# The product integral in practice

In a (much) earlier blog, Angus introduced the product-integral representation of the survival function:

${}_tp_x = \prod_0^t(1-\mu_{x+s}ds),\qquad(1)$

where $${}_tp_x$$ is the survival probability from age $$x$$ to age $$x+t$$ and $$\mu_{x+s}$$ is the mortality hazard at age $$x+s$$.  Regular readers of this blog (both of you) will notice a striking similarity with the Kaplan-Meier estimate of the survival function:

${}_t\hat p_x = \prod_{t_i\le t} \left(1-\frac{d_{x+t_i}}{l_{x+t^-_i}}\right),\qquad (2)$

where $$\{x+t_i\}$$ is the set of unique ages at death, $$d_{x+t_i}$$ is the number of deaths at age $$x+t_i$$ and $$l_{x+t^-_i}$$ is the number of lives alive immediately before age $$x+t_i$$.  The Kaplan-Meier estimate in equation (2) is the discretised equivalent of equation (1), meaning that $$d_{x+t_i}/l_{x+t^-_i}$$ is an estimate of $$\mu_{x+t_i}(t_{i+1}-t_i)$$.  Many actuarial portfolios quickly reach a size where there are events every single day of the year, making $$(t_{i+1}-t_i)$$ as small as $$\frac{1}{365}$$.  This results in fairly smooth-looking Kaplan-Meier estimates, such as in Figure 1 below:

Figure 1.  Kaplan-Meier estimates of survival function from age 60 for a medium-sized Canadian pension plan, 2013-2019.

Behind Figure 1 lie 542 deaths among 3,871 females and 633 deaths among 3,141 males.  Despite the relatively modest amount of data, the Kaplan-Meier estimate is surprisingly smooth.

The Kaplan-Meier estimate is one of the first things I calculate in any mortality analysis - not only is it an excellent visual communication tool for non-specialists, it is also very useful for diagnosing data-quality problems before fitting any models.  Further examples of this are given in Richards and Macdonald (2024).

References:

Kaplan, E. L. and Meier, P. (1958) Nonparametric estimation from incomplete observations, Journal of the American Statistical Association, 53 (282), pages 457-481, doi:10.2307/2281868.

Richards, S. J. and Macdonald, A. S. (2024) On contemporary mortality models for actuarial use I - practice, Longevitas working paper.

Written by: Stephen Richards
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## Kaplan-Meier estimation in Longevitas

Longevitas users can choose to generate Kaplan-Meier estimates for each risk-factor combination in a model, not just males v. females.  The Kaplan-Meier estimates can be plotted in the Curves tab, or the underlying data for the plot can be downloaded as a CSV file or Excel spreadsheet.