Maths of Life Contingencies 1, MATH 3280

Life tables with one source of decrement
Maths of Life Contingencies 1, MATH 3280

Simple life tables
Edward Furman
Department of Mathematics and Statistics

York University
September 29, 2014
Edward Furman Maths of Life Contingencies 1, MATH 3280 1 / 27

Constant force of mortality

The UDD approximation assumes a certain (linear) form of
t px , t ∈ [0, 1). Another way to assume specific behavior of
t px is to use its connection with the force of mortality
function. Namely:
CFM
For a fixed non-negative integer x and t ∈ [0, 1), let
µ(x + t) ≡ µ(x) for all t ∈ [0, 1). Then
Z t
CFM
t px = exp − µ(x + s)ds = exp(−t · µ(x)) = (px )t ,
0
and, we also similarly have that

!
Z 1
CFM
px = exp − µ(x + s)ds = e−µ(x) ⇔ µ(x) = − ln(px ).
0

Both age and duration are non-integer

Fix 0 ≤ t < s < 1, then, for u = t + r ,
Z s−t
p
s−t x+t = exp − µ(x + t + r )dr
Z0 s
= exp − µ(x + u)du
t
Z s
CFM
= exp − µ(x)du
t
= exp(−(s − t)µ(x)) = (px )s−t .
At home.
Due to the above, we have that only the duration is important,
i.e.,
s−t px+t = s−t px .
Why?
At home.
Show that the CFM is consistent with the formula for the
exponential interpolation.
Graphically, the main ideas of CFM can be seen as
Figure : lx+s decreases and µx+s is constant.

Proposition 1.1
Let J(u)(:= J) denote an r.v. representing the number of
fractional time units (u) lived during the year of death. Then
under the CFM the r.v.’s K and J) are generally dependent,
while they are independent under the UDD.
Proof.
By definition,
P[K = k, J < j] = P[k ≤ T < k + j] = P[k < T ≤ k + j]

UDD
= k pu · j qu+k = k pu · j · qu+k
= k | qu · j = P[K (u) = k] · P[J < j],
which completes the proof for the UDD case. For the CFM
case, j qu+k = 1 − j pu+k = 1 − (pu+k )j , which together with the
above, do not separate into a product.
Remark.
Note that if pu+k = pu , then k pu = (pu )k , and then
P[K = k, J < j] = P[k ≤ T < k + j] = P[k < T ≤ k + j]

CFM
= k pu · j qu+k = k pu · (1 − (pu+k )j )
= (pu )k · (1 − (pu+k )j )
(pu )k (1 − pu )(1 − (pu+k )j )
=
1 − pu
= P[K = k] · P[J < j].
Remember.
The UDD assumption implies that the r.v. J is uniform on [0, 1].
On the other hand, the CFM assumes that J is conditionally
exponential with µ, i.e., if X |X ≤ 1 ∽ Exp(µ), then J and X
have same distribution. Are the r.v.’s equal?

The Balducci assumption

Balducci approximation.
We have that, for 0 ≥ t < 1,
1 Hyp 1−t t (1 − t)lx+1 + tlx
= + = ,
lx+t lx lx+1 lx · lx+1
which implies that
Hyp lx · lx+1 lx+1

lx+t = = ,
lx+1 + tdx px + tqx
and hence, dividing by lx throughout,

Hyp px px
t px = = ,
px + tqx 1 − (1 − t)qx
and
1 − (1 − t)qx − px tqx
t qx = = .
1 − (1 − t)qx 1 − (1 − t)qx
Moreover, for 0 ≤ t < s < 1, we have that
s px Hyp 1 − (1 − t)qx
s−t px+t = = .
t px 1 − (1 − s)qx
as well as that
Hyp qx (s − t)
s−t qx+t = 1 − s−t px+t = .
1 − (1 − s)qx
The force of mortality can be found from

d Hyp d px
µx+t = − ln t px = − ln ,
dt dt 1 − (1 − t) qx
that is
Hyp d qx
µx+t = ln(1 − (1 − t) qx ) = ,
dt 1 − (1 − t) qx
which decreases in t.
Graphically, the main ideas of Balducci’s assumption can be
seen as
Figure : lx+s decreases and µx+s decreases.

To conclude the fractional ages
Remember.
For integer non-negative x and t and s in [0, 1), we have that
UDD CFM Balducci

lx +1
lx+s lx − sdx lx · (px )s px +sqx
sqx
s qx sqx 1 − (px )s 1−(1−s)qx
sqx sqx
s qx+t 1−tqx 1 − (px )s 1−(1−(s+t))qx
qx qx
µ(x + s) 1−sqx − log px 1−(1−s)qx

Figure : Fractional ages’ concluding plot.

De Moivre (1725) used a one parameter formula:
µ(x) = (ω − x)−1 , S(x) = 1 − x/ω, 0 ≤ x < ω.
Gompertz (1825) used a two parameter formula:

x B x
µ(x) = Bc , S(x) = exp − (c − 1) , B > 0, c > 1, x ≥ 0.
log(c)
Makeham (1867) used the following:

B
µ(x) = A + bc x , S(x) = exp −Ax − (c x − 1) ,
log(c)
where B > 0, A ≥ −B, c > 1, x ≥ 0.
Weibull (1951) suggested:
x B+1

B
µ(x) = Ax , S(x) = exp −A , A > 0, B > 0, x ≥ 0.
B+1

Proposition 1.2
Let T (u) ∽ Fu . Then
◦
Z ∞ Z 1
−1
eu := E[T (u)] = t pu dt = F u (q)dq.
0 0
Proof.
The first integral follows by integration by parts, and for the
second one, and absolutely continuous F ,
Z ∞ Z ∞
−1
F u (x)dx = F u (x)d F u (F u (x))
0 0
Z 0 Z 0
−1 −1
= td F u (t) =− F u (t)dt
1 1
Z 1
−1
= F u (t)dt,
0
as required. Edward Furman Maths of Life Contingencies 1, MATH 3280 13 / 27

Proposition 1.3
For the set up as in the previous proposition, it holds that
Z ∞ ◦ 2
Var[T (u)] = 2 t t pu dt − eu .
0
Proof.
Integration by parts.
Definition 1.1
The median future lifetime of (u) is denoted by m(u), and it can
be found by solving:
F (u + m(u))
P(T (u) > m(u)) = = 0.5
F (u)
for m(u).
Definition 1.2
The mode for (u) can be obtained as:
arg max t px µ(x + t).

t∈R+
Proposition 1.4
Let K (u) ∽ Fu . Then

∞
X
eu := E[K (u)] = k pu .
k =1
To prove the latter identity, first define the forward difference

operator by:
∆f (x) = f (x + 1) − f (x).

Remember.
And second recall the summation by parts formula:
n
X n
X
n+1
f (k)∆g(k) = [f (k)g(k)] |m − g(k + 1)∆f (k).
k =m k =m
Proof of Proposition 1.4.

Then:
∞
X
eu = kP(K (u) = k)
k =0
X∞
= k (P(K (u) ≤ k) − P(K (u) ≤ k − 1))
k =0
∞
X
= k (k +1 qu − k qu ) .
k =0
Proof.
Further
∞
X ∞
X
eu = k∆k qu = k∆(1 − k pu )
k =0 k =0
X∞
= − k∆k pu .
k =0
And hence, using the summation by parts:

∞
!
X
eu = − k k pu |∞
0 − k +1 pu ∆k
k =0
∞
X ∞
X
= k +1 pu = k pu ,
k =0 k =1
bearing in mind that eu is finite, that completes the proof.

Proposition 1.5
Show that under the UDD assumption, we have that:

◦
eu = eu + 0.5.
Proof.
∞ ∞ Z
1X 1
Z
◦ 1
eu = lu+t dt = lu+k +t dt
lu 0 lu
k =0 0
∞ Z
UDD 1X 1
= ((1 − t)lu+k + tlu+k +1 ) dt
lu
k =0 0
∞
1X 1 1
= l + l
lu 2 u+k 2 u+k +1
k =0
∞
!
1 1 X 1
= lu + lu+k = + eu
luEdward2 Furman 2
k =1
Maths of Life Contingencies 1, MATH 3280 18 / 27
Important note.
The fact that the UDD holds for (x) does not necesserily imply
same on (u).
Proof.
To UDD holds on (u) iff for k = 0, 1, 2, . . . and t ∈ [0, 1),
k +t pu = (1 − t)k pu + tk +1 pu
⇔ k pu t pu+k = (1 − t)k pu + tk pu pu+k
⇔ t pu+k = 1 − t qu+k = 1 − t(1 − pu+k ) = 1 − tqu+k
⇔ t qu+k = tqu+k
that is true under the UDD. Set (u) := (x : n ), then if the UDD
holds for (u), it must be
UDD
k +t px:n = (1 − t)k px:n + tk +1 px:n ,
which is not true, for k = n − 1, we have 0 6= (1 − t)n−1 px .

Important.
Note that Proposition 1.5 relates between the fully continuous
and fully discrete total expectancy of life. For instance, it
connects between the expectation of the r.v.’s min(T (x), T (n ))
and
⌊min(T (x), T (n )⌋ = min (⌊T (x)⌋, ⌊T (n )⌋) = min(K (x), n − 1).
Importantly, the expectation of the latter r.v. is

n−2
X n−1
X
E[min(K (x), n − 1)] = k k | qx + (n − 1)n−1 px = k px .
k =0 k =1

Proposition 1.6
We have that
∞
X
Var[K (u)] = (2k − 1)k pu − eu2 .
k =1
Proof.
We have that
∞
X
E[K (u)2 ] = k 2 k pu qu+k
k =0
X∞
= − k 2 ∆(k pu )
k =0
∞
X
2 ∞ 2
= −k k pu |0 + k +1 pu ∆k
k =0

Proof.
∞
X
2
E[K (u) ] = (2k + 1)k +1 pu
k =0
X∞
= (2k − 1)k pu ,
k =1
which completes the proof.

Definition 1.3
The function Tu is defined as:
Z ∞ Z ∞
Tu := lu+t dt = ly dy,
0 u
and it represents the expected total future lifetime of a group of

lu individuals all aged u.
To grab an intuition, recall that:

Z ∞ Z ∞
◦ lu+t
eu = t pu dt = dt.
0 0 lu
Hence, the following motivates the definition

◦
Tu = lu eu .

Definition 1.4
The function Lu is defined as:
Z 1 Z u+1
Lu := lu+t dt = ly dy,
0 u
and it denotes the total expected time lived between ages u

and u + 1 by lu lives aged u.
To grab an intuition, note that
Lu = Tu − Tu+1 .

Definition 1.5
The central rate of mortality is defined as:
R1
0 lu+t µ(u + t)dt du
mu := R1 = ,
Lu
0 lu+t dt
which is the weighted average force of mortality experienced

between ages u and u + 1 with weight lu+t at age u + t.
To get the right most side, divide both numerator and

denumerator by lu , and recall that
Z 1
t pu µ(u + t)dt = qu ,
0
and Z 1
tpu = Lu .
0
Proposition 1.7
◦
The following recursion holds for f (u) being eu and eu :
c(u) 1
f (u) = c(u) + d (u)f (u + 1) and f (u + 1) = − + f (u).
d (u) d (u)
Proof.
Note first that
∞
X ∞
X ∞
X
eu = k pu = pu + k pu = pu + pu k pu+1 = pu + pu eu+1 ,
k =1 k =2 k =1
◦
thus c(u) = d (u) = pu , u(∞) = 0. In the case of eu , and in the
fashion similar to the above one, we have that
Z ∞ Z 1 Z ∞
◦
eu = p
t u dt = p
t u dt + t pu dt
0 0 1
Proof.
◦
Z 1 Z ∞ Z 1 ◦
eu = t pu dt + pu t pu+1 dt = t pu dt + pu eu+1 ,
0 0 0
and thus Z 1
c(u) = t pu dt and d (u) = pu .
0
Remark.
If in addition, we assume linear lu+t for t ∈ [0, 1], then we
approximate c(u) above as
Z 1
UDD 1 1 1
c(u) = (1−tqu )dt = 1− qu = 1− (1 − pu ) = (1 + pu ) .
0 2 2 2

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Life tables with one source of decrement

Maths of Life Contingencies 1, MATH 3280

Department of Mathematics and Statistics

September 29, 2014

Edward Furman Maths of Life Contingencies 1, MATH 3280 1 / 27

Constant force of mortality

and, we also similarly have that

Edward Furman Maths of Life Contingencies 1, MATH 3280 2 / 27

Both age and duration are non-integer

Graphically, the main ideas of CFM can be seen as

Figure : lx+s decreases and µx+s is constant.

Edward Furman Maths of Life Contingencies 1, MATH 3280 4 / 27

P[K = k, J < j] = P[k ≤ T < k + j] = P[k < T ≤ k + j]

P[K = k, J < j] = P[k ≤ T < k + j] = P[k < T ≤ k + j]

Edward Furman Maths of Life Contingencies 1, MATH 3280 6 / 27

The Balducci assumption

which implies that

Hyp lx · lx+1 lx+1

and hence, dividing by lx throughout,

The force of mortality can be found from

Figure : lx+s decreases and µx+s decreases.

To conclude the fractional ages

UDD CFM Balducci

Edward Furman Maths of Life Contingencies 1, MATH 3280 10 / 27

Figure : Fractional ages’ concluding plot.

Edward Furman Maths of Life Contingencies 1, MATH 3280 11 / 27

De Moivre (1725) used a one parameter formula:

µ(x) = (ω − x)−1 , S(x) = 1 − x/ω, 0 ≤ x < ω.

Gompertz (1825) used a two parameter formula:

Edward Furman Maths of Life Contingencies 1, MATH 3280 12 / 27

as required. Edward Furman Maths of Life Contingencies 1, MATH 3280 13 / 27

arg max t px µ(x + t).

Let K (u) ∽ Fu . Then

To prove the latter identity, first define the forward difference

Edward Furman Maths of Life Contingencies 1, MATH 3280 15 / 27

Proof of Proposition 1.4.

And hence, using the summation by parts:

bearing in mind that eu is finite, that completes the proof.

Show that under the UDD assumption, we have that:

which is not true, for k = n − 1, we have 0 6= (1 − t)n−1 px .

⌊min(T (x), T (n )⌋ = min (⌊T (x)⌋, ⌊T (n )⌋) = min(K (x), n − 1).

Importantly, the expectation of the latter r.v. is

Edward Furman Maths of Life Contingencies 1, MATH 3280 20 / 27

Edward Furman Maths of Life Contingencies 1, MATH 3280 21 / 27

which completes the proof.

Edward Furman Maths of Life Contingencies 1, MATH 3280 22 / 27

and it represents the expected total future lifetime of a group of

To grab an intuition, recall that:

Hence, the following motivates the definition

Edward Furman Maths of Life Contingencies 1, MATH 3280 23 / 27

and it denotes the total expected time lived between ages u

To grab an intuition, note that

Edward Furman Maths of Life Contingencies 1, MATH 3280 24 / 27

which is the weighted average force of mortality experienced

To get the right most side, divide both numerator and

Edward Furman Maths of Life Contingencies 1, MATH 3280 27 / 27

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