Chapter 3

3. Force of Mortality
3.1 Survival Distributions and Force of Mortality
An insurance policy can express two different types of risk. For some types of insurance (such as
life insurance) the variability in the claim is only the time at which the claim is made, since the
amount of the claim is specified by the policy. In other types of insurance (such as auto or
casualty) there is variability in both the time and amount of the claim. The problems associated
with life insurance will be studied here.

The central difficulty in issuing life insurance is that of determining the length of the future life
of the insured. Denote by X the random variable which represents the age at death. For
mathematical simplicity, assume that the distribution function of X is absolutely continuous. The
survival function of X, denoted by s(x) is defined by the formula

where the last equality follows from the continuity assumption. The assumption that s(0) = 1 will
always be made. Let us consider a newborn child. This newborn’s aged at death, X is a
continuous type random variable. Let denote the distribution function of X.

Life insurance is usually issued on a person who has already attained a certain age x. For
notational convenience denote such a life aged x by (x), and denote the future lifetime of a life
aged x (time until death) by T(x). What is the survival function for (x)? From the discussion
above, the survival function for (x) is P[T(x) > t]. Some standard notation is now introduced. Set

t px t qx t qx

Note: symbol t q x can be interpreted as the probability that (x) will die within t years; that is,

tq x is death function of T(x). On the other hand, t p x can be interpreted as the probability that
(x) will attain age x+t; that is, t p x is the survival function for (x). In the special case of life aged
0, we have T(0)=X and t p0  s( x), x  0

When t = 1 the prefix is omitted and one just writes and respectively. Generally speaking,
having observed (x) some additional information about the survival of (x) can be inferred. For

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example, (x) may have just passed a physical exam given as a requirement for obtaining life
insurance. For now, this type of possibility is disregarded. Operating under this assumption

t px |

Exercise 1: Write a similar expression for q

t x .

Exercise 2: Show that for t p x t  s px s px

There is a special symbol for the more general event that (x) will survive t years and die within
the following u years; that is, (x) will die between ages x+t and x+t+u. This special symbol is
given by

|
which represents the probability that (x) survives at least t and no more than t + u years. Again, if
u = 1 one writes | . The relations t / u qx t  u qx t qx t px t  u px follow immediately from the
definition.

Exercise 3: Prove these two equalities. Show that t / q  q q

u x t x u x t

* +* +

* +* + t p x u qx  t

Exercise 4: Compute t p x for the DeMoivre law of mortality. Conclude that under the DeMoivre
law T(x) has the uniform distribution on the interval (0, ω − x).
Under the assumption that X is absolutely continuous, the random variable T(x) will be
absolutely continuous as well. Indeed

So, the density of T(x) is given by

Intuitively this density represents the rate of death of (x) at time t.

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Exercise 5: Use integration by parts to show that ∫ n px . This expectation is
called the complete expectation of life and is denoted by .

Show also that ∫ .

The quantity,

Represents the death rate per unit age per unit survivor for those attaining age x, and is called the
force of mortality. Intuitively the force of mortality is the instantaneous ‘probability’ that
someone exactly age x dies at age x. (In component reliability theory, this function is often
referred to as the hazard rate.)

Integrating both sides of this equality gives the useful relation { ∫ }

Exercise 1: Solve for s(x) in terms of force of mortality

Exercise 2: Derive this last expression.

Exercise 3: Show that t px { ∫ }

Exercise 4: What properties must a force of mortality have?

Exercise 5: Show that the density of can be written

Setting the age already lived to 0 and denoting the time of survival by x. Then we have

t px { ∫ }. It is also true that

{ ∫ } and

, ∫ -

We note that ; therefore,

t qx ( )

( )( )

t px

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Thus, t px  x  t is the probability that (x) dies between t and and

∫ t px

It follows that ( t px ) ( t px ) t px

Exercise 10: Find the force of mortality for DeMoivre’s law.

Examples: 1) suppose the survival function of the new born baby is

Then a) Find the force of mortality of new born

b) Find the force of mortality of life aged x.
Solution:
( ) ( )

2. For the force of mortality , for x>0, find:

a) s (x) b) f(x) c) tpx d) fT ( x ) (t )

Solution:

a) ∫ ∫
∫

b)

s( x  t ) x 1
c) px  ,t  0
x  t 1
t
s( x)

x 1 1 x 1
d) fT ( x ) (t )t p x  ( x  t )  x  ,t  0
x  t  1 x  t  1 ( x  t  1) 2

3.2. Some Analytical Laws of Survival Functions and Force of Mortality

In the past, there has been some interest in modeling survival functions in an analytic way. The
simplest model is that due to Abraham DeMoivre. He assumed that:

where ω is the limiting age by which all have died. The

DeMoivre law is simply the assertion that X has the uniform distribution on the interval (0, ω).

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Example. Considering the above law.

Note:

Activity: draw the graph of survival function?

Mortality and Survival Functions under Various Laws
In the following table several families of simple mortality and survival functions, corresponding to
various postulated laws, are displayed. The names of Originators of the laws and dates of publication are
included for the purpose of identification.

S.N Originators S(x) µ(x) Restrictions

1 De Moivre (1729) 1 x
0≤x< 
x 
2 Gompertiz (1825) Bc x exp m(c x  1) B>0, c>1, x≥0
3 Makeham (18600 A  Bc x exp Ax  m(c x  1) B>0,A≥-B, c>1, x≥0
4 Weubull (1939) Kx n
exp( uxn 1 ) k>0,u>0, x≥0

Note: 1) Gompertiz Law is the special case of Makeham Law where A=0

2) If c=0 in Gompertiz and Makeham Laws, the exponential (constant force) distribution results.

B k
3) The special sybols are defined as m  and u 
logc '
n 1

4) Regarding Makeham Law, The constant A has been interpreted as cupturing the accident of
x
hazard and Bc as capturing the hazard of aging.

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3.3 Estimation of survival functions from Life-Table Data

Now let us imagine that at time 0, there are l0 newborns. Here l0 is called the radix (base line
population) of the life table and is usually taken to be some large number such as 10,000,000.
Each new born’s age-at-death has distribution of s(x). These newborns are observed and l x is the
number of the original newborns who are still alive at age x. let S(x) denote the group’s number
of survivors to age x. We can index these lives by j=0, 1, 2,……. l0 .

Letting indicator of survival for life j as: {

l0
Then, E ( S ( x))  E ( I j )  l0 E ( I j )  l0 s( x)
1

Now denote E ( S ( x )) by l x which is the expected number of survivors to age x from l0 new
born. Hence, one can find the number of survivors at age x as follows.
Consequently, survival function s (x ) can estimated in terms of number of the expected number
of survivors to age x and baseline population l0 as

lx
s ( x) 
l0

In similar way, if we assume n Dx to be the number of deaths between age x and x+n from
among l0 lives. Then, E( n Dx )= n d x . Since new born has the probability s ( x)  s ( x  n) of
deaths between ages x and x+n, n d x can be estimated as

n d x  l0 ( s( x)  s ( x  n))

 l 0 s ( x )  l 0 s ( x  n)

 l x  l xn

Note: for each expected number of survivors, ( l0 s ( x)andl0 s ( x  n) ) at age x and x+n are
obtained using above procedures of estimation for each.