Section 6.4.

6.3 Random joint lifetimes

It is also possible to specify a joint lives model via random future lifetimes. We have the
random variables:

Tx = the future lifetime of (x)

Ty = the future lifetime of (y).

Now define the random variables:

Tmin = min(Tx , Ty ) and

Tmax = max(Tx , Ty ).

Tmin is the random time until the first death occurs, and Tmax is the random time until the

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second death occurs.

The distribution of Tmin

Define:

t qxy = P {Tmin ≤ t} (c.d.f.)

t pxy = P {Tmin > t}

So that: t qxy + t pxy = 1.

Now if Tx and Ty are independent:

t pxy = P {Tmin > t}

= P {Tx > t and Ty > t}
= P {Tx > t} × P {Ty > t}
= t p x t py

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and (useful result) the joint life survival function t pxy is the product of the single life
survival functions.

If Tx and Ty are not independent then we cannot write t pxy = t p x t py .

If Tx and Ty are independent then also:

t qxy = 1 − t pxy
= 1 − t px t p y
= 1 − {(1 − t qx )(1 − t qy )}
= t qx + t q y − t qx t qy .

Example: Given n qx = 0.2 and n qy = 0.4

calculate n qxy and n pxy .

Solution:

n qxy = n qx + n qy − n qx n qy

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 = 0.2 + 0.4 − 0.2 × 0.4
= 0.52

n pxy = n px × n py
= 0.8 × 0.6
= 0.48

To simplify the evaluation of probabilities, like t pxy , we can develop a life table function,
lxy , associated with Tmin .
If Tx and Ty are independent then:

lx+t ly+t lx+t:y+t

t pxy = t px t py = =
lx l y lx:y
where:
lxy = lx ly .

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