1

Future Lifetime As a Random Variable

Notation: “(x)” means “a life aged exactly x”

“Tx ” denotes the future lifetime of (x)

Assumption: Tx has a probability distribution, it is a random variable.

Lifetime distribution function

We denote Fx (t) the probability that the future lifetime of (x) does not
exceed t, that is,
Fx (t) = P(Tx  t).

Survival function

We denote Sx (t) the probability that the future lifetime of (x) exceeds t,
that is,
Sx (t) = P(Tx > t) = 1 Fx (t).

Suppose we know F0 (t) for all t (or, equivalently, suppose we know

S0 (t) = 1 F0 (t) for all t).

Question: can we find Fx (t)? (Equivalently, can we find Sx (t)?)

We see that

Sx (t) = P(T0 > x + t | T0 > x)

P({T0 > x + t} \ {T0 > x})
=
P(T0 > x)
 2

P(T0 > x + t)
=
P(T0 > x)
S0 (x + t)
= . (1)
S0 (x)

This is a very important relationship: it says that (1) Sx (t) is a conditional

probability, and (2) Sx (t) can always be found from {S0 (u), u 0}.

Eq.(1) is the same as

S0 (x + t) = S0 (x)Sx (t).

This says that: “the probability of survival from age 0 to age x + t is the
product of (a) the probability of survival from age 0 to age x times (b)
the probability of survival from age x to age x + t, given survival to age
x”.

Example. Suppose that F0 (t) = t/100 for 0  t  100. Calculate the

probability that

(i) a newborn life survives to at least age 60;

(ii) a newborn life dies between age 30 and age 50;

(iii) a 20-year old dies before age 40;

(iv) a 90-year old survives to at least age 95.

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Solution. (i) S0 (60) = 1 F0 (60) = 1 0.6 = 0.4.

(ii) P(30 < T0 < 50) = F0 (50) F0 (30) = 0.5 0.3 = 0.2.

(iii) F20 (20) = 1 S20 (20)

S0 (40)
=1
S0 (20)
1 F0 (40) 1 0.4
= 1 =1 = 0.25.
1 F0 (20) 1 0.2

S0 (95) 1 0.95
(iv) S90 (5) = = = 0.5.
S0 (90) 1 0.9

The force of mortality (or hazard rate) at age x is denoted µx and

defined by
1
µx = lim P(T0  x + ✏ | T0 > x).
✏!0+ ✏

Hence, we have the approximation: for small ✏,

µx ✏ ⇡ P(T0  x + ✏ | T0 > x).

In words, µx ✏ is approximately the probability that a life who has sur-

vived to age x dies before x + ✏.

The force of mortality is a hazard rate and NOT a probablility.

 4

Noting that

F0 (x + ✏) F0 (x)
P(T0  x + ✏ | T0 > x) = ,
1 F0 (x)

we see that

1 F0 (x + ✏) F0 (x)
µx = lim
✏!0+ ✏ 1 F0 (x)
F00 (x)
=
1 F0 (x)
S00 (x)
= .
S0 (x)

Example. Find µx when

(i) F0 (x) = 100 ,

x
0  x  100.

(ii) F0 (x) = 1 e x
, x 0, > 0.

cx↵
(iii) F0 (x) = 1 e , x 0, ↵, c > 0.

Solution.

(i) ) F00 (x) = 1

100 )

F00 (x) 1
µx = = for 0 < x < 100.
1 F0 (x) 100 x

(µx is an increasing function of x.)

 5
x
e
(ii) F0 (x) = 1 e x
) F00 (x) = e x
) µx = x
= .
e

(Here µx is constant, which does not fit human mortality.)

cx↵ cx↵
(iii) F0 (x) = 1 e ) F00 (x) = ↵cx↵ 1
e

↵cx↵ 1
e ↵cx
) µx = ↵cx
= ↵cx↵ 1
.
e

For human mortality we would require ↵ > 1, so that µx increases with

x.

The variable T0 has a Weibull distribution.

Actuarial Notation

t px = P(Tx > t) = Sx (t)

= probability that (x) survives for at least t years

t qx = P(Tx  t) = Fx (t)

= probability that (x) dies within t years.

We drop the subscript t when it equals 1, that is, px = 1 px and qx = 1 qx .

Many refer to qx as the mortality “rate” at age x, even though it is a

probability, not a rate.
 6

Note that for any t, u > 0,

S0 (x + t + u)
Sx (t + u) =
S0 (x)
S0 (x + t + u) S0 (x + u)
=
S0 (x + u) S0 (x)

= Sx+u (t)Sx (u).

This is the same as

t+u px = t px+u · u px .

Since
S00 (x)
µx =
S0 (x)

we have
1 d
µx = x p0 .
x p0 dx

The pdf of Tx

The future lifetime variable Tx is assumed continuous, i.e. it has a proba-

bility density function (pdf). Either there is ! < 1 such that S0 (w) = 0,
or else S0 (x) > 0 for all x > 0.

Let fx the pdf of Tx . Then

d d d
fx (t) = Fx (t) = t qx = t px
dt dt dt
 7

Since
1 d
µx = x p0 ,
x p0 dx

we have
f0 (x) = x p0 µx .

More generally,
d
fx (t) = Sx (t)
dt
d S0 (x + t) S00 (x + t)
= =
dt S0 (x) S0 (x)
1
= S0 (x + t)µx+t = t px µx+t .
S0 (x)

Example. Let
( 1
1 x 2
, 0  x  100
S0 (x) = 100
0, x > 100.

Find µx and fx (t).

Solution.
1 d
µx = S0 (x)
S0 (x) dx
⇣ ✓ ◆
x ⌘ 1
2 1⇣ x ⌘ 1
2 1
= 1 1
100 2 100 100
1 ⇣ x ⌘ 1
= 1 for 0 < x < 100.
200 100
 8

For 0 < x < 100, 0 < t < 100 x,

1 ✓ ◆ 1
1 x+t 2
1 x+t
fx (t) = t px µx+t = 100
1
1 x
1
2 200 100
100
✓ ◆ 12 ✓ ◆ 1
100 x t 1 x+t
= 1
100 x 200 100
1 1
= [(100 x t)(100 x)] 2 .
2

Some formulas for t qx and t px

We have seen that

Z t Z t
Fx (t) = t qx = fx (s) ds = s px µx+s ds.
0 0

From another direction,

d
t px = t px µx+t
dt

implies
d 1 d
log t px = t px = µx+t .
dt t px dt

Integrating both extremities for t between 0 and s, we find

Z s
log s px log 0 px = µx+t dt.
0
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Recalling that 0 px = 1, we finally get

Z s
s px = exp µx+t dt, s > 0.
0

This formula will frequently reappear in the sequel.

The formula means, in particular, that knowing µy for all y gives knowl-
edge of all probabilities t px and t qx .

Complete expectation of life

The complete expectation of life at age x is ETx , denoted ex ; then

x + ex is the average age at death of someone currently age x.

(The word “complete” means that the fraction of year lived in the year
of death is included. “Expectation of life” and “life expectancy” are syn-
onymous.)

Since Tx is a continuous random variable, we have

Z 1
ex = tfx (t) dt.
0

It is traditional and often simpler to use the theorem: “for any random
variable Y 0,
Z 1
EY = P(Y > y) dy.”
0
 10

(This is explained in more detail in Turorial 1.) Hence,

Z 1 Z 1
ex = P(Tx > t) dt = t px dt.
0 0

Example. If Fx (t) = 1 e .01t

, t > 0, then

Z 1
1
ex = e .01t
dt = = 100.
0 .01

(Observe that the distribution function Fx (·) is that of an exponential

distribution.)

Example. Suppose you are given F0 (t) = 100 ,

t
0  t  100. Then, if
0 < x < 100,

100 x t
P(Tx > t) = , 0 < t < 100 x,
100 x

and 0 for t 100 x. Hence

Z 1 Z 100 x
100 x t
ex = P(Tx > t) dt = dt
0 0 100 x
1
= (100 x).
2

Temporary complete expectation of life

Fix some n > 0. For a life age x, the number of years lived over the next
n years is Tx ^ n = min(Tx , n).
 11

The n-year temporary complete expectation of life at age x is defined as

E(Tx ^ n), denoted ex:n .

Now
P((Tx ^ n) > n) = 0,

but for durations between 0 and n the distribution of Tx and Tx ^ n are

the same. We thus find

Z n
ex:n = t px dt.
0

Example. Going back to the case where Tx ⇠ Exponential(.01), for

any n > 0 we have

Z n
1 e .01n
ex:n = e .01t
dt = = 100(1 e .01n
).
0 .01

We see that ex:n tends to ex = 100 as n tends to infinity, as it should be.

Curtate Future Lifetime

Recall that Tx is assumed to be a continuous random variable.

Let x be an integer, and let Kx = [Tx ]; in other words, Kx is the integer

part of Tx , or the number of whole years lived by (x) in the future.

For instance, if (35) lives to age 56.9, then T35 = 21.9, and K35 = 21.
 12

Hence, Kx is a random variable which takes values in the set {0, 1, 2, . . .}

only. Kx is called the curtate future lifetime of (x).

We find
P(Kx = j) = P(Tx 2 [j, j + 1))

= P(Tx  j + 1) P(Tx  j)

= j+1 qx j qx

= j px j+1 px

= j px j px px+j

= j px (1 px+j ) = j px qx+j .

The curtate expectation of life is defined as ex = EKx . Two formulas

for ex are easily found: first,
1
X 1
X
ex = j P(Kx = j) = j · j px qx+j .
j=1 j=1

The second formula is often more convenient to use:

Z 1
ex = P(Kx > t) dt
0
1 Z
X j+1
= P(Kx > t) dt
j=0 j

1 Z
X j+1
= P(Kx > j) dt (do graph)
j=0 j

1
X
= P(Kx > j)
j=0
 13
1
X 1
X
= j+1 px = k px .
j=0 k=1

Higher moments of Kx may also be calculated. Recall the formula (from

Tutorial 1): for Y 0,
Z 1
EY 2
= 2yP(Y > y) dy.
0

Then
Z 1
EKx2 = 2t P(Kx > t) dt
0
1 Z
X j+1
= 2t P(Kx > t) dt
j=0 j

1 Z
X j+1
= 2t P(Kx > j) dt
j=0 j

1 Z
X j+1
= 2t dt P(Kx > j)
j=0 j

1
X 1
X
= (2j + 1) j+1 px = (2k 1) k px .
j=0 k=1

It is also possible to find a formula for the temporary curtate expec-

tation of life, that is, expected number of whole years lived by (x) be-
fore age x + n (if n is an integer): that number of years is

min(Kx , n) = Kx ^ n.
 14

A moment’s thought will confirm that

⇢
P(Kx > j) if j  n 1
P[(Kx ^ n) > j] =
0 if j n,

and thus (using the same steps as for ex ):

Z 1 n
X1 n
X
ex:n = E(Kx ^ n) = P[(Kx ^ n) > t] dt = j+1 px = k px .
0 j=0 k=1

A simple approximation for ex

Z 1
ex = t px dt
0
1 Z
X j+1
= t px dt
j=0 j

1
X 1
⇡ (j px + j+1 px ) (by the trapeze rule)
j=0
2

1
1 X 1
= + j px = + ex .
2 j=1 2

Example. Suppose µx = .05 for all x. Compare the exact and approxi-
mate values of ex .
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Solution. If µx ⌘ .05 then t px = e .05t

and so
Z 1 Z 1
ex = t px dt = e .05t
dt = 20
0 0
1
X 1
X .05
e
ex = k px = e .05k
= = 19.504.
1 e .05
k=1 k=1

Hence the above approximation is pretty good in this case.

The life table

This is a very important tool to actuaries. It is expressed in terms of a

hypothetical deterministic population with number of survivors `x at age
x, for integral ages x.

Suppose ↵ (an integer) is the initial age (e.g. ↵ = 0 or 20). Usually, a

convenient large number is chosen for the size of the population at age
↵, say `↵ = 100, 000. This number is called the radix of the life table.

Mortality investigations usually provide the probabilities of death q↵ ,

q↵+1 , q↵+2 , . . .. Then we define

`↵+1 = `↵ (1 q↵ ), `↵+2 = `↵+1 (1 q↵+1 ), `↵+3 = `↵+2 (1 q↵+2 )

and so on. This says that `↵+1 is the number of individuals age ↵ times
the probability of surviving from age ↵ to age ↵ + 1; in other words, `↵+1
is the expected number of survivors at age ↵ + 1. Similarly, `↵+2 is
the expected number of survivors at age ↵ + 2, and so on for `x , for any
integral age x > ↵.
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Example. Suppose (for illustrative purposes) that we are given ↵ = 0

and qx = 1 e .01
for all x. If we set the radix to `0 = 10, 000, then we
find
x `x
0 10, 000.00
1 9, 900.50
2 9, 801.99
3 9, 704.46
.. ..
. .

There is often a “last age”, which has the symbol ! (the last letter of the
Greek alphabet, not “dubya”), which is defined as the first integral age x
such that `x = 0 (for example ! = 120). However, this is not always the
case, many life tables have no last age, but just a very rapidly decreasing
`x > 0 for very large x.

Even though `↵ is an integer, the populations at higher ages `x are in

general not whole numbers.

Note that the particular value `↵ chosen is of no importance in actuarial

calculations, since all probabilities result from ratios of values of `x :

`x+n
n px = , n qx = 1 n px .
`x

Other life table functions

For integers x we define:

dx = `x `x+1 .
 17

Note that
dx = `x `x px = `x qx .

Either way dx is seen to be the expected number of deaths over the year
of age x among the `x lives age x. Since the total number of lives at age
x must equal the number of those dying at all ages from x onward, we
have
1
X
`x = dy .
y=x

The “n-year deferred probabilities of death” are defined as

n|m qx = P(n < Tx < n + m) = 1 n+m px (1 n px )

`x+n `x+n+m
= n px n+m px = .
`x

When m = 1 this is written as n| qx . A relationship that is often used is

n| qx = n px qx+n .

The next definitions are important in demography, but they also arise in
actuarial calculations. The central death rate is

Z x+1
dx
mx = where Lx = `y dy.
Lx x

Note that this is di↵erent from

dx
qx =
`x
 18

(which of qx and mx is larger?).

Recalling that
Z 1 Z 1
qx = P(Tx 2 (0, 1)) = fx (t) dt = t px µx+t dt,
0 0

we see that
Z 1
dx = `x qx = `x t px µx+t dt
0
Z 1
= `x+t µx+t dt.
0

This means:
R1
`x+t µx+t dt
mx = 0
R1 .
`
0 x+t
dt

The interpretation is then: mx is a weighted average of the force of mor-

tality µy between the ages x and x + 1, the weights being the number of
survivors at age y.

Another demographic function is

Z 1 Z 1
Tx = `y dy = `x+t dt.
x 0

(Note unfortunate conflict of notation, as Tx already has another mean-

ing.)

We can then find another expression for the complete expectation of life:
Z 1 Z 1
`x+t Tx
ex = t px dt = dt = .
0 0 `x `x
 19

Similarly:
Z n
Tx Tx+n
ex:n = t px dt = .
0 `x

Fractional ages

A very common situation is that one is given a life table (that is, `x , qx , px
for x = ↵, ↵+1, . . .) and that probabilities of death or survival are needed
at non-integral ages, say 13 q35 12 . There is no unique solution to this prob-
lem, but the first one described below is the most popular one.

(I) The assumption of “uniform distribution of deaths within

the year they occur” (UDD)

This can be understood in terms of the function `x+t , 0 < t < 1, or in

terms of the conditional distribution of T0 , given x < T0 < x + 1.

The first way to describe UDD is to begin by saying that, for any integer
x, `x+t is a linear interpolation of the values `x and `x+1 :

`x+t = `x t · dx , 0  t  1. (⇤)

All probabilities s py (for any s, y) can then be calculated from

`y+s
s py = .
`y

Some formulas: assuming x is an integer and 0 < t < 1, we find

`x t · dx
t px = = 1 t · qx ,
`x
 20

which is the same as

t qx = t · qx .

A more general formula is the one for t qx+s , for 0 < s + t < 1:

`x+s+t `x (s + t)dx t · dx
t qx+s = 1 = 1 =
`x+s `x s · dx `x s · dx
t · qx
= .
1 s · qx

From a probabilistic point of view, UDD means that, for any integer x
and 0 < t < 1:

Z x+t
`x `x+t
P(T0 2 (x, x + t)) = f0 (y) dy = x p0 t+x p0 =
x `0
t · dx
= = t · x| q0 .
`0

Di↵erentiating with respect to t, we get

f0 (x + t) = x| q0 , x = 0, 1, 2, . . . , 0 < t < 1.

The density of T0 is thus a constant in each of the intervals (0, 1), (1, 2),
and so on. The expression “uniform distribution of deaths” comes from
the conditional distribution of the time of death, given that it occurs over
the following year: suppose again that x is an integer and that 0 < t < 1;
 21

then, from the assumption made in (⇤),

P(Tx 2 (0, t))

P(Tx  t | Tx < 1) =
P(Tx 2 (0, 1))

t qx (`x `x+t )/`x

= =
qx (`x `x+1 )/`x
t · dx
= = t.
dx

Thus, the conditional distribution of Tx , given that Tx is smaller than 1, is

U(0,1). Another way to say the same thing is that under (⇤) the dx deaths
occuring among the `x lives initially aged x are uniformly distributed over
the year (since `x+t decreases at a constant linear rate with t 2 (0, 1)).

Another formula resulting from the UDD assumption is that for x an

integer and 0 < t < 1:

@
t px µx+t = fx (t) = P(Tx 2 (0, t))
@t
✓ ◆
@ `x `x+t @ t · dx
= =
@t `x @t `x

= qx .

(II) The Balducci assumption

This assumption was first formulated in order to simplify some formulas

arising in the estimation of death rates. It states that

1 t qx+t = (1 t) · qx , x = 0, 1, 2, . . . , 0 < t < 1.

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This assumption is further explored in the turorial exercises.

(III) The “constant force of mortality” assumption

This assumption is convenient in some circumstances:

µx+t = cx , x = 0, 1, 2, . . . , 0 < t < 1.

(The force of mortality is a constant within each year of age.) This of

course implies:
R x+s+t
µy dy
t px+s = e x+s = e cx t
, x = 0, 1, 2, . . . , 0 < s + t < 1.

Example. Suppose `40 = 94926 and `41 = 94706. Using each of the three
assumptions above separately, compute: (a) .5 p40 ; (b) .25 p40.5 .

✓ ◆
`40 `41
Solution. (I) UDD: (a) .5 p40 = 1 .5 = .9988412.
`40

.25 · q40
(b) .25 p40.5 = 1 = .9994199.
1 .5 · q40

(II) Balducci: (a) The identity p40 = 0.5 p40 · 0.5 p40.5 implies:
p40
0.5 p40 = = .9988399.
1 .5 · q40

(b) The identity .5 p40.5 = .25 p40.5 · .25 p40.75 implies

.5 p40.5 1 .5 q40.5 1 (1 .5)q40

.25 p40.5 = = =
.25 p40.75 1 .25 q40.75 1 (1 .75)q40

= .9994202.
 23

(III) Constant force of mortality: (a) No need to find c40 , because under
this assumption

p p
.5 p40 = e = e = p40 = .9988405.
.5c40 c40

1 1
.25 p40.5 = e .25c40
= (e c40
) 4 = (p40 ) 4 = .9994201.

Here as in the majority of cases the di↵erences are so small between (I),
(II) and (III) that they are ignored in practice.

The intra-year probabilities vary somewhat more across assumptions

when qx is larger. For instance, in the rather extreme case where qx = .5
we find that .5 px+.5 equals, under assumptions (I), (II) and (III) respec-
tively,
.66667, .75, .70711.