EXERCISE 3

ACTUARIAL MATHEMATICS

SURVIVAL MODELS

d
1. Which of the following is equivalent to t px ?
dt
(a) − t px µx+t
(b) µx+t
(c) fx (t)
(d) −µx+t
(e) fx (t) µx+t

Solution
Method I:
We use t px = 1 − t qx . Differentiating both sides with respect to t,
d d d
t px = − t qx = − Fx (t) = −fx (t) .
dt dt dt

Noting that fx (t) = t px µx+t , the answer is − t px µx+t .

Method II:
We differentiate t px with respect to t as follows:
 Z t 
d d d
t px = Sx (t) = exp − µx+u du
dt dt dt 0
 Z t   Z t 
d
= exp − µx+u du − µx+u du .
0 dt 0

d Rt
Recall the fundamental theorem of calculus, which says that g (u) du = g (t). Thus
dt c
 Z t 
d
t px = exp − µx+u du (−µx+t ) = − t px µx+t .
dt 0

Hence the answer is − t px µx+t .

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  1/2
t
2. Given S0 (t) = 1 − , for 0 ≤ t ≤ 100. Calculate the probability that a life age
100
36 will die between 51 and 64.

(a) Less than 0.15

(b) At least 0.15, but less than 0.20
(c) At least 0.20, but less than 0.25
(d) At least 0.25, but less than 0.30
(e) At least 0.30

Solution
The probability that a life age 36 will die between ages 51 and 64 is given by

S36 (15) − S36 (28) .

 1/2
36 + t
1−  1/2 √
S0 (36 + t) 100 64 − t 64 − t
We have S36 (t) = =  1/2 = = .
S0 (36) 36 64 8
1−
100
7 6
This gives S36 (15) = and S36 (28) = . As a result, the required probability is
8 8
S36 (15) − S36 (28) = 1/8 = 0.125.

Hence, the answer is ”Less than 0.15”.

2
3. For a population which contains equal numbers of males and females at birth:

(i) For males, µm

x = 0.10, x ≥ 0.

(ii) For females, µfx = 0.08, x ≥ 0.

Calculate q60 for this population.

(a) 0.081
(b) 0.086
(c) 0.091
(d) 0.096
(e) 0.076

Solution
For males, we have Rt Rt
µm
S0m (t) = e− 0 u du = e− 0 0.10 du
= e−0.10t .

For females, we have

Rt Rt
µfu du
S0f (t) = e− 0 = e− 0 0.08 du
= e−0.08t .

For overall population,

e−0.10×60 + e−0.08×60
S0 (60) = = 0.005354,
2

and
e−0.10×61 + e−0.08×61
S0 (61) = = 0.00492.
2
S0 (61)
Finally, q60 = 1 − p60 = 1 − = 0.081. Hence, the answer is 0.081.
S0 (60)

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4. Which of the following are equivalent to t px ?

(a) t+u qx − t qx + t+u px

(b) t |u qx − t+u px

(c) t qx − t+u qx + t px+u

(d) t qx − t+u qx − t px+u
(e) The correct answer is not given by the other choices.

Solution
We note that t+u px + t+u qx = 1, so it becomes 1 − t qx = t px , the correct answer.

4
5. You are given µx = 2x/ (10000 − x2 ) for 0 ≤ x < 100.
Determine qx .

2x + 1
(a)
10000 − x2
4x + 2
(b)
10000 − x2
6x + 3
(c)
10000 − x2
2x + 1
(d)
29999 − 3x2 − 3x
6x + 1
(e)
29999 − 3x2 − 3x

Solution
 Z x+1 
qx = 1 − exp − µt dt
x
 Z x+1 
2t
= 1 − exp − dt
x 10000 − t2
10000 − (x + 1)2
= 1−
10000 − x2
(x + 1)2 − x2
=
10000 − x2
2x + 1
= .
10000 − x2

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6. In a certain population, the force of mortality is constant.
If the probability that a life age 60 will survive to age 80 is 0.10, what is the force of
mortality?

(a) At least 0.10, but less than 0.12

(b) Less than 0.10
(c) At least 0.12, but less than 0.14
(d) At least 0.14, but less than 0.16
(e) At least 0.16

Solution
We have e−20µ = 0.1, so µ = − (ln 0.1) /20 = 0.11513.

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7. For the current type of refrigerator, you are given:

(i) S0 (x) = 1 − x/ω, 0 ≤ x ≤ ω.

◦
(ii) e0 = 20.

For a proposed new type, with the same ω, the new survival function is:

∗ 1, 0 ≤ x ≤ 5,
S0 (x) =
(ω − x) / (ω − 5) , 5 ≤ x ≤ ω.

Calculate the increase in life expectancy at time 0.

(a) 2.50
(b) 2.75
(c) 3.00
(d) 3.25
(e) 2.25

Solution
◦
The current type is uniform, so ω = 2e0 = 40. The new type is sure to survive 5 years,
then survival is uniform over 35 years thereafter, so the conditional expectation after
surviving 5 years is 21 (35) = 17.5, for the total expected survival time of 5 + 17.5 = 22.5,
which is 2.5 years longer.

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 q
1
8. You are given µx = 80−x
, 0 ≤ x < 80.
Calculate the median future lifetime of (20).

(a) 5.25
(b) 6.08
(c) 8.52
(d) 26.08
(e) 30.00

Solution
The conditional survival function is
Z tr !
1
t p20 = exp − du
0 80 − 20 − u
 √ t 
= exp 2 60 − u0
 √ √ 
= exp 2 60 − t − 60 .

We set this equal to 0.5 to get the median.

√ √ 
2 60 − t − 60 = ln 0.5
√ √ ln 50 0.6931
60 − t = 60 + = 7.7460 − = 7.3994
2 2
60 − t = 7.39942 = 54.751
t = 60 − 54.751 = 5.249.