{"id":524,"date":"2015-01-06T17:47:12","date_gmt":"2015-01-06T17:47:12","guid":{"rendered":"http:\/\/frees.pajarel.net\/?page_id=524"},"modified":"2015-02-20T18:50:42","modified_gmt":"2015-02-21T00:50:42","slug":"3-udd-in-the-single-decrement-models","status":"publish","type":"page","link":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/actuarial-mathematics\/multiple-decrement-models\/6-building-mult-decrement-tables-from-associated-single-life-functions\/3-udd-in-the-single-decrement-models\/","title":{"rendered":"3. UDD in the Single Decrement Models"},"content":{"rendered":"<p>A third way to build a multi-decrement table from the associated single decrement tables (and vice-versa) is to assume uniform distribution of decrements (UDD) in each of the associated single decrement tables.<br \/>\nUnder this assumption, for integer age \\(x\\) and fraction \\(t\\) \\(( 0 \\leq t \\lt 1)\\), we have<br \/>\n\\begin{eqnarray*}<br \/>\n_t p_x^{\\prime(j)} = 1- ~_t q_x^{\\prime(j)} = 1- t \\times q_x^{\\prime(j)} .<br \/>\n\\end{eqnarray*}<br \/>\nNow, recall that \\( ~_t p_x^{\\prime(j)} = \\exp \\left\\{ &#8211; \\int_0^t \\mu_{x+t}^{(j)} ~ du<br \/>\n\\right\\} \\). Taking derivatives of each sides, it is easy to check that<br \/>\n\\begin{eqnarray*}<br \/>\n_t p_x^{\\prime(j)} \\mu_{x+t}^{(j)} = q_x^{\\prime(j)} .<br \/>\n\\end{eqnarray*}<br \/>\nThus,<br \/>\n\\begin{eqnarray*}<br \/>\n~ q_x^{(1)} &#038;=&#038; \\int_0^1 ~ _t p_x^{(\\tau)} \\mu_{x+t}^{(1)} ~dt ~=~ \\int_0^1 ~ \\left(\\prod_{j=1}^n ~_t p_x^{\\prime(j)} \\right) \\mu_{x+t}^{(1)} ~dt \\\\<br \/>\n&#038;=&#038; q_x^{\\prime(1)} \\int_0^1 ~ \\left(\\prod_{j=2}^n (1- t \\times q_x^{\\prime(j)}) \\right) ~dt .<br \/>\n\\end{eqnarray*}<br \/>\nSo, for example, with \\(n=2\\), we have<br \/>\n\\begin{eqnarray*}<br \/>\n~ q_x^{(1)} &#038;=&#038; q_x^{\\prime(1)} \\left(1- \\frac{1}{2} q_x^{\\prime(2)} \\right) .<br \/>\n\\end{eqnarray*}<br \/>\nand, by symmetry,\\(~ q_x^{(2)} = q_x^{\\prime(2)} \\left(1- \\frac{1}{2} q_x^{\\prime(1)} \\right) .\\) With \\(n=3\\), we have<br \/>\n\\begin{eqnarray*}<br \/>\n~ q_x^{(1)} &#038;=&#038; q_x^{\\prime(1)} \\left(1- \\frac{1}{2} (q_x^{\\prime(2)}+q_x^{\\prime(3)}) + \\frac{1}{3} q_x^{\\prime(2)} \\times<br \/>\nq_x^{\\prime(3)} \\right) ,<br \/>\n\\end{eqnarray*}<br \/>\nand similarly for \\(q_x^{(2)}\\) and \\(q_x^{(3)}\\).<\/p>\n<p><div class=\"alignleft\"><a href=\"https:\/\/users.ssc.wisc.edu\/~ewfrees\/actuarial-mathematics\/multiple-decrement-models\/6-building-mult-decrement-tables-from-associated-single-life-functions\/2-udd-in-the-mdt\/\" title=\"2. UDD in the MDT\">&#9668 Previous page<\/a><\/div><div class=\"alignright\"><a href=\"https:\/\/users.ssc.wisc.edu\/~ewfrees\/actuarial-mathematics\/interest-rate-risks-and-simulation\/\" title=\"Interest Rate Risks and Simulation\">Next page &#9658<\/a><\/div><\/p>\n","protected":false},"excerpt":{"rendered":"<p>A third way to build a multi-decrement table from the associated single decrement tables (and vice-versa) is to assume uniform distribution of decrements (UDD) in each of the associated single decrement tables. Under this assumption, &hellip;<\/p>\n","protected":false},"author":1,"featured_media":0,"parent":514,"menu_order":0,"comment_status":"closed","ping_status":"open","template":"","meta":{"jetpack_post_was_ever_published":false},"jetpack_sharing_enabled":true,"jetpack_shortlink":"https:\/\/wp.me\/P8cLPd-8s","acf":[],"_links":{"self":[{"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/pages\/524"}],"collection":[{"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/comments?post=524"}],"version-history":[{"count":3,"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/pages\/524\/revisions"}],"predecessor-version":[{"id":790,"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/pages\/524\/revisions\/790"}],"up":[{"embeddable":true,"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/pages\/514"}],"wp:attachment":[{"href":"https:\/\/users.ssc.wisc.edu\/~ewfrees\/wp-json\/wp\/v2\/media?parent=524"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}