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SCHOOL OF RISK AND ACTUARIAL STUDIES

SESSION 1, 2013

ACTL 3001/5104: ACTUARIAL STATISTICS

MID-TERM EXAM
INSTRUCTIONS:
1. TIME ALLOWED1 HOUR
2. READING TIME5 MINUTES
3. THIS EXAMINATION PAPER HAS 16 PAGES.
4. TOTAL NUMBER OF QUESTIONS6
5. TOTAL MARKS AVAILABLE100
6. MARKS AVAILABLE FOR EACH QUESTION ARE SHOWN IN THE EXAMINATION PAPER (AND OVERLEAF). ALL QUESTIONS ARE NOT OF EQUAL VALUE.
7. ANSWER ALL QUESTIONS IN THE SPACE ALLOCATED TO THEM.
IF MORE SPACE IS REQUIRED, USE THE ADDITIONAL PAGES AT THE END.
8. CANDIDATES MAY BRING
a. THE TEXT FORMUL AND TABLES FOR ACTUARIAL EXAMINATIONS (ANY
EDITION) INTO THE EXAMINATION. IT MUST BE WHOLLY UNANNOTATED.
b. THEIR OWN CALCULATORS. ALL CALCULATORS MUST BE UNSW APPROVED.
9. ALL ANSWERS MUST BE WRITTEN IN INK. EXCEPT WHERE THEY ARE EXPRESSLY
REQUIRED, PENCILS MAY BE USED ONLY FOR DRAWING, SKETCHING OR GRAPHICAL WORKS.
10. THIS PAPER MAY NOT BE RETAINED BY THE CANDIDATE.
CANDIDATES MUST CEASE WRITING IMMEDIATELY WHEN INSTRUCTED TO DO SO BY
THE SUPERVISOR AT THE END OF THE EXAMINATION. FAILURE TO DO SO WILL RESULT
IN A MARK OF ZERO.

[15 marks]

[15 marks]

[10 marks]

[15 marks]

[20 marks]

[25 marks]

[total: 100 marks]

Page 2 of 16

Question 1

[15 marks]

Let lx+s , 0 < s < 1, be determined according to a uniform distribution of deaths between ages x and
x + 1. Derive an expression for x+s (the force of mortality) which is a function of qx and s. Interpret
your answer.

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Page 4 of 16

Question 2

[15 marks]

Let Tx denote the time to death of an individual aged x, and let t px = Pr[Tx > t]. Furhermore, assume
that Tx [0, x). Show that
Z
x

E[Tx2 ] = 2

tt px dt.
0

Page 5 of 16

Page 6 of 16

Question 3

[10 marks]

Explain what the main difference between censoring and truncation is.

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[15 marks]

Question 4

Consider the following data about time to death of a population of 7 dogs (in years), where the
superscript + indicates a right censored observation: 2, 5+ , 7, 8, 8, 9+ , 10. Furthermore, let
t1 < t2 < . . . < tk be the ordered times of death
dj be the number of deaths occuring at time tj (1 j k), (more than one death can occur at
any time)
cj be the number of lives that are right censored at a time belonging to [tj , tj+1 ) (0 j k),
t0 = 0 and tk+1 =
nj be the number of lives alive and at risk at time t
j (just before time tj )
Complete the following table (use as many rows as necessary):

tj

dj

1
2
3
4
5
6
7

Page 8 of 16

nj

Question 5

[20 marks]

Consider a Cox model for describing the time to death of patients with a particular disease. Available
are four covariates z1 , z2 , z3 and z4 , where the first covariate is the patients age at diagnosis, and the
last three are indicators stage II, III, and IV disease, respectively. Fitting a Cox model to the data
with
the single covariate z1 (age) leads to b1 = 0.023 with a log partial likelihood L1 = 195.906
all four covariates, leads to b = (0.0189, 0.1386, 0.6383, 1.6931) with a log partial likelihood
L4 = 188.179.
Assume that we have found the observed information matrix

5088.5378 22.8634 14.0650 25.6149

22.8634
5.9978 2.3913 1.4565

I(b) =
14.0650 2.3913
10.9917 3.3123
25.6149 1.4565 3.3123
7.4979
with inverse

(I(b))1

0.000203
0.000802
=
0.000314
0.000399

0.000802
0.213770
0.068315
0.068965

0.000314 0.000399
0.068315
0.068965
.
0.126797
0.068212
0.068212
0.178264

We would like to know whether the age of patients at diagnosis has a significant impact on their time
to death. Formulate this question in terms of a formal hypothesis test, and perform this test using the
Wald test methodology.

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Page 10 of 16

Question 6

[25 marks]

Assume that a medical team is studying the time to pregnancy of women (from the moment they try
to conceive, and with pregnancy being defined as having at least one healthy baby after 14 weeks) who
already have had births prior to this observed pregnancy (1, 2 or 3).
The team fitted three Cox models with all the covariates they had that were available and significant, separately for the women who had 1, 2 or 3 births before this pregnancy (one model for each
i (t) denote the cumulative hazard
of the possible numbers of births they had before: 1, 2 or 3). Let
2 (t)/
1 (t)) and ln(
3 (t)/
1 (t))
rates of those three models, i = 1, 2, 3. You are handed a graph of ln(
as a function of time.
a. Describe precisely how this graph should look like if the assumption of proportionality of the
Cox model (with respect to a number of prior births covariate) is appropriate.

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b. Explain how the magnitude of the two curves can be interpreted in terms of the parameters
of a Cox model including the number of prior births in its covariates (assuming the model is
appropriate).
Please justify your answers.

End of Paper

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ADDITIONAL PAGE
Answer any unfinished questions here, or
use for rough working.

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ADDITIONAL PAGE
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use for rough working.

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ADDITIONAL PAGE
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use for rough working.

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ADDITIONAL PAGE
Answer any unfinished questions here, or
use for rough working.

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