ACTUARIAL MATHEMATICS I

Chapter 2
Survival Functions-4

Department of Actuarial Science

Faculty of Computer & Mathematical Sciences
Universiti Teknologi MARA, UiTM
Select life table
• Why we need life table?
• It can be used to calculate
probabilities for non-negative
values of 𝑡, 𝑢 𝑎𝑛𝑑 𝑥.
• Select life table will reflect
duration and age during the select
period.
• Life table within the ultimate
part of the model:
𝑙𝑦 = 𝑦−(𝑥0 +𝑑)𝑝𝑥0 +𝑑 . 𝑙𝑥0+𝑑 𝑥0 + 𝑑 𝑥 𝑦
= 𝑦−𝑥0 −𝑑𝑝 𝑥0 +𝑑 . 𝑙𝑥0+𝑑

Note:
𝑙𝑦 = The expected # of survivors to age y out of 𝑙𝑥 lives
𝑥0 𝑥0 + 𝑑 𝑦 currently age 𝑥 (< 𝑦), who where select at least d years ago
Select life table
• Life table within the select period.
Example: Select period (SP) is t-years / select t years ago.
For 𝑥 ≥ 𝑥0 and 0 ≤ 𝑡 ≤ 𝑑

𝑙𝑥+𝑑 = 𝑙 𝑥 +𝑡 . 𝑑−𝑡𝑝 𝑥 +𝑡 𝑥0 𝑥 𝑥 +t 𝑥+𝑑

𝑙𝑥+𝑑
𝑙 𝑥 +𝑡 =
𝑑−𝑡𝑝 𝑥 +𝑡

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Select life table
• Example: 𝑦 ≥ 𝑥 + 𝑑 > 𝑥 + 𝑠 > 𝑥 + 𝑡 ≥ 𝑥 ≥ 𝑥0

𝑦−𝑥−𝑡𝑝 𝑥 +𝑡 = 𝑦−𝑥−𝑑𝑝 𝑥 +𝑑 . 𝑑−𝑡𝑝 𝑥 +𝑡

= 𝑦−𝑥−𝑑𝑝𝑥+𝑑 . 𝑑−𝑡𝑝 𝑥 +𝑡 𝑥0 𝑥 𝑥 +t 𝑥+𝑑

𝑙𝑦 𝑙 𝑥 +𝑡
= ÷
𝑙𝑥+𝑑 𝑙𝑥+𝑑
𝑙𝑦 𝑙𝑥+𝑑
= ×
𝑙𝑥+𝑑 𝑙 𝑥 +𝑡
𝑑−𝑡𝑝 𝑥 +𝑡
𝑙𝑦 𝑠−𝑡𝑝 𝑥 +𝑡 =
= 𝑑−𝑠𝑝 𝑥 +𝑠
𝑙 𝑥 +𝑡 𝑙𝑥+𝑑 𝑙 𝑥 +𝑠
= ×
𝑙 𝑥 +𝑡 𝑙𝑥+𝑑
𝑙 𝑥 +𝑠
=
𝑙[𝑥]+𝑡
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Selection
Example 3.11 (textbook pg 62)
(a)
5𝑝70

67 68 69 70 75

3 years SP

𝑙75 71,800
5𝑝70 = = = 0.8913
𝑙70 80,556

Note: The person was select 3 years ago and now subject to the
ultimate part of the survival model.

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Selection
Example 3.11 (textbook pg 62) General formula:
(b) 𝑙𝑥 . 𝑝𝑥 = 𝑙𝑥+1
𝑙𝑥 . 𝑝𝑥 . 𝑝𝑥+1 = 𝑙𝑥+2
5𝑝 68 +2
𝑙𝑥 . 𝑡𝑝𝑥 = 𝑙𝑥+𝑡+1

68 69 70 71 75
[x] [x]+1 [x]+2 [x]+3
𝑃 68 +2
𝑙 68 +2 . 𝑃 68 +2 = 𝑙 68 +3
3 years SP 𝑙 68 +3
𝑙 68 +2 =
𝑃 68 +2
𝑙71
𝑙 68 +2+5 𝑙75 𝑙 68 +2 =
𝑃 68 +2
5𝑝 68 +2 = = 79,026
𝑙 68 +2 𝑙 68 +2 𝑙 68 +2 =
0.997
71,800 𝑙 68 +2 = 79,264
=
79,264
= 0.9058
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Selection
Example 3.11 (textbook pg 62) General formula:
𝑙𝑥 . 𝑝𝑥 = 𝑙𝑥+1
(c) 𝑙𝑥 . 𝑝𝑥 . 𝑝𝑥+1 = 𝑙𝑥+2
5𝑝 69 +1
𝑙𝑥 . 𝑡𝑝𝑥 = 𝑙𝑥+𝑡+1

69 70 71 72 75
3 years SP
[x] [x]+1 [x]+2 [x]+3 𝑙 69 +1 . 𝑃 69 +1 . 𝑃 69 +2 = 𝑙 69 +3
𝑃 69 +1
𝑙 69 +3
𝑃 69 +2 𝑙 69 +1 =
𝑃 69 +1 . 𝑃 69 +2
𝑙72
𝑙 69 +1 =
𝑙 69 +1+5 𝑙75 0.998(0.997)
5𝑝 69 +1 = = 77,410
𝑙 69 +1 𝑙 69 +1 𝑙 69 +1 =
0.997

71,800 𝑙 69 +1 = 77,799
=
77,799
= 0.9229
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Selection
Example 3.11 (textbook pg 62) General formula:
𝑙𝑥 . 𝑝𝑥 = 𝑙𝑥+1
(d) 𝑙𝑥 . 𝑝𝑥 . 𝑝𝑥+1 = 𝑙𝑥+2
5𝑝 70 𝑙𝑥 . 𝑡𝑝𝑥 = 𝑙𝑥+𝑡+1

70 71 72 73 75
3 years SP
[x] [x]+1 [x]+2 [x]+3 𝑙 70 . 𝑃 70 . 𝑃 70 +1 . 𝑃 70 +2 = 𝑙 70 +3
𝑃 70 𝑃 70 +1 𝑃 70 +2 𝑙 70 +3
𝑙 70 =
𝑃 70 . 𝑃 70 +1 . 𝑃 70 +2
𝑙 70 +5 𝑙75 𝑙73
5𝑝 70 = = 𝑙 70 =
𝑙 70 𝑙 70 0.997 0.998 (0.999)
77,410
𝑙 70 =
0.9940
71,800
= 𝑙 70 = 76,122
76,122
= 0.9432

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Selection
Example 3.12 (textbook pg 64)
(a)
4𝑝70

70 71 72 73 74
2 years SP
[x] [x]+1 [x]+2 [x]+3 [x]+4

𝑃 70 𝑃 70 +1 𝑃 70 +2 = 𝑝72 𝑃 70 +3 = 𝑝73

4𝑝 70 = 𝑝[70] . 𝑝 70 +1 . 𝑝 70 +2 . 𝑝[70]+3
= 𝑝[70] . 𝑝 70 +1 . 𝑝72 . 𝑝73
= (1 − 𝑞[70] )(1- 𝑞 70 +1 )(1− 𝑞72 ) (1− 𝑞73 )
= 1 − 0.010519 1 − 0.015868 1 − 0.020145 1 − 0.022759
= 0.932447

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Selection
Example 3.12 (textbook pg 64) 3𝑞 60 +1

(b) 𝑝 60 +1 𝑝62 𝑞63

𝑝 60 +1 𝑞62
𝑞 60 +1

60 61 62 63 64
2 years SP
[x] [x]+1 [x]+2 [x]+3

𝑃 60 𝑃 60 +1 𝑃 60 +2 = 𝑃62 𝑃 60 +3 = 𝑃63

3𝑞 60 +1 = 𝑞 60 +1 + 𝑝 60 +1 . 𝑞62 + 𝑝 60 +1 . 𝑝62 . 𝑞63 = 0.017756

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Selection
Example 3.12 (textbook pg 64)
(c) 2ȁ𝑞 73

2𝑝73 = 𝑝73 . 𝑝74 𝑞75

73 74 75 76

[x] [x]+1 [x]+2 [x]+3

𝑃 73 𝑃 73 +1 𝑃 73 +2 = 𝑃75

2ȁ𝑞 73 = 2𝑝73 . 𝑞75 = 𝑝73 . 𝑝74 . 𝑞75 = 1 − 𝑞73 (1 − 𝑞74 )( 𝑞75 )

= 0.027657

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