ACTL 3001 / ACTL 5104

Actuarial Statistics
Class Test 1
Wednesday, 4 April 2007
Time Allowed: 75 minutes
Total Mark: 100 points
Total Assessment credit: 12%
Write your name and student number on the space provided:

Name:______________________________

Student ID:__________________________

Read through the following information carefully. You can only go to the next
pages when told to do so.
This class test consists of 7 problems requiring short-written answers.
Marks allocated for each problem are as indicated. You may use your
own calculator for this exam.
You can only start writing down your solutions and answers when told
to do so
Answer the problems you are most confident with first.
Anyone caught writing after time has expired will be given a mark of
zero.
Candidates may bring the text formulae and tables for actuarial examinations into the examination. it must be WHOLLY UNANNOTATED.
GOOD LUCK!

1. [16 marks]
(a) [9 marks] Consider the following Patient Data.
Patients

1
2
3
5
6
7
9
10
Derive the

Starting time
(in month)

D or C time
(in month)

Death or
censored
Death
Censored
Death
Censored
Death
Death
Death
Censored

0
5
0
9
1
9
1
5
2
18
2
11
6
14
6
14
Nelson-Aalen estimate of the survival function.

(b) [5 marks] Derive a 95% confidence interval for the Nelson-Aalen

survival function at t = 6
(c) [2 marks] Suppose that you have been given the Kaplan-Meier estimate of the survival function. State how you could use this additional information to check on your answer to (a).

2. [10 marks]
Survival of patients with a lung disorder is believed to depend on age
at onset and smoking habits, as well as time since onset. The following
table shows a sample of six patients observed since t = 0 with z1 the age
at onset and z2 = 1 if a smoker and = 0 if a non smoker. A + indicates
a censored observation.
Patient
1
2
3
4
5
6

z1 z2
42 0
45 1
49 0
50 1
52 1
55 0

Time
5.0
4.4+
2.5+
9.2
6.0
8.0+

(a) [6 marks] Determine the partial likelihood for the Cox model as a
function of = ( 1 , 2 ).

(b) [4 marks] Suppose that a 7th patient with Age=45, a non-smoker

and death time of 5.0 is to be included in the above study. Determine the partial likelihood of the Cox model using the Breslow
approximation.

3. [6 marks]
A potential problem with many survival studies is that of Truncation.
What is Truncation and how does it dier from Censoring?

4. [18 marks]
Consider a life i with random death time Xi and random right censoring
time Ci . For each individual we observe (Ti , i ) where Ti = min (Xi , Ci )
and i = 1 if the observation was a death or i = 0 if censored.
(a) [4 marks] Let h (x, c) be the joint density of Xi and Ci . By looking
at the relationship between (Xi , Ci ) and (Ti , i ), prove that

Z Z
d t
P (Ti = t, i = 0) =
h (u, v) du dv
dt 0
v

(b) [6 marks] Assume that the censoring event Ci is non-informative.

Denote g (t) and G (t) as the density and cumulative distribution
function of Ci . Show algebraically that
P (Ti = t, i = 0) = S (t) g (t)
where S (t) is the survival function of Xi .

(c) [8 marks] Using (b), prove algebraically that the likelihood function (which will be used to estimate the survival function) for n
independent individuals satisfies
L

n
Y

(f (ti ))i (S (ti ))1i

i=1

(Hint: Consider also P (Ti = t, i = 1))

5. [22 marks]
A medical study was performed to investigate the dierence (or otherwise) in the eectiveness of 2 alternative treatments (A and B) to a
disease. The survival time (in months) are
Survival times for Group 1 (in months): 2, 3*, 4, 6, 6, 12*, 12

Survival times for Group 2 (in months): 6*, 7, 9*, 10, 13, 15*, 17*
where * denotes a censored observation.
The Log Rank Statistic was calculated as 2.3737 with an associated
variance of 1.55931.
(a) [13 marks] Calculate the Wilcoxin statistic. It is known that the
associated variance of the Wilcoxin statistic is 160.40.

10

(b) [9 marks] Perform the Log Rank and Wilcoxin tests and answer
the question of this medical study, carefully explaining the reason
for your answer.

11

6. [10 marks]
For 0 < t < 1 the Balducci assumption states that
1t qx+t

= (1 t) qx

Under this assumption, derive an equation for the force of mortality x+t
in terms of qx and t. What does this equation imply about the change
in x+t as t increases from 0 to 1? (Hint: you may want to consider an
equation for t px first)

12

7. [18 marks]
A study has been conducted investigate the possible eects of education
level and alcohol (drink) on the "Time till weening" for a newborn.
Data for this study was collected via surveys over several years. The
explanatory variables considered were:
Edu: Education Level of the Mother (Years of Schooling)

Drink: Mothers Alcohol Drinking Status (1 if the mother drank

significantly during pregnancy, 0 otherwise)
Using Cox regression in SAS, the outputs for 3 dierent potential regression models can be found in the following pages.
(a) [12 marks] Comment on each of the 3 regression models, carefully
specifying the null and alternative hypothesis of any statistical tests
you use.
(b) [6 marks] Using the results of (a), answer the question considered in
this study, carefully explaining the reasons for your choice of mode.
Also comment on the relative risk for any risk factors you decide to
use in your final model.

13