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Lecture: Weeks 1-3

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 1 / 25

Chapter summary

Chapter summary

Survival models

Age-at-death random variable

Time-until-death random variables

Force of mortality (or hazard rate function)

Some parametric models

De Moivre’s (Uniform), Exponential, Weibull, Makeham, Gompertz

Generalization of De Moivre’s

Curtate future lifetime

Chapter 2 (Dickson, et al.)

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 2 / 25

Age-at-death survival function

Age-at-death random variable

Denote by X the age-at-death random variable, assumed to be

continuous, non-negative

X is interpreted as the lifetime of a newborn (individual from birth)

Distribution of X is often described by its survival distribution

function (SDF) deﬁned by

S

0

(x) = Pr[X > x]

other term used: survival function; decumulative distribution function

Properties of the survival function:

S

0

(0) = 1: probability a newborn survives 0 years is 1.

S

0

(∞) = lim

x→∞

S

0

(x) = 0: all lives eventually die.

non-increasing function of x: not possible to have a higher probability

of surviving for a longer period.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 3 / 25

Age-at-death CDF and density

Cumulative distribution and density functions

Cumulative distribution function (CDF): F

0

(x) = Pr[X ≤ x]

nondecreasing; F

0

(0) = 0; and F

0

(∞) = 1.

Clearly we have: F

0

(x) = 1 −S

0

(x)

Density function: f

0

(x) =

dF

0

(x)

dx

= −

dS

0

(x)

dx

non-negative: f

0

(x) ≥ 0 for any x ≥ 0

in terms of CDF: F

0

(x) =

_

x

0

f

0

(z)dz

in terms of SDF: S

0

(x) =

_

∞

x

f

0

(z)dz

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 4 / 25

Age-at-death force of mortality

Force of mortality

Deﬁne the force of mortality for a newborn at age x as

µ

x

= lim

∆x→0

1

∆x

Pr[x < X ≤ x + ∆x|X > x]

= lim

∆x→0

F

0

(x + ∆x) −F

0

(x)

∆x[1 −F

0

(x)]

= lim

∆x→0

S

0

(x) −S

0

(x + ∆x)

∆xS

0

(x)

=

f

0

(x)

1 −F

0

(x)

=

f

0

(x)

S

0

(x)

= −

d log S

0

(x)

dx

.

Interpreted as the conditional instantaneous measure of death at x.

For very small ∆x, µ

x

∆x can be interpreted as the probability that a

newborn who has attained age x dies between x and x + ∆x. This is

because

µ

x

∆x ≈ Pr[x < X ≤ x + ∆x|X > x]

Other term used: hazard rate at age x.

Other notation used: λ

0

(x)

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 5 / 25

Age-at-death force of mortality

Some properties of µ

x

Some important properties of the force of mortality:

non-negative: µ

x

≥ 0 for every x > 0

divergence:

_

∞

0

µ

x

dx = ∞.

in terms of SDF: S

0

(x) = exp

_

−

_

x

0

µ

z

dz

_

.

in terms of PDF: f

0

(x) = µ

x

exp

_

−

_

x

0

µ

z

dz

_

.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 6 / 25

Age-at-death moments

Moments of age-at-death random variable

The mean of X is called the complete expectation of life at birth:

˚e

0

= E(X) =

_

∞

0

xf

0

(x) dx =

_

∞

0

S

0

(x) dx.

The RHS of the equation can be derived using integration by parts.

Variance:

Var (X) = E

_

X

2

_

−[E(X)]

2

= E

_

X

2

_

−(˚e

0

)

2

.

The median age-at-death m is the solution to

S

0

(m) = F

0

(m) = 1/2.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 7 / 25

Special laws of mortality

Some special parametric laws of mortality

Law/distribution µ

x

S

0

(x) Restrictions

De Moivre 1/ (ω −x) 1 −(x/ω) 0 ≤ x < ω

(uniform)

Constant force µ exp (−µx) x ≥ 0, µ > 0

(exponential)

Gompertz Bc

x

exp

_

−

B

log c

(c

x

−1)

_

x ≥ 0, B > 0, c > 1

Makeham A+Bc

x

exp

_

−Ax −

B

log c

(c

x

−1)

_

x ≥ 0, B > 0, c > 1,

A ≥ −B

Weibull kx

n

exp

_

−

k

n + 1

x

n+1

_

x ≥ 0, k > 0, n > 1

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 8 / 25

Special laws of mortality

0 20 40 60 80 100 120

0

.

0

0

.

5

1

.

0

1

.

5

2

.

0

2

.

5

3

.

0

force of mortality

x

m

u

(

x

)

0 20 40 60 80 100 120

0

.

0

0

.

2

0

.

4

0

.

6

0

.

8

1

.

0

survival function

x

s

u

r

v

(

x

)

0 20 40 60 80 100 120

0

.

0

0

.

2

0

.

4

0

.

6

0

.

8

1

.

0

distribution function

x

d

is

t

(

x

)

0 20 40 60 80 100 120

0

.

0

0

0

0

.

0

0

5

0

.

0

1

0

0

.

0

1

5

0

.

0

2

0

0

.

0

2

5

0

.

0

3

0

density function

x

d

e

n

s

(

x

)

Figure: Makeham’s law: A = 0.002, B = 10

−4.5

, c = 1.10

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 9 / 25

Special laws of mortality illustrative example 1

Illustrative example 1

Consider an age-at-death random variable X with survival distribution

deﬁned by

S

0

(x) =

1

10

(100 −x)

1/2

, for 0 ≤ x ≤ 100.

1

Explain why this is a legitimate survival function.

2

Find the corresponding expression for the density of X.

3

Find the corresponding expression for the force of mortality at x.

4

Compute the probability that a newborn with survival function

deﬁned above will die between the ages 65 and 75.

Solution to be discussed in lecture.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 10 / 25

Time-until-death

Time-until-death random variable

For a person currently age x, its future lifetime is denoted by

T

x

= X −x. For a newborn, x = 0, so that we have T

0

= X.

Life-age-x is denoted by (x).

SDF: It refers to the probability that (x) will survive for another t

years.

S

x

(t) = Pr[X > x +t|X > x] =

S

0

(x +t)

S

0

(x)

= p

t x

= 1 − q

t x

CDF: It refers to the probability that (x) will die within t years.

F

x

(t) = Pr[X ≤ x +t|X > x] =

S

0

(x) −S

0

(x +t)

S

0

(x)

= q

t x

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 11 / 25

Time-until-death

- continued

Density:

f

x

(t) =

dF

x

(t)

dt

= −

dS

x

(t)

dt

=

f

0

(x +t)

S

0

(x)

.

Remark: If t = 1, simply use p

x

and q

x

.

p

x

refers to the probability that (x) survives for another year.

q

x

= 1 −p

x

, on the other hand, refers to the probability that (x) dies

within one year.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 12 / 25

Time-until-death force of mortality

Force of mortality of T

x

In deriving the force of mortality, we can use the basic deﬁnition:

µ

x

(t) =

f

x

(t)

S

x

(t)

=

f

0

(x +t)

S

0

(x)

·

S

0

(x)

S

0

(x +t)

=

f

0

(x +t)

S

0

(x +t)

= µ

x+t

.

This is easy to see because the condition of survival to age x +t

supercedes the condition of survival to age x.

This results implies the following very useful formula for evaluating

the density of T

x

:

f

x

(t) = p

t x

×µ

x+t

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 13 / 25

Time-until-death special prob symbol

Special probability symbol

The probability that (x) will survive for t years and die within the

next u years is denoted by q

t|u x

. This is equivalent to the probability

that (x) will die between the ages of x +t and x +t +u.

This can be computed in several ways:

t|u

q

x

= Pr[t < T

x

≤ t +u]

= Pr[T

x

≤ t +u] −Pr[T

x

< t]

= q

t+u x

− q

t x

= p

t x

− p

t+u x

= p

t x

× q

u x+t

.

If u = 1, preﬁx is deleted and simply use q

t| x

.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 14 / 25

Time-until-death

Other useful formulas

It is easy to see that

F

x

(t) =

_

t

0

f

x

(s)ds

which in actuarial notation can be written as

q

t x

=

_

t

0

p

s x

µ

x+s

ds

See Figure 2.3 for a very nice interpretation.

We can generalize this to

t|u

q

x

=

_

t+u

t

p

s x

µ

x+s

ds

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 15 / 25

Time-until-death curtate future lifetime

Curtate future lifetime

The curtate future lifetime of (x) refers to the number of future years

completed by (x) prior to death.

Denote by (deﬁned as) K

x

= T

x

, the greatest integer of T

x

.

Its probability mass function can be expressed as

Pr[K

x

= k] = Pr[k ≤ T

x

< k + 1] = Pr[k < T

x

≤ k + 1]

= S

x

(k) −S

x

(k + 1) = q

k+1 x

− q

k x

= q

k| x

,

for k = 0, 1, 2, ...

Its distribution function is

Pr[K

x

≤ k] =

k

h=0

q

h| x

= q

k+1 x

.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 16 / 25

Expectation of life

Expectation of life

The expected value of T

x

is called the complete expectation of life:

˚e

x

= E(T

x

) =

_

∞

0

tf

x

(t)dt =

_

∞

0

t p

t x

µ

x+t

dt =

_

∞

0

p

t x

dt.

The expected value of K

x

is called the curtate expectation of life:

e

x

= E(K

x

) =

∞

k=0

k · Pr[K

x

= k] =

∞

k=0

k · q

k| x

=

∞

k=1

p

k x

.

Proof can be derived using discrete counterpart of integration by parts

(summation by parts). Alternative proof will be provided in class.

Variances of future lifetime can be similarly deﬁned.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 17 / 25

Expectation of life Examples

Illustrative Example 2

Let X be the age-at-death random variable with

µ

x

=

1

2(100 −x)

, for 0 ≤ x < 100.

1

Give an expression for the survival function of X.

2

Find f

36

(t), the density function of future lifetime of (36).

3

Compute p

20 36

, the probability that life (36) will survive to reach age

56.

4

Compute ˚e

36

, the average future lifetime of (36).

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 18 / 25

Expectation of life Examples

Illustrative Example 3

Suppose you are given that:

˚e

0

= 30; and

S

X

(x) = 1 −

x

ω

, for 0 ≤ x ≤ ω.

Evaluate ˚e

15

.

Solution to be discussed in lecture.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 19 / 25

Expectation of life

Temporary expectation of life

We can also deﬁne temporary expectation of life:

˚e

x: n

=

_

n

0

p

t x

dt

This can be interpreted as the average future lifetime of (x) within the

next n years.

Suppose you are given:

µ

x

=

_

0.04, 0 < x < 40

0.05, x ≥ 40

Calculate ˚e

25: 25

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 20 / 25

Expectation of life generalized De Moivre’s

Generalized De Moivre’s law

The SDF of the so-called Generalized De Moivre’s Law is expressed as

S

0

(x) =

_

1 −

x

ω

_

α

for 0 ≤ x ≤ ω.

Derive the following for this special type of law of mortality:

1

force of mortality

2

survival function associated with T

x

3

expectation of future lifetime of x

4

can you ﬁnd explicit expression for the variance of T

x

?

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 21 / 25

Others typical mortality

Typical mortality pattern observed

High (infant) mortality rate in the ﬁrst year after birth.

Average lifetime (nowadays) range between 70-80 - varies from

country to country.

Fewer lives/deaths observed after age 110 - supercentenarian is the

term used to refer to someone who has reached age 110 or more.

The highest recorded age at death (I believe) is 122.

Diﬀerent male/female mortality pattern - females are believed to live

longer.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 22 / 25

Others substandard mortality

Substandard mortality

A substandard risk is generally referred to someone classiﬁed by the

insurance company as having a higher chance of dying because of:

some physical condition

family or personal medical history

risky occupation

dangerous habits or lifestyle (e.g. skydiving)

Mortality functions are superscripted with s to denote substandard:

q

s

x

and µ

s

x

.

For example, substandard mortality may be obtained from a standard

table using:

1

adding a constant to force of mortality: µ

s

x

= µ

x

+c

2

multiplying a ﬁxed constant to probability: q

s

x

= min(kq

x

, 1)

The opposite of a substandard risk is preferred risk where someone is

classiﬁed to have better chance of survival.

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 23 / 25

Final remark

Final remark - other contexts

The notion of a lifetime or survival learned in this chapter can be

applied in several other contexts:

engineering: lifetime of a machine, lifetime of a lightbulb

medical statistics: time-until-death from diagnosis of a disease, survival

after surgery

ﬁnance: time-until-default of credit payment in a bond,

time-until-bankruptcy of a company

space probe: probability radios installed in space continue to transmit

biology: lifetime of an organism

other actuarial context: disability, sickness/illness, retirement,

unemployment

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 24 / 25

Final remark other notations

Other symbols and notations used

Expression Other symbols used

probability function P(·) Pr(·)

survival function of newborn S

X

(x) S(x) s(x)

future lifetime of x T(x) T

curtate future lifetime of x K(x) K

survival function of x S

T

x

(t) S

T

(t)

force of mortality of T

x

µ

T

x

(t) µ

x

(t)

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 - Valdez 25 / 25

Chapter summary

Chapter summary

Survival models

Age-at-death random variable Time-until-death random variables Force of mortality (or hazard rate function) Some parametric models

De Moivre’s (Uniform), Exponential, Weibull, Makeham, Gompertz Generalization of De Moivre’s

Curtate future lifetime

Chapter 2 (Dickson, et al.)

Lecture: Weeks 1-3 (Math 3630)

Survival Models

Fall 2011 - Valdez

2 / 25

Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . decumulative distribution function Properties of the survival function: S0 (0) = 1: probability a newborn survives 0 years is 1. S0 (∞) = limx→∞ S0 (x) = 0: all lives eventually die.Age-at-death survival function Age-at-death random variable Denote by X the age-at-death random variable. non-increasing function of x: not possible to have a higher probability of surviving for a longer period. assumed to be continuous.Valdez 3 / 25 . non-negative X is interpreted as the lifetime of a newborn (individual from birth) Distribution of X is often described by its survival distribution function (SDF) deﬁned by S0 (x) = Pr[X > x] other term used: survival function.

Valdez 4 / 25 . Clearly we have: F0 (x) = 1 − S0 (x) Density function: f0 (x) = dF0 (x) dS0 (x) =− dx dx x non-negative: f0 (x) ≥ 0 for any x ≥ 0 in terms of CDF: F0 (x) = in terms of SDF: S0 (x) = x f0 (z)dz 0 ∞ f0 (z)dz Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .Age-at-death CDF and density Cumulative distribution and density functions Cumulative distribution function (CDF): F0 (x) = Pr[X ≤ x] nondecreasing. and F0 (∞) = 1. F0 (0) = 0.

This is because µx ∆x ≈ Pr[x < X ≤ x + ∆x|X > x] Other term used: hazard rate at age x.Valdez 5 / 25 . Other notation used: λ0 (x) Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . µx ∆x can be interpreted as the probability that a newborn who has attained age x dies between x and x + ∆x.Age-at-death force of mortality Force of mortality Deﬁne the force of mortality for a newborn at age x as 1 µx = lim Pr[x < X ≤ x + ∆x|X > x] ∆x→0 ∆x F0 (x + ∆x) − F0 (x) S0 (x) − S0 (x + ∆x) = lim = lim ∆x→0 ∆x→0 ∆x[1 − F0 (x)] ∆xS0 (x) f0 (x) f0 (x) d log S0 (x) = = =− . For very small ∆x. 1 − F0 (x) S0 (x) dx Interpreted as the conditional instantaneous measure of death at x.

Age-at-death force of mortality Some properties of µx Some important properties of the force of mortality: non-negative: µx ≥ 0 for every x > 0 ∞ divergence: 0 µx dx = ∞. x in terms of PDF: f0 (x) = µx exp − 0 µz dz .Valdez 6 / 25 . Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . x in terms of SDF: S0 (x) = exp − 0 µz dz .

Variance: Var (X) = E X 2 − [E (X)]2 = E X 2 − (˚0 )2 .Valdez 7 / 25 .Age-at-death moments Moments of age-at-death random variable The mean of X is called the complete expectation of life at birth: ∞ ∞ ˚0 = E (X) = e 0 xf0 (x) dx = 0 S0 (x) dx. Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . e The median age-at-death m is the solution to S0 (m) = F0 (m) = 1/2. The RHS of the equation can be derived using integration by parts.

B > 0. k > 0.Valdez 8 / 25 .Special laws of mortality Some special parametric laws of mortality Law/distribution De Moivre (uniform) Constant force (exponential) Gompertz µx 1/ (ω − x) µ Bcx S0 (x) 1 − (x/ω) exp (−µx) exp − B (cx − 1) log c B (cx − 1) log c Restrictions 0≤x<ω x ≥ 0. B > 0. c > 1 Makeham A + Bcx exp −Ax − x ≥ 0. µ > 0 x ≥ 0. n > 1 Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . A ≥ −B Weibull kxn k exp − xn+1 n+1 x ≥ 0. c > 1.

0 0.0 0.015 0.0 0 0.6 dens(x) 0.5 0.8 1.2 0.030 1.6 0.5 1.2 0.4 0.0 20 40 60 x 80 100 120 Figure: Makeham’s law: A = 0.Valdez 9 / 25 .10 Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .5 2.8 0.002. B = 10−4.0 surv(x) 0 20 40 60 x 80 100 120 mu(x) 1.025 0.000 0 0.5 .020 0.0 0 20 40 60 x 80 100 120 dist(x) 0.0 2.4 0. c = 1.Special laws of mortality force of mortality survival function 3.005 0.0 20 40 60 x 80 100 120 distribution function density function 0.010 0.

Solution to be discussed in lecture. Compute the probability that a newborn with survival function deﬁned above will die between the ages 65 and 75. for 0 ≤ x ≤ 100.Valdez 10 / 25 . 10 1 2 3 4 Explain why this is a legitimate survival function. Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . Find the corresponding expression for the density of X.Special laws of mortality illustrative example 1 Illustrative example 1 Consider an age-at-death random variable X with survival distribution deﬁned by 1 S0 (x) = (100 − x)1/2 . Find the corresponding expression for the force of mortality at x.

its future lifetime is denoted by Tx = X − x.Valdez 11 / 25 . SDF: It refers to the probability that (x) will survive for another t years. For a newborn. Life-age-x is denoted by (x). Sx (t) = Pr[X > x + t|X > x] = S0 (x + t) = tpx = 1 − tqx S0 (x) CDF: It refers to the probability that (x) will die within t years.Time-until-death Time-until-death random variable For a person currently age x. Fx (t) = Pr[X ≤ x + t|X > x] = S0 (x) − S0 (x + t) = t qx S0 (x) Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . so that we have T0 = X. x = 0.

px refers to the probability that (x) survives for another year. dt dt S0 (x) Remark: If t = 1.continued Density: fx (t) = dSx (t) f0 (x + t) dFx (t) =− = . on the other hand.Time-until-death . Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . simply use px and qx .Valdez 12 / 25 . refers to the probability that (x) dies within one year. qx = 1 − px .

S0 (x + t) This is easy to see because the condition of survival to age x + t supercedes the condition of survival to age x. we can use the basic deﬁnition: µx (t) = = f0 (x + t) S0 (x) fx (t) = · Sx (t) S0 (x) S0 (x + t) f0 (x + t) = µx+t . This results implies the following very useful formula for evaluating the density of Tx : fx (t) = tpx × µx+t Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .Valdez 13 / 25 .Time-until-death force of mortality Force of mortality of Tx In deriving the force of mortality.

Time-until-death special prob symbol Special probability symbol The probability that (x) will survive for t years and die within the next u years is denoted by t|uqx . This can be computed in several ways: t|u qx = Pr[t < Tx ≤ t + u] = Pr[Tx ≤ t + u] − Pr[Tx < t] = = = t+u qx tpx tpx − t qx − t+upx × uqx+t . This is equivalent to the probability that (x) will die between the ages of x + t and x + t + u. preﬁx is deleted and simply use t|qx .Valdez 14 / 25 . Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . If u = 1.

We can generalize this to t+u t|u qx = t spx µx+s ds Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .3 for a very nice interpretation.Valdez 15 / 25 .Time-until-death Other useful formulas It is easy to see that t Fx (t) = 0 fx (s)ds which in actuarial notation can be written as t t qx = 0 spx µx+s ds See Figure 2.

Valdez 16 / 25 . . 2. Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .. Denote by (deﬁned as) Kx = Tx .. 1. for k = 0. Its distribution function is k Pr[Kx ≤ k] = h=0 h| qx = k+1qx . the greatest integer of Tx .Time-until-death curtate future lifetime Curtate future lifetime The curtate future lifetime of (x) refers to the number of future years completed by (x) prior to death. Its probability mass function can be expressed as Pr[Kx = k] = Pr[k ≤ Tx < k + 1] = Pr[k < Tx ≤ k + 1] = Sx (k) − Sx (k + 1) = k+1qx − k qx = k|qx .

Expectation of life Expectation of life The expected value of Tx is called the complete expectation of life: ∞ ∞ ∞ ˚x = E(Tx ) = e 0 tfx (t)dt = 0 t tpx µx+t dt = 0 tpx dt. Variances of future lifetime can be similarly deﬁned. Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . Alternative proof will be provided in class.Valdez 17 / 25 . The expected value of Kx is called the curtate expectation of life: ∞ ∞ ∞ ex = E(Kx ) = k=0 k · Pr[Kx = k] = k=0 k · k|qx = k=1 kpx . Proof can be derived using discrete counterpart of integration by parts (summation by parts).

Compute 56.Expectation of life Examples Illustrative Example 2 Let X be the age-at-death random variable with µx = 1 . e Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . 20p36 . the average future lifetime of (36). 2(100 − x) 1 2 3 Give an expression for the survival function of X. Find f36 (t).Valdez 18 / 25 . for 0 ≤ x < 100. the probability that life (36) will survive to reach age 4 Compute ˚36 . the density function of future lifetime of (36).

Valdez 19 / 25 . x . e Solution to be discussed in lecture. for 0 ≤ x ≤ ω.Expectation of life Examples Illustrative Example 3 Suppose you are given that: ˚0 = 30. ω Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . and e SX (x) = 1 − Evaluate ˚15 .

Valdez 20 / 25 . Suppose you are given: µx = Calculate ˚25: 25 e 0.04.05.Expectation of life Temporary expectation of life We can also deﬁne temporary expectation of life: n ˚x: n = e tpx dt 0 This can be interpreted as the average future lifetime of (x) within the next n years. x ≥ 40 Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . 0 < x < 40 0.

Expectation of life generalized De Moivre’s Generalized De Moivre’s law The SDF of the so-called Generalized De Moivre’s Law is expressed as S0 (x) = 1 − x ω α for 0 ≤ x ≤ ω.Valdez 21 / 25 . Derive the following for this special type of law of mortality: 1 2 3 4 force of mortality survival function associated with Tx expectation of future lifetime of x can you ﬁnd explicit expression for the variance of Tx ? Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .

Diﬀerent male/female mortality pattern .varies from country to country.supercentenarian is the term used to refer to someone who has reached age 110 or more. The highest recorded age at death (I believe) is 122.Valdez 22 / 25 . Average lifetime (nowadays) range between 70-80 . Fewer lives/deaths observed after age 110 .females are believed to live longer.Others typical mortality Typical mortality pattern observed High (infant) mortality rate in the ﬁrst year after birth. Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .

x For example. skydiving) Mortality functions are superscripted with s to denote substandard: s qx and µs .Valdez 23 / 25 . Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .g. substandard mortality may be obtained from a standard table using: 1 2 adding a constant to force of mortality: µs = µx + c x s multiplying a ﬁxed constant to probability: qx = min(kqx . 1) The opposite of a substandard risk is preferred risk where someone is classiﬁed to have better chance of survival.Others substandard mortality Substandard mortality A substandard risk is generally referred to someone classiﬁed by the insurance company as having a higher chance of dying because of: some physical condition family or personal medical history risky occupation dangerous habits or lifestyle (e.

sickness/illness.Final remark Final remark . time-until-bankruptcy of a company space probe: probability radios installed in space continue to transmit biology: lifetime of an organism other actuarial context: disability. retirement.Valdez 24 / 25 . survival after surgery ﬁnance: time-until-default of credit payment in a bond. unemployment Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 . lifetime of a lightbulb medical statistics: time-until-death from diagnosis of a disease.other contexts The notion of a lifetime or survival learned in this chapter can be applied in several other contexts: engineering: lifetime of a machine.

Final remark other notations Other symbols and notations used Expression probability function survival function of newborn future lifetime of x curtate future lifetime of x survival function of x force of mortality of Tx Other symbols used P (·) Pr(·) SX (x) S(x) s(x) T (x) K(x) STx (t) µTx (t) T K ST (t) µx (t) Lecture: Weeks 1-3 (Math 3630) Survival Models Fall 2011 .Valdez 25 / 25 .

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