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Force of Mortality
Force of Mortality
2009.
c Miguel A. Arcones. All rights reserved.
Extract from:
Arcones Manual for SOA Exam MLC. Fall 2009 Edition,
available at http://www.actexmadriver.com/
1/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Force of Mortality
Definition 1
The force of mortality of the survival function SX is defined as
d fX (x)
(x) = ln SX (x) = .
dx SX (x)
2/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Definition 2
The hazard rate function of the survival function SX is defined as
d fX (x)
X (x) = ln SX (x) = ,
dx SX (x)
3/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 1
906 x 6
Find the force of mortality of the survival function SX (x) = 906
,
for 0 < x < 90.
4/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 1
906 x 6
Find the force of mortality of the survival function SX (x) = 906
,
for 0 < x < 90.
Solution: We have that
6
90 x 6
d d
(x) = ln SX (x) = ln
dx dx 906
d d 6x 5
= ln(906 x 6 ) + ln(906 ) = 6 .
dx dx 90 x 6
5/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 1
The hazard function of T (x) is
6/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 1
The hazard function of T (x) is
SX (x+t)
Proof: The survival function of T (x) is SX (x) , t 0. Hence,
d SX (x + t)
T (x) (t|X > x) = log
dt SX (x)
d d fX (x + t)
= log(SX (x + t)) + log(SX (x)) = = x+t .
dt dt SX (x + t)
7/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 1
The hazard function of T (x) is
SX (x+t)
Proof: The survival function of T (x) is SX (x) , t 0. Hence,
d SX (x + t)
T (x) (t|X > x) = log
dt SX (x)
d d fX (x + t)
= log(SX (x + t)) + log(SX (x)) = = x+t .
dt dt SX (x + t)
The hazard rate is the rate of death for lives aged x. For a life
aged x, the force of mortality t years later is the force of mortality
for a (x + t)year old.
8/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 2
Suppose that the survival function of a new born is
4 4
SX (t) = 8585t
4 , for 0 < t < 85.
(i) Find the force of mortality of a new born.
(ii) Find the force of mortality of a life aged x.
9/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 2
Suppose that the survival function of a new born is
4 4
SX (t) = 8585t
4 , for 0 < t < 85.
(i) Find the force of mortality of a new born.
(ii) Find the force of mortality of a life aged x.
Solution: (i) We have that
4
85 t 4
d d
(t) = ln SX (t) = ln
dt dt 854
d d 4t 3
= ln(854 t 4 ) + ln(854 ) = 4 , 0 < t < 85.
dt dt 85 t 4
10/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 2
Suppose that the survival function of a new born is
4 4
SX (t) = 8585t
4 , for 0 < t < 85.
(i) Find the force of mortality of a new born.
(ii) Find the force of mortality of a life aged x.
Solution: (i) We have that
4
85 t 4
d d
(t) = ln SX (t) = ln
dt dt 854
d d 4t 3
= ln(854 t 4 ) + ln(854 ) = 4 , 0 < t < 85.
dt dt 85 t 4
(ii)
4(x + t)3
(x + t) = , 0 < t < 85 x.
854 (x + t)4
11/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Definition 3
The cumulative hazard rate function is defined as
Z x
(x) = X (t) dt, x 0,
0
12/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 2
Let (x) : [0, ] R be a function which is continuous except at
finitely many points. We have that is the force of mortality of an
ageatdeath r.v. if and only if the following two conditions hold:
R each x 0, (x) 0.
(i) For
(ii) 0 (t) dt = .
fX (x)
Proof: If is a force of mortality, then (x) = 1FX (x) 0 and
Z Z
d
(t)dt = (ln(SX (x))dt = ln(SX (x)) 0 = .
0 0 dx
13/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
14/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 3
Determine which of the following functions is a legitime force of
mortality of an ageatdeath:
1
(i) (x) = (x+1) 2 , for x 0.
15/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 3
Determine which of the following functions is a legitime force of
mortality of an ageatdeath:
1
(i) (x) = (x+1) 2 , for x 0.
1
Z
1
dx = = 1.
0 (x + 1)2 x + 1 0
16/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 3
Determine which of the following functions is a legitime force of
mortality of an ageatdeath:
1
(i) (x) = (x+1) 2 , for x 0.
1
Z
1
dx = = 1.
0 (x + 1)2 x + 1 0
17/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 3
Determine which of the following functions is a legitime force of
mortality of an ageatdeath:
1
(i) (x) = (x+1) 2 , for x 0.
1
Z
1
dx = = 1.
0 (x + 1)2 x + 1 0
18/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 3
Suppose that () is the force of mortality of the ageatdeath r.v.
X . Then,
(i) The survival function of X is
Z t
SX (t) = exp (s) ds , t 0.
0
19/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 3
Suppose that () is the force of mortality of the ageatdeath r.v.
X . Then,
(i) The survival function of X is
Z t
SX (t) = exp (s) ds , t 0.
0
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 3
Suppose that () is the force of mortality of the ageatdeath r.v.
X . Then,
(i) The survival function of X is
Z t
SX (t) = exp (s) ds , t 0.
0
fX (t)
Proof: (ii) follows noticing that (t) = s(t) .
21/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 4
Suppose that () is the force of mortality of the ageatdeath r.v.
X . Then,
(i) The survival function of T (x) is
Z x+t
ST (x) (t) = t px = exp (s) ds , t 0.
x
22/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 4
Suppose that () is the force of mortality of the ageatdeath r.v.
X . Then,
(i) The survival function of T (x) is
Z x+t
ST (x) (t) = t px = exp (s) ds , t 0.
x
23/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Theorem 4
Suppose that () is the force of mortality of the ageatdeath r.v.
X . Then,
(i) The survival function of T (x) is
Z x+t
ST (x) (t) = t px = exp (s) ds , t 0.
x
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
25/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 4
1
For the force of mortality (x) = x+1 for x 0, find SX , fX , t px
and fT (x) .
26/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 4
1
For the force of mortality (x) = x+1 for x 0, find SX , fX , t px
and fT (x) .
Solution: We have that
Z x Z x x
1
(t) dt = dt = log(1 + t) = log(1 + x), x 0.
0 0 t +1 0
27/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 4
1
For the force of mortality (x) = x+1 for x 0, find SX , fX , t px
and fT (x) .
Solution: We have that
Z x Z x x
1
(t) dt = dt = log(1 + t) = log(1 + x), x 0.
0 0 t +1 0
Z x
1
s(x) = exp (t) dt = exp( log(1 + x)) = , x 0.
0 x +1
28/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 4
1
For the force of mortality (x) = x+1 for x 0, find SX , fX , t px
and fT (x) .
Solution: We have that
Z x Z x x
1
(t) dt = dt = log(1 + t) = log(1 + x), x 0.
0 0 t +1 0
Z x
1
s(x) = exp (t) dt = exp( log(1 + x)) = , x 0.
0 x +1
1
fX (x) = (x)s(x) = , x 0.
(x + 1)2
29/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 4
1
For the force of mortality (x) = x+1 for x 0, find SX , fX , t px
and fT (x) .
Solution: We have that
Z x Z x x
1
(t) dt = dt = log(1 + t) = log(1 + x), x 0.
0 0 t +1 0
Z x
1
s(x) = exp (t) dt = exp( log(1 + x)) = , x 0.
0 x +1
1
fX (x) = (x)s(x) = , x 0.
(x + 1)2
s(x + t) x +1
t px = = , x, t 0.
s(x) x +t +1
30/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.
Chapter 2. Survival models. Section 2.3. Force of Mortality.
Example 4
1
For the force of mortality (x) = x+1 for x 0, find SX , fX , t px
and fT (x) .
Solution: We have that
Z x Z x x
1
(t) dt = dt = log(1 + t) = log(1 + x), x 0.
0 0 t +1 0
Z x
1
s(x) = exp (t) dt = exp( log(1 + x)) = , x 0.
0 x +1
1
fX (x) = (x)s(x) = , x 0.
(x + 1)2
s(x + t) x +1
t px = = , x, t 0.
s(x) x +t +1
x +1
fT (x) (t) = t px (x + t) = , t 0.
(x + t + 1)2
31/31
2009.
c Miguel A. Arcones. All rights reserved. Manual for SOA Exam MLC.