UNIVERSIDAD CARLOS III

MASTER EN CIENCIAS ACTUARIALES Y FINANCIERAS

Future Lifetime of a life aged (x) Introduction: Conditioned Random Variable

The random variable Future Lifetime of a life aged (x) is, by its own nature, conditioned. Conditioned or subject to what ?? Conditioned to the event that the person will be alive at age (x). Then, the events related with this random variable will be always conditioned to the event: !! 0 ! x"

Instant of Death. Continuous Future Lifetime of a life aged (x):New-born: ! x

Cummulative Distribution function (c.d.f.)
F ! x #y$ ! P!! x " y" ! P x " !0 " x # y | !0 ! x ! P x " !0 " x # y P !0 ! x ! F ! 0 #x # y$ # F ! 0 #x$ S ! 0 #x$

y $ #0, " # x%%&$

Density function
f ! x #y$ !
dF !x #y$ dy

f !0 #x#y$ S !0 #x$

$ F ! x #y$ !

& 0 f !0 #x#z$dz
S !0 #x$

Survival Function

S ! x #y$ ! P!! x % y" ! P x # y " !0 | !0 ! x ! P x # y " !0 P !0 ! x ! S ! 0 #x # y$ S ! 0 #x$

Moments
E%#! x $ m & ! & E%#! x $& ! &
0

"#x m z f ! x #z$dz 0

"#x

z f ! x #z$dz ! &

"#x 0

S ! x #z$dz ! e x

Expected continuous f. l. of a life aged (x)

Miscellaneous Functions
n-years(y-years) temporary expected future lifetime of a life aged (x)
e x:y'
o

! ! !

& 0 z f ! #z$dz # y & y

y
x

"#x#%$

f ! x #z$dz

& 0 S ! #z$ dz
y
x

&0
y

S ! 0 #x # z$ dz (Continuous) S ! 0 #x$

Remark Remark Remark

npx 0px

! S ! d #n # 1$ n ! 1, 2, . . . x !1
0qx

!0

lim e x:y' y$"

! ex

Central-death Rates
y m !x

F ! x #y$ e x:y'
o

Hazard Rate or Force of Mortality of a new-born (Continuous)

f #z$ # x #z$ ! ! x ! S ! x #z$ !

f !0 #x#z$ S !0 #x$ S !0 #x#z$ S !0 #x$

f ! 0 #x # z$ ! # 0 #x # z$ S ! 0 #x # z$
& &

S #x # z$ S #z$ f #z$ ! # !x ! # !0 # x #z$ ! ! x S ! 0 #x # z$ S ! x #z$ S ! x #z$ d log#S ! x #z$$ ' dz y y d log#S #z$$ !x dz # & # x #z$dz ! & dz 0 0 !# !

& 0 d log#S ! #z$$

y
x

! %log#S ! x #y$$ # log#S ! x #0$$& ! log#S ! x #y$$ ' S ! x #y$ ! e f ! x #y$ ! e

# #

& 0 #x #z$dz & 0 #x #z$dz

y

# x #y$

S ! x #y$ ! e f ! x #y$ ! e !e

# # #

& 0 #0 #x#z$dz & 0 #0 #x#z$dz &x

x#y # 0 #z$dz y

!e

&x

x#y

# 0 #z$dz

# 0 #x # y$ # 0 #x # y$

Extremely Important!!!! ! ! ! ! F ! x #y$ ' Percentage of lifetime of a life aged (x) lived up to instant-age x#y S ! x #y$ ' Remaining lifetime of a life aged (x) after instant-age x#y. f ! x #y$ ' Speed of death of a life aged (x) at instant-age x#y. # x #y$ ! # 0 #x # y$ ' Relative speed of death of a life aged (x) at instant-age x#y. It is equal to the relative speed of death of a new born at the same instant-age x#y. DO NOT DEPEND ON THE INITIAL AGE BUT ON THE INSTANT-AGE CONSIDERED # x #y$ ( # 0 #y$

Remark Be careful, though!

Example

************************************************* Remark F ! d #n # 1$ is the probability of dying with age x or x$1 or x$2 or x$(n-1); in other x words, the probability of dying of a life aged (x) during the next n years, n q x Remark Also, mind that
1qx

! F ! d #0$ ! P!! d ! 0" x x

Important Formulas
k#1 p 0

!x p0

#k#1$ p x

F ! x #y$ !

F ! 0 #x # y$ # F ! 0 #x$ S ! 0 #x$ f ! 0 #x # y$ S ! 0 #x$ S ! 0 #x # y$ S ! 0 #x$

f ! x #y$ !

S ! x #y$ !

E%#! x $& !

&0

"#x

z f ! x #z$dz !

&0

"#x

S ! x #z$dz ! e x

# x #z$ !

f ! x #z$ S ! x #z$ f #x # z$ ! !0 ! # 0 #x # z$ S ! 0 #x # z$
# # #

S ! x #y$ ! e f ! x #y$ ! e !e

& 0 #0 #x#z$dz & 0 #0 #x#z$dz &x

x#y # 0 #z$dz y

!e

&x

x#y

# 0 #z$dz

# 0 #x # y$ # 0 #x # y$