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01 TablasdeMortalidad Dickson Cap3.2

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9 views4 pages

01 TablasdeMortalidad Dickson Cap3.2

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Catalina PANAGGIO
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© © All Rights Reserved
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3

Life tables and selection

3.1 Summary
In this chapter we define a life table. For a life table tabulated at integer ages
only, we show, using fractional age assumptions, how to calculate survival
probabilities for all ages and durations.
We discuss some features of national life tables from Australia, England &
Wales and the United States.
We then consider life tables appropriate to individuals who have purchased
particular types of life insurance policy and discuss why the survival probabil-
ities differ from those in the corresponding national life table. We consider the
effect of ‘selection’ of lives for insurance policies, for example through medical
underwriting. We define a select survival model and we derive some formulae
for such a model.

3.2 Life tables


Given a survival model, with survival probabilities t px , we can construct the life
table for the model from some initial age x0 to a maximum age ω. We define a
function {lx } for x0 ≤ x ≤ ω as follows. Let lx0 be an arbitrary positive number
(called the radix of the table) and, for 0 ≤ t ≤ ω − x0 , define

lx0 +t = lx0 t px0 .

From this definition we see that for x0 ≤ x ≤ x + t ≤ ω,

lx+t = lx0 x+t−x0 px0


= lx0 x−x0 px0 t px
= lx t px ,

41
42 Life tables and selection

so that

t px = lx+t /lx . (3.1)

For any x ≥ x0 , we can interpret lx+t as the expected number of survivors to


age x + t out of lx independent individuals aged x. This interpretation is more
natural if lx is an integer, and follows because the number of survivors to age
x + t is a random variable with a binomial distribution with parameters lx and
t px . That is, suppose we have lx independent lives aged x, and each life has a
probability t px of surviving to age x + t. Then the number of survivors to age
x + t is a binomial random variable, Lt , say, with parameters lx and t px . The
expected value of the number of survivors is then

E[Lt ] = lx t px = lx+t .

We always use the table in the form ly /lx which is why the radix of the table is
arbitrary – it would make no difference to the survival model if all the lx values
were multiplied by 100, for example.
From (3.1) we can use the lx function to calculate survival probabilities. We
can also calculate mortality probabilities. For example,

l31 l30 − l31


q30 = 1 − = (3.2)
l30 l30
and
 
l55 l85 l55 − l85
15 |30 q40 = 15 p40 30 q55 = 1− = . (3.3)
l40 l55 l40

In principle, a life table is defined for all x from the initial age, x0 , to the limiting
age, ω. In practice, it is very common for a life table to be presented, and in
some cases even defined, at integer ages only. In this form, the life table is a
useful way of summarizing a lifetime distribution since, with a single column
of numbers, it allows us to calculate probabilities of surviving or dying over
integer numbers of years starting from an integer age.
It is usual for a life table, tabulated at integer ages, to show the values of dx ,
where

dx = lx − lx+1 , (3.4)

in addition to lx , as these are used to compute qx . From (3.4) we have


 
lx+1
dx = lx 1 − = lx (1 − px ) = lx qx .
lx
3.2 Life tables 43
Table 3.1. Extract from a
life table.

x lx dx

30 10 000.00 34.78
31 9 965.22 38.10
32 9 927.12 41.76
33 9 885.35 45.81
34 9 839.55 50.26
35 9 789.29 55.17
36 9 734.12 60.56
37 9 673.56 66.49
38 9 607.07 72.99
39 9 534.08 80.11

We can also arrive at this relationship if we interpret dx as the expected number


of deaths in the year of age x to x + 1 out of lx lives aged exactly x, so that,
using the binomial distribution again

dx = lx qx . (3.5)

Example 3.1 Table 3.1 gives an extract from a life table. Calculate

(a) l40 ,
(b) 10 p30 ,
(c) q35 ,
(d) 5 q30 , and
(e) the probability that a life currently aged exactly 30 dies between ages 35
and 36.

Solution 3.1 (a) From equation (3.4),

l40 = l39 − d39 = 9 453.97.

(b) From equation (3.1),

l40 9 453.97
10 p30 = = = 0.94540.
l30 10 000

(c) From equation (3.5),

d35 55.17
q35 = = = 0.00564.
l35 9 789.29
44 Life tables and selection

(d) Following equation (3.2),


l30 − l35
5 q30 = = 0.02107.
l30
(e) This probability is 5 | q30 . Following equation (3.3),
l35 − l36 d35
5 | q30 = = = 0.00552.
l30 l30
2

3.3 Fractional age assumptions


A life table {lx }x≥x0 provides exactly the same information as the corresponding
survival distribution, Sx0 . However, a life table tabulated at integer ages only
does not contain all the information in the corresponding survival model, since
values of lx at integer ages x are not sufficient to be able to calculate probabili-
ties involving non-integer ages, such as 0.75 p30.5 . Given values of lx at integer
ages only, we need an additional assumption or some further information to cal-
culate probabilities for non-integer ages or durations. Specifically, we need to
make some assumption about the probability distribution for the future lifetime
random variable between integer ages.
We use the term fractional age assumption to describe such an assumption.
It may be specified in terms of the force of mortality function or the survival or
mortality probabilities.
In this section we assume that a life table is specified at integer ages only and
we describe the two most useful fractional age assumptions.

3.3.1 Uniform distribution of deaths


The uniform distribution of deaths (UDD) assumption is the most common
fractional age assumption. It can be formulated in two different, but equivalent,
ways as follows.
UDD1
For integer x, and for 0 ≤ s < 1, assume that

s qx = sqx . (3.6)

UDD2
Recall from Chapter 2 that Kx is the integer part of Tx , and define a new
random variable Rx such that

Tx = Kx + Rx .

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