The University of New South Wales

ACTL 3001/5104 Actuarial Statistics

Mid-Term ExamSession 1, 2013

SOLUTIONS

Question 1
We have

[15 marks]

x+s =

d
l
ds x+s

lx+s
[slx+1 + (1 s)lx ]
=
slx+1 + (1 s)lx
lx+1 + lx
=
slx+1 + (1 s)lx
qx
.
=
1 sqx
d
ds

This means that under the UDD assumption the force of mortality is increasing during the
year. This makes sense because as people die the population at risk decreases, so in order to
have a constant number of deaths (in average) the mortality needs to increase.

Question 2
We have

[15 marks]

E[Tx2 ]




t t px dt
t
2

t fx (t)dt =
0
Z x

x
= t2 t px t=0 +
2t t px dt
0
Z x
= 2
tt px dt
0

as required.

Question 3
[10 marks]
In presence of truncation we have no information at all about some of the events considered (we
may not know of certain instances; for example, a car accident that costs less than the excess
will never be declared to the insurance company, which will thus never know it happened),
whereas with censoring one knows the event has/will occur for one individual, but we do not
have full information about it (we only know it will be smaller or bigger than a certain threshold,
for instance).

Question 4
[15 marks]
As there are only 4 death times:
j
1
2
3
4

tj
2
7
8
10

dj
1
1
2
1

nj
7
5
4
1

Question 5
[20 marks]
First, note that some information in the question is not necessary to answer (in particular,
likelihoods).
What we want to test is whether the effect of the first covariate z1 is insignificant. That is,
we want to test the null hypothesis
H0 : 1 = 0,
where 1 is the coefficient of the covariate z1 in the Cox regression model.
The Wald statistic is
b21 /0.000203 = .01892 /0.000203 = 1.76,
which is clearly not significant as this should be 2 distributed with 1 degree of freedom (and
hence mean 1 and 95% quantile approximatively 2). Hence, there is no statistical evidence to
reject the null hypothesis (that is, that age at diagnosis has no effect).

Question 6
[25 marks]
Note that if one was to consider 0 as the baseline cumulative hasard then if the porportionality
assumption is appropriate one should have
i (t) = 0 (t) ei ,

i = 1, 2, 3,

where is the coefficient in the regression model for the covariate being defined as the number
of prior births (i). Then the the two log ratios boils defined in the question boil down to
ln

2 (t)
=
1 (t)

and

ln

3 (t)
= 2.
1 (t)

Note that these do not depend on t. Hence, appropriate answers are:

a. Both curves should be horizontal (hence parallel) lines, and evenly spaced.
b. The height of the lower (or alternatively the ratio of the higher to the lower) should be
about equal to .

End of Paper