Right-Censoring Rules!

(Jan 23, 2019)

A fundamental assumption underlying most modern presentations of mortality modelling (see our new book) is that the future lifetime of a person now age \(x\) can be represented as a non-negative random variable \(T_x\).  The actuary's standard functions can then be defined in terms of the distribution of \(T_x\), for example:

\[{}_tp_x = \Pr[ T_x > t ].\]

In fact, all of classical life insurance mathematics follows from this assumption; see Dickson, Hardy and Waters (2013).  This is an example of a probabilistic model in action.  We specify a model in terms of one or more random variables and then calculate the probabilities of interesting events.

The inverse problem is the domain of statistics.  Givenů

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Tags: survival analysis, right-censoring, counting process

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