B.

Survival Models and Life Tables

RANDOM VARIABLES

LIFE TABLES

Tx future lifetime of (x)

lx expected number of survivors at (x)

TEMPORARY LIFE EXPECTANCY

Z n

ex:n = E[Wx ] =
t px dt
0

Kx number of completed future years by

(x) prior to death.

n dx

expected number of deaths between

ages x and x + n

Kx = bTx c

ex:n = E[Kx n] =
E[Wx2 ] = 2

k px

Out of births, one dies every year until they

are all dead.
Future lifetime is uniformly distributed from 0
to x.

k=1

n
X

DE MOIVRES LAW

`x = k ( x)

t t px dt
0

Wx future lifetime or n years whichever is

less.
Wx = Tx n

FORCE OF MORTALITY
Intuitively, x+t dt is the probability that a life
age x + t will die in the next instant.

CUMULATIVE DISTRIBUTION
Probability of (x) dying before age x + t.
Fx (t) = Pr(Tx t)

t qx

d `
dt
x+t
`x+t

n px

d
p
dt t x

= (n px )k

= t px x+t
= t px x+t

Probability of a (x) attaining age x + t.

ACTUARIAL NOTATION

PROBABILITY DENSITY FUNCTION

= Sx (t)

t+u px
t qx

= t px u px+t

n px

Age doesnt matter.

ex =

Future lifetime is distributed exponentially

with mean 1/.

t qx

= 1 t px

t|u qx
t| qx

t|u qx

= Sx (t) Sx (t + u)
= t px t+u px
= t+u qx t qx
= t px u qx+t

for all x

= en = (px )n
1

1
2

Recursion
ex = px (1 + ex+1 )

ex:n = ex (1 n px )
ex:n = ex (1 n px )
Discrete Constant Force Kx geometric
fKx (k) = pk q
ex = E[Kx ] =

COMPLETE EXPECTATION OF LIFE

Average future lifetime of (x).
Z

ex = E[Tx ] =
t px dt
Z 0
E[Tx2 ] = 2
t t px dt

Var[Kx ] =

p
q2

m
x

xn
x

x
2

half way to omega

= n px (n) + n qx n
2

ex:n

a(x) =

1
2

Discrete DML
=

x =

`x+t = `x et

k=1

For integral x, ex is the expected number of

future birthdays.

1
x

MODIFIED DML

Sx (t) = et

= x

n
x

k| qx

Var[Tx ] =

probability that (x) will survive t years

and die within the following u years.

is the PDF for Kx

n px

fx (t) = Fx0 (t) = Sx0 (t) = t px x+t

CURTATE EXPECTATION OF LIFE

X
ex = E[Kx ] =
k px

n qx

xt
x

1
x

qx =

CONSTANT FORCE

ex =

probability that (x) dies within t year

t qx = Fx (t)

n|m qx

Intuitively, the probability that (x) dies at age

x + t.

t px probability that (x) will attain age

x + t.
t px

Sx (t) =

ex:m+n = ex:m +m px ex+m:n




ex px 1+ ex+1 + qx 12

x+t =
Sx (t) = Pr(Tx > t) = 1 Fx (t)

ex = ex:n +n px ex+n

If x+t = k x+t :

d
q
dt t x

SURVIVAL DISTRIBUTION

fx (t)
Sx (t)

=
= dtp
t x
Rn


n px = exp 0 x+t dt
x+t =

1
x

x =

Recursion

p
q

a
x

`x = ( x)a

a
Sx (t) = xt
x

a
xn
n px =
x

ex =

x
a+1

FRACTIONAL AGES
Uniform Distribution of Deaths (UDD)
- Use linear interpolation.

ex = ex +

1
2

ex:1 = px + qx ( 12 )

c
2013
The Infinite Actuary

GOMPERTZ LAW
x = Bcx

c > 1, B > 0


i
B
cx (ct 1)
t px = exp ln c
h

MAKEHAM LAW
x = A + Bcx

c > 1, B > 0, A B
h 

i
B
cx (ct 1)
t px = exp(At) exp ln c

c
2013
The Infinite Actuary