age

Example. For a group of individuals all age x, you are given:

(a) px = 0.97,

(b) px+1 = 0.95,

(c) ex+1.75 = 18.5,

(d) Deaths are uniformly distributed between ages x and x + 1,

(e) The force of mortality is constant between ages x + 1 and x + 2.

Calculate ex+0.75 .

Soln: Using the recursive formula, we have

ex+0.75 = px+0.75 (1 + ex+1.75 )

= (0.25 px+0.75 ) (0.75 px+1 ) (1 + ex+1.75 )

From UDD assumption, we have

0.25 px+0.75 = 1 − 0.25 qx+0.75

0.25qx
= 1−
1 − 0.75qx
= 0.9923

From constant force assumption, we have

0.75 px+1 = (px+1 )0.75

= 0.9623

14
 Hence,

ex+0.75 = (0.25 px+0.75 ) (0.75 px+1 ) (1 + ex+1.75 )

= (0.9923) (0.9623) (1 + 18.5)
= 18.62

For notational convenience, we write

Tx = T = future lifetime
Kx = K = curtate-future-lifetime

so T = K + S, S ∈ (0, 1)

Now, S represents the fractional part of a year lived in the year of death.

Pr ((K = k) ∩ (S ≤ s)) = Pr(k ≤ T ≤ k + s)

= k px s qx+k

= k px · s · qx+k under UDD

= Pr(K = k) Pr(S ≤ s)

so K and S are independent under UDD with S ∼ uniform(0,1) random variable.

In general, STATISTICAL INDEPENDENCE OF K and S leads to a simplified analysis

of many problems. In this case, we have

Pr ((K = k) ∩ (S ≤ s)) = Pr(K = k) Pr(S ≤ s)

for k = 0, 1, 2, . . . and 0 < s < 1.

If Pr(S ≤ s|K = k) = H(s) (some function not depending on k) for all k, then by the
law of total probability,
∞
X
Pr(S ≤ s) = Pr(S ≤ s|K = k) Pr(K = k)
k=0
= H(s).

so H(s) is a distribution function on (0, 1) and

Pr ((K = k) ∩ (S ≤ s)) = Pr(K = k) Pr(S ≤ s|K = k)

= Pr(K = k)H(s)
= Pr(K = k) Pr(S ≤ s).

15
Hence, K and S are independent if and only if
Pr ((K = k) ∩ (S ≤ s))
Pr(S ≤ s|K = k) =
Pr(K = k)
k px s qx+k s qx+k
= = = H(s).
k px qx+k qx+k
| {z }
independent of k

For example, some choices of S would be

(1) S ∼ U (0, 1), that is, UDD assumption

Γ(α + β) α−1
(2) S ∼ Beta(α, β), with probability density function H 0 (s) = s (1 − s)β−1
Γ(α)Γ(β)
(where α > 0 and β > 0 are parameters)

1 1
Example 7. Under the UDD assumption, S ∼ U (0, 1) has mean 2
and variance 12
.
Hence,
e̊x = E(T ) = E(K) + E(S)
1
= ex + ,
2
Var(T ) = Var(K + S)
= Var(K) + Var(S)
1
= Var(K) + .
12

Example 8. A life aged 50 is subject to an extra hazard during the year of age 50
to 51. If the standard probability of death from age 50 to 51 is 0.006, and if the extra
risk may be expressed by an addition to the standard force of mortality that decreases
uniformly from 0.03 at the beginning of the year to 0 at the end of the year, calculate
the probability that the life will survive to age 51.

Soln: Let µ50+t be the standard force of mortality and let µ00 (50 + t) be the force of
mortality with extra risk. Then, µ00 (50 + t) = µ50+t + 0.03(1 − t). Denote the standard
probability of survival by p50 and the probability of survival with extra risk by p050 . The
probability that the life aged 50 with an extra hazard will survive to age 51 is
 Z 1 
0
p50 = exp − [µ50+t + 0.03(1 − t)] dt
0
 1 
2
0.03(1 − t)  
= p50 exp 
2


0
−0.015
= p50 e = (1 − 0.006) e−0.015
= 0.9792.

16
Select and Ultimate Tables

A life-insurance applicant provides extensive information regarding personal health, in-

come, family history, and so on.

Then, the underwriter examines this information to see if the risk in insuring the applicant
is appropriate for the life table used in pricing.

Without this evaluation, people would postpone buying life insurance until they con-
tracted a fatal disease or reached old age (higher chance to have early claims).

The q25 values for individuals underwritten at age 0, 1, 2, . . . , 25 are denoted by

q[0]+25 , q[1]+24 , . . . , q[25] .

Intuitively, one would expect

q[0]+25 > q[1]+24 > · · · > q[25]

In the notation q[x]+t , [x] represents the age at selection and t is the duration since
selection.

The impact of selection may diminish with respect to time following selection. It leads
to a set of select and ultimate tables.

Practically, for durations beyond a certain r,

q[x−j]+r+j ∼
= q[x]+r , 0 ≤ j ≤ x.

Then, such an r is called the select period. Beyond the select period, the probabilities of
death are subscripted by the attained age only, that is, q[x−j]+r+j (for j ≥ 0) is written
as qx+r . For example, with r = 15, q[30]+15 and q[25]+20 would both be written as q45 .

A life table in which the functions are given only for the attained ages is called an
aggregate table. The last column in a select-and-ultimate table is a special aggregate
table that is usually referred to as an ultimate table, to reflect the select table setting.

17
 Select and Ultimate Table with r-year Select Period
Age at Mortality rates q[x]+t with duration t
selection
x q[x] q[x]+1 ··· q[x]+r−1 qx+r qx+r+1
.. .. .. .. .. ..
. . . ··· . . .
.. .. .. .. .. ..
. . . ··· . . .
.. .. .. .. .. ..
. . . ··· . . .
.. .. .. .. .. ..
. . . ··· . . .
30 q[30] q[30]+1 ··· q[30]+r−1 q30+r q30+r+1

31 q[31] q[31]+1 ··· q[31]+r−1 q31+r q31+r+1

32 q[32] q[32]+1 ··· q[32]+r−1 q32+r q32+r+1
.. .. .. .. .. ..
. . . ··· . . .
.. .. .. .. .. ..
. . . ··· . . .
.. .. .. .. .. ..
. . . ··· . . .
.. .. .. .. .. ..
. . . ··· . . .

Example 9. For a 3-year select table, you are given

[x] l[x] l[x]+1 l[x]+2 lx+3 x+3

18 1200 21
19 1150 22
20 1090 23
21 1186 1139 1086 1020 24
940 25
850 26
l[21]+3 l24 1020 | {z }
so p[21]+2 = = =
l[21]+2 l[21]+2 1086 ultimate portion
l[21]+1 − l25 with mortality
1139 − 940
and 3 q[21]+1 = = undifferentiated
l[21]+1 1139
by age at issue

Example 10. A 5-year select and ultimate table is as follows:

(
4(0.001t + 0.245)lx+t , 0≤t<5
lx = 100 − x and l[x]+t =
lx+t , t≥5
Compute the probability that a life now aged 21 and selected 1 year ago, will survive to
age 24.

18
Soln:
l[20]+4
3 p[20]+1 =
l[20]+1
4(0.004 + 0.245)(100 − 24)
=
4(0.001 + 0.245)(100 − 21)
75.696
=
77.736
= 0.97376.

19