Institute and Faculty of Actuaries

A NOTE ON LIFE TABLE AND MULTIPLE-DECREMENT TABLE FUNCTIONS

Author(s): W. F. Scott
Source: Journal of the Institute of Actuaries (1886-1994), Vol. 117, No. 3 (DECEMBER 1990), pp.
671-675
Published by: Cambridge University Press on behalf of the Institute and Faculty of Actuaries
Stable URL: http://www.jstor.org/stable/41140990
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A NOTE ON LIFE TABLE AND MULTIPLE-DECREMENT

TABLE FUNCTIONS
By W. F. Scott, M.A., Ph.D., F.F.A.
ABSTRACT
tablefunctions,
and showsthattheusual formulaehold underless
This noteconsidersthemortality
restrictive
assumptionsthan those usually made. The foundationsof the theoryof multipledecrementtablesare also considered,in thecontextof probabilitytheory.
KEYWORDS
LifeTables; DecrementTables.
1. INTRODUCTION

The propertiesof the mortalitytable functionsare usuallyderivedunderthe

assumptionthatli existsand is continuous(see Neill,Section1.6). We shallshow
thattheusual formulaeholdunderlessrestrictive
assumptions,viz. thatlxand fix
existand are continuous.The mathematicalbasis forthisapproachis similarto
thatusedinconnectionwiththeforceofinterest
in McCutcheon& Scott,Section
2.4. We also considerthefoundationsofthetheoryofmultiple-decrement
tables,
whichwe attemptto place in thecontextof probabilitytheory.In particular,we
provethe'identityof theforces'(see Hooker & Longley-Cook,Section20.7).
2. SOME MATHEMATICAL

RESULTS

Theorem2.1
Let /= [A,B) or ( - oo, 2?),whereB maybe oo. Suppose that/(x)is continuous
on /and thatitsright-hand
derivative,/+(x), is zero on /.Then/(;c) is constant.
Proof (Adapted fromHobson, p. 365)
Let us considerthecase when/= ( - oo, /?);thecase when/= [A,B) is similarly
dealt with.If theconclusionof thetheorembe false,theremustbe a and b in /,
witha<b, such thatf (a) <f(b) orf(a)>f(b).
Let us suppose thatf(a) <f(b), the case whenf(a) >f(b) beingtreatedby a
similarargument.For each k, let:
(t>(x,k)=f(x)-f(a)-k(x-a)
= 0. Let k be positivebutso smallthat
whichis continuouson /.Note that<t>{a,k)
= 2q>0.
(/>(b,k)
Let M = {x: a<x<band (f)(x,k)<q} and = supM, whichis clearlysuch that
671

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Decrement
A Note on Life Table and Multiple< q, whichshowsthat</>(,&)
< q. Now let
a<^<b. Let xn-> . We have (j)(xn,k)
xn-++ - Since <j){xn,k)>qforall n, (/>(,
k)>q, and so (j)(,k)= q. Also:

672

/i- x

X,?

But thiscontradictsthe factthat(p'+(x,k)= -k<0 forall x in /. Q.E.D.

This theoremleads easilyto thefollowingresult,whichis used in McCutcheon
& Scott,Appendix1.
Theorem2.2

Let/be as inTheorem2.1. Supposethat/(x)and/+(x)arecontinuous

on /.
on /.
Then/(x)is differentiate
Proof
For each x in /,let:

g(x)=f(x)-jf'+(y)dy
a
wherea is any numberin /. An applicationof Theorem2.1 shows thatg(x) is
constant,and is therefore
equal tof(a). Hence:

f(x)=f(a) + ]f'+(y)dy
a
forall x in /,sof(x) is differentiable.
(Its derivativeis, ofcourse,equal to/!(*).)
Q.E.D.
3. APPLICATION

TO LIFE TABLES

For a<x<a>,

let:
=
(3.1)
.s(x) theprobabilitythata lifeaged a survivesto age x
letus suppose
function'.For simplicity,
whichis usuallycalled the'survivorship
fromnow on thatthelimitingage, co,is oo; thecase when< oo requiresminor
We may also write:
modifications.
lx= l*s(x)
(3.2)
where/ais theradixof thelifetable (generallya largenumbersuch as 100,000.)
Let s(x) be positiveand continuous.(In some applications,generallynot to life
etc., s(x) may be discontinuousat certain
tables,but to tables of retirements,
points.In suchcases we mayapplythetechniquesgivenhereovereach sectionof
thetable,makingspecial allowancesat thediscontinuities.)
For ol<x<x + t, let:
= Pr{a lifeaged x survivesto age x + t}.
(3.3)
,/?.v

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Table Functions

673

We also define:
x = 1-tPx

= Pr{a lifeaged x does not surviveto age x + t}.

(If t= 1, we may writetqx= qx and tpx=px.) We assume that,forx>a:
Pr{a
hm
ix= //-0+

(3.4)

lifeaged x dies withintimeA}

A

= lim ^
/i-o+ A

(3.5)

exists, and is a continuous functionon [a,oo). We also assume that, for

OL<X'<X2<Xy'

'
=
x^-xxPxx x2-xxPxx x3-x2Px2-

(3.6)

It followson, settingx'=ol, x2= x and xi = x + t, that,foreach xj such that

ot<x<x + t:
six + Q lx t
^ = -sJxT= -'+

(3J)

Theorem
3.1
Foreachx and /suchthata < x < x + r:
,Av= exp -j)UY+y^ .

(3.8)

By(3.5) and (3.7):

-0+|_

= -<W '

A5(jc)

s(x)

Consequently,^(jc) and s+(x) are continuouson [a,oo), and Theorem2.2 shows

thats'(x) existsand equals s+(x). It followsthat:
s'x)=-s(x)fix
(x>ot)
whichmayeasilybe solved. Using theinitialcondition,s(oc)= 1, we have:
s(.x) = exp -]nydy

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674

A Note on Life Table and MultipleDecrement

Formula 3.8 now followsfromthisand formula3.7. Q.E.D.

u = 'nx+sds) that:
It now followseasily(on substituting
o

(3.9)

+ldt.
hqxJ'tPxHx
0

Now let x and t be fixed,withot<x<x-'-t. As in Scott,lemma 1.1,we have:

= fivh
+ o(h)
(3.10)
hqy
forx<y< y + h<x + t.
uniformly
Example3.1 (Gompertz'law)
Let us assume that,forx>25, say,s(x) is continuousand that:
Pr{a lifeaged x dies withintimeh}= Bcx h+ o(h).
This impliesthat:
i.e. Gompertz'law holds for x>25, and xxis clearlycontinuous.If we also
suppose thatformula3.6 holds,Theorem3.1 shows that,forx>25 and />0:

,p,= exPr-fr*+'&l
= exp[-5rv(c'-l)/logc].

4. THE MULTIPLE-DECREMENT

TABLE

Let us consideronlytwomodesofdecrement,
and y,and supposethatwe are
twomodes,all exceptmode
more
than
are
in
there
mode
interested
. (If
mainly
has the'lifetable'
maybe combined.)It is supposedthateach modeofdecrement
functions/x?,tpx,
etc., as in Section 3. Lives are consideredto continuein
existencewithrespectto a givenmode afterexitbytheothermode ofdecrement.
To avoid philosophicalproblemswhenone of themodes of decrementis death,
one may,forexample,take mode as exitby marriageand mode y as exitby
withdrawalfromserviceamongthebacheloremployeesof a largeorganisation,
mortalitybeingignored.
fora lifeaged
Let Tu T2denotethetimesto exitbymodes and yrespectively
x. It followsby formula3.9 that Tu T2 have probabilitydensityfunctions
We assume that Txand T2
+ u (t' > 0) and t2pl'i'+ t2(t2> 0) respectively.
txP%Px
and define:
are independent,

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Table Functions

675

t(ap)x= theprobabilitythata lifeaged jc,subjectto both modes of decrement,

survivesto age x+t
= tp.'tpi
(4.1)
by theindependenceof T' and T2. (If /= 1, we may omitit.) We also define:
t(aq)x= theprobabilitythata lifeaged x, subjectto both modes of decrement,
willexitbymode beforeage x+ 1,exitbymodeynothavingpreviously
occurred
= Pr{r! </and Tx< T2}
=
nPnl+ tr t2pliiUt2dtidtx
t' <.t2
and t' <, t
t

oo

= itPSt + n '
'HPl'iyx+ tldhdtx
o
/,

= SuPPPx
+ tl-hPldtx.

(4.2)

Let x and / be fixed,with oc<x<x+t.

It follows, as in Scott, lemma 1.1, that:

= tfh+ o(h)
h(aqfy

(4.3)

forx<y<y + h<x + t. Incidentally,thisprovestheresultknownas

uniformly
the'identityof theforces',viz.:
(a^

= lim
n *0 +

^-?fl

= ^.

(4.4)

(See Hooker & Longley-Cook,Section20.7.)

REFERENCES
Neill, A. (1977). Life Contingencies.
Heinemann,London.
McCutcheon, J. J. & Scott, W. F. (1986). An Introductionto the Mathematicsof Finance.
Heinemann,London.
Hooker, P. F. & Longley-Cook, L. W. (1957). Life and OtherContingencies.
VolumeII. C.U.P.
Hobson, A. E. W. (1927). The Theoryof Functionsof a Real Variableand the Theoryof Fourier's
Series. Volume1. ThirdEdition.C.U.P.
Scott, W. F. (1982). Some applicationsof thePoisson distribution
in mortality
studies.T.F.A. 38,
225-263,and T.F.A. 39, 419-420.

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