AUGUST 2022 SEMESTER

SCHOOL OF MATHEMATICAL SCIENCES

ASC2014 LIFE CONTINGENCIES I

(TUTORIAL 1)
(Chapter 1) (Survival Models I)
(SOLUTION)
Question 1

−3
(a) Given S (t ) = (1 + t )
• S (0) = (1 + 0) −3 = 1
• lim S (t ) = lim (1 + t ) −3 = 0
t −  t − 

−3
• S ' (t ) = −3(1 + t ) −4 = 0 → S (t ) is a non-increasing function.
(1 + t ) 4
−3
 S (t ) = (1 + t ) qualifies to be a survival function.

(b) Given S (t ) = e −t
2

• S (0) = e −0 = 1
lim S (t ) = lim e −t = 0
2
•
t −  t − 

S ' (t ) = −2te −t  0 , because t > 0.

2
• → S (t ) is a non-increasing function.
 S (t ) = e −t qualifies to be a survival function.
2

 at +bt 2 
− 
 2 
(c) Given S (t ) = e
• S (0) = e −0 = 1
 at +bt 2 
− 
• lim S (t ) = lim e  2 
=0
t −  t − 
 at +bt 2 
 1  − 2 

• S ' (t ) =  − a − bt e 0 → S (t ) is a non-increasing function.
 2 
 at +bt 2 
− 
 S (t ) = e  2 
qualifies to be a survival function.

 e− rt −1 
 
 r 
(d) Given S (t ) = e
 e −0 −1 
 
 r 
 
• S (0) = e =1
 e− rt −1   0−1 
   r  − 1r
• lim S (t ) = lim e  r 
= e 
=e 0
t −  t − 
 e− rt −1 
 
 S (t ) = e  r 
does not qualify to be a survival function.
ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies
AUGUST 2022 SEMESTER

SCHOOL OF MATHEMATICAL SCIENCES

(e) Given S (t ) = e − ( t )
p

• S (0) = e −0 = 1
lim S (t ) = lim e − ( t ) = 0
p
•
t −  t − 

S ' (t ) = −p(t ) p−1 e −( t )  0

p
• → S (t ) is a non-increasing function.
− ( t ) p
 S (t ) = e qualifies to be a survival function.

Question 2

1
(a) Given h(t ) =
 −t
1
• h(t ) =  0 provided t  
 −t
dt = − ln( − t )0 = − lim ln( − t ) + ln  = −(−) + ln  = 
  1 
•  h(t ) dt = 
0 0  −t t →

Remark: In this case,  is the infinity since  is the limiting age.

1
 h(t ) = qualifies to be a hazard function.
 −t

d = − ln( −  )0 = ln
t t 1
H (t ) =  h( ) d = 
t
0 0  −  −t
  
− H (t )
− ln 
  −t   −t t
S (t ) = e =e = = 1−
 

(b) Given h(t ) = Bc , B  0, c  1

t

• h(t ) = Bc t  0 since B  0, c  1

   Bc t 
•  h(t )dt =  Bc dt =   =
t
0 0
 ln c  0
 h(t ) = Bc t qualifies to be a hazard function.
t
t  Bc  Bc t − B B(c t − 1)
t
H (t ) =  h( ) d =  Bc d =   = = 
0 0
 ln c  0 ln c ln c
 B ( ct −1) 
− 

S (t ) = e − H ( t ) = e  ln c 

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

SCHOOL OF MATHEMATICAL SCIENCES

(c) Given h(t ) = kt , n  0, k  0

n

• h(t ) = kt n  0 since n  0, k  0, t  0

   kt n+1 
•  h(t )dt =  kt dt =   =
n
0 0
 n + 1 0
 h(t ) = kt n qualifies to be a hazard function.
t
t  kt n+1 
t kt n+1
H (t ) =  h( ) d =  k d =   = n
0 0
 n + 1 0 n + 1
 ktn +1 
− 

−H (t )  n +1 
S (t ) = e =e

−1
(d) Given h(t ) = a(b + t ) , a  0, b  0
• h(t ) = a(b + t ) −1  0 since a  0, b  0, t  0
h(t )dt =  a(b + t ) −1 dt = a ln( b + t )0 = 
 


•
0 0

 h(t ) = a (b + t ) −1 qualifies to be a hazard function.

(b + t ) a b+t a
H (t ) =  h( ) d =  a(b +  ) d = a ln( b +  ) = a ln( b + t ) − a ln b = ln
t t
−1
= ln(
t
0 a
)
0 0 b b
b +t a
−ln( ) b a
−H (t )
S (t ) = e =e b =( )
b+t

Question 3

(a) Given h(t ) = 

t t
• H (t ) =  h( ) d =   d = t
0 0
− H (t ) − t
• S (t ) = e =e
• f (t ) = S (t )  h(t ) = e − t
• F (t ) = 1 − S (t ) = 1 − e − t

(b) Given h(t ) = a + bt

t t b
• H (t ) =  h( ) d =  a + b d = at + t 2
0 0 2
b
−at − t 2
• S (t ) = e − H (t ) = e 2

b
− at − t 2
• f (t ) = S (t )  h(t ) = (a + bt )e 2

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

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b
− at − t 2
• F (t ) = 1 − S (t ) = 1 − e 2

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

SCHOOL OF MATHEMATICAL SCIENCES

1
(c) Given h(t ) =
1+ t
d = ln(1 +  )0 = ln(1 + t )
t t 1
• H (t ) =  h( ) d = 
t
0 0 1+
1
• S (t ) = e −H (t ) = e −ln( 1+t ) = (1 + t ) −1 =
1+ t
2
 1  1
• f (t ) = S (t )  h(t ) =   =
1+ t  (1 + t ) 2
1
• F (t ) = 1 − S (t ) = 1 −
1+ t

(d) Given h(t ) = tan t

t t t sin 
• H (t ) =  h( ) d =  tan  d =  d = − ln cos t
0 0 0 cos

• S (t ) = e − H (t ) = e ln cos t = cos t
• f (t ) = S (t )  h(t ) = tan t  cos t = sin t
F (t ) =  f ( )d =  sin  d = − cos 0 = 1 − cos t
t t
• t
0 0

Question 4

d d
(a) f 0 ( x) = F0 ( x) = (1 − e −ax ) = ae −ax
dx dx
− ax − ax
(b) S0 ( x) = 1 − F0 ( x) = 1 − 1 + e = e
f 0 ( x) ae − ax
(c)  x = = =a
S0 ( x) e −ax

Question 5
 1
 1
−( )
1
−( )
d d   − x  2  1  − x  2 1 1  − x  2
(a) f 0 ( x) = F0 ( x) = 1 −  =−  − =
dx dx      2     2   
 
1 1
 − x  2  − x  2
(b) S0 ( x) = 1 − F0 ( x) = 1 − 1 +  =
     
1
−( )
1  − x  2

2   
−1
1  − x  1   
(c)  x = f 0 ( x) = =   =   =
1
S0 ( x) 1
2    2   − x  2( − x)
 − x  2
  

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

SCHOOL OF MATHEMATICAL SCIENCES

Question 6

S0 ( x + t )
(a) (i) S x (t ) =
S 0 ( x)
( x + t ) 2 − 190( x + t ) + 9000
= 9000
x − 190 x + 9000
2

9000
( x + t ) 2 − 190( x + t ) + 9000
=
x 2 − 190 x + 9000

S x (t + u )
(ii) S x+u (t ) =
S x (u )
( x + t + u ) 2 − 190( x + t + u ) + 9000
= x 2 − 190 x + 9000
( x + u ) 2 − 190( x + u ) + 9000
x 2 − 190 x + 9000
( x + t + u ) 2 − 190( x + t + u ) + 9000
=
( x + u ) 2 − 190( x + u ) + 9000

(iii) t q x = 1− t p x
= 1 − S x (t )
( x + t ) 2 − 190( x + t ) + 9000
= 1−
x 2 − 190 x + 9000
x 2 − 190 x + 9000 − x 2 − 2 xt − t 2 + 190 x + 190t − 9000
=
x 2 − 190 x + 9000
− 2 xt − t 2 + 190t
= 2
x − 190 x + 9000

(iv) tu
q x = t p x − t +u p x
( x + t ) 2 − 190( x + t ) + 9000 ( x + t + u ) 2 − 190( x + t + u ) + 9000
= −
x 2 − 190 x + 9000 x 2 − 190 x + 9000
x + 2 xt + t − 190 x − 190t + 9000 − x − 2 xt − 2 xu − t 2 − 2tu − u 2 + 190 x + 190t + 190u − 9000
2 2 2
=
x 2 − 190 x + 9000
− 2 xu − 2tu − u 2 + 190u
=
x 2 − 190 x + 9000

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

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(45 + 25) 2 − 190(45 + 25) + 9000

(b) (i) 25 p45 = = 0.2424
452 − 190(45) + 9000

− 2(0) − 2(60)(15) − (15) 2 + 190(15)

(ii) q = = 0.0917
60 15 0
0 − 190(0) + 9000

− 2(25)(15) − 2(35)(15) − 152 + 190(15)

(iii) q = = 0.1692
35 15 25
252 − 190(25) + 9000

− 2(40)(2) − 2(3)(2) − 22 + 190(2)

(iv) 3 2 q40 = = 0.068
402 − 190(40) + 9000

Question 7

S0 ( x + t )
(a) (i) S x (t ) =
S 0 ( x)
x+t 
r

1 − 
  
= r
 x
1 − 
 
 − x −t 
r

= 
 −x 

S x (t + u )
(ii) S x+u (t ) =
S x (u )
 − x −t −u 
r

 
−x 
=
 − x −u 
r

 
 −x 
 − x −t −u 
r

= 
  − x −u 

(iii) t q x = 1− t p x
= 1 − S x (t )
 − x −t 
r

=1−  
 −x 

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

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(iv) tu
q x = t p x − t +u p x
 − x −t   − x −t −u 
r
( − x − t ) r − ( − x − t − u ) r
r

=  −  =
 −x   −x  ( − x) r

 − 45 − 25    − 70 
r r

(b) (i) 25 p45 =   = 

  − 45    − 45 

( − 0 − 60) r − ( − 0 − 60 − 15) r ( − 60) r − ( − 75) r

(ii) q = =
60 15 0
( − 0) r r

( − 25 − 35) r − ( − 25 − 35 − 15) r ( − 60) r − ( − 75) r

(iii) q = =
35 15 25
( − 25) r ( − 25) r

( − 40 − 3) r − ( − 40 − 3 − 2) r ( − 43) r − ( − 45) r
(iv) q = =
3 2 40
( − 40) r ( − 40) r

Question 8

1
(a) Given  x =
3( − x)

(
(i) t px = exp −   x + d
t

0 )
 t 1 
= exp  −  d 
 0 3( − x −  ) 
t
1 
= exp  ln( − x −  ) 
 3 0
1 
= exp [ln( − x − t ) − ln( − x)]
3 
1 1
( − x − t ) 3   − x − t 3
= = 
 −x 
1
( − x) 3
1
  − x − t 3
(ii) t q x = 1−t p x = 1 −  
 −x 
1 1 1 1

  − x − t  3   − x − t − u  3 ( − x − t ) 3 − ( − x − t − u ) 3
(iii) t u q x =t p x −t +u p x =   −  =
 −x   −x 
1
( − x) 3

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

SCHOOL OF MATHEMATICAL SCIENCES

(b) Given  = 100,

1
 100 − 36 − 39  3
(i) 39 p36 =   = 0.7310
 100 − 36 

1 1
(100 − 25 − 30) − (100 − 25 − 30 − 10)
3 3
(ii) 30 10
q25 = 1
= 0.0678
(100 − 25) 3

1 1
(100 − 40 − 10) − (100 − 40 − 10 − 20)
3 3
(iii) 10 20
q40 = 1
= 0.1473
(100 − 40) 3

Question 9

2
(a) Given  x =
100 − x

(
(i) t px = exp −   x + d
t

0 )
 t 2 
= exp  −  d 
0 100 − x − 
 
= exp  2 ln(100 − x −  )0
t

= exp(2[ln(100 − x − t ) − ln(100 − x)])

(100 − x − t ) 2
=
(100 − x) 2
 100 − x − t 
2

= 
 100 − x 

 100 − x − t 
2

(ii) t q x = 1−t p x = 1 −  
 100 − x 
 100 − x − t   100 − x − t − u  (100 − x − t ) 2 − (100 − x − t − u ) 2
2 2

(iii) q = p − p
t u x t x t +u x
=  −
   =
 100 − x   100 − x  (100 − x) 2

(b) Given  = 100,

 100 − 36 − 39 
2

(i) 39 p36 =   = 0.1526

 100 − 36 

(100 − 25 − 30) 2 − (100 − 25 − 30 − 10) 2

(ii) 30 10 q25 = = 0.1422
(100 − 25) 2

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

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(100 − 40 − 10) 2 − (100 − 40 − 10 − 20) 2

(iii) q = = 0.4444
10 20 40
(100 − 40) 2

Question 10

x px lx dx
0 0.9 10000 1000
1 0.8 9000 1800
2 0.6 7200 2880
3 0.3 4320 3024
4 0.0 1296 1296

Question 11

x lx px dx qx
50 18483 0.9847 282 0.0153
51 18201 0.9800 364 0.0200
52 17837 0.9774 404 0.0226
53 17433 0.9780 384 0.0220
54 17049 0.9896 177 0.0104
55 16872 - - -

Question 12

32
q50 =3 p50 −5 p50 = p50 p51 p52 − p50 p51 p52 p53 p54
= ( p50 p51 p52 )(1 − p53 p54 )
= (1 − 0.023)(1 − 0.025)(1 − 0.028)[1 − (1 − 0.030)(1 − 0.032)]
= 0.0565

Question 13

l64 35
3 p61 = = = 0.4118
l61 85

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

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Question 14

l21 − l23 28800 − 25698.92

2 q21 = = = 0.1077
l21 28800

x lx dx px
20 30000 1200 0.9600
21 28800 1450 0.9497
22 27350 1651.08 0.9396
23 25698.92 1798.92 0.9300
24 23900 1888 0.9210

Question 15

l54 − l55 890 − 865

4
q50 = = = 0.025
l50 1000
Expected no. who will die while age 54 = 0.025 ⨯ 800 = 20

x lx dx qx
50 1000 20 0.02000
51 980 32 0.03265
52 948 30 0.03165
53 918 28 0.03050
54 890 25 0.02800

Question 16

(i)
l0 = k (90 − 0) 2 = 81000
 k = 10

(ii)
x lx dx
30 36000 1190
31 34810 1170
32 33640 1150
33 32490 1130
34 31360 1110
35 30250 1090

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies

AUGUST 2022 SEMESTER

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(iii) t|u qx : probability that (x) will survive for another t years and die within the next u years
: probability that (x) will die between the ages x + t and x + t + u

l x +t lx +t +u lx +t − lx +t +u
t |u qx = t px − t +u px = − =
lx lx lx

l33 l35 32490 30250

(iv) q =
3|2 30 − = − = 0.0622
l30 l30 36000 36000

ASC2014 Life Contingencies I BSc (Hons) in Actuarial Studies