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A Note On Life Table and Multiple-Decrement Table Functions

This document summarizes key concepts in life table and multiple decrement table functions. It shows that the usual formulae for mortality table functions hold under less restrictive assumptions than typically made. It also considers the foundations of multiple decrement table theory in the context of probability theory. Specifically, it proves the "identity of the forces" concept, which states that the limiting ratio of the probability of exiting a multiple decrement table by a given cause to the total probability of exiting is equal to the corresponding force of decrement.

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Rinjani Pebriawan
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148 views

A Note On Life Table and Multiple-Decrement Table Functions

This document summarizes key concepts in life table and multiple decrement table functions. It shows that the usual formulae for mortality table functions hold under less restrictive assumptions than typically made. It also considers the foundations of multiple decrement table theory in the context of probability theory. Specifically, it proves the "identity of the forces" concept, which states that the limiting ratio of the probability of exiting a multiple decrement table by a given cause to the total probability of exiting is equal to the corresponding force of decrement.

Uploaded by

Rinjani Pebriawan
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© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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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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