Computing the continuous time survival rate

We have a population of people with different age $a$, time is indexed with $t$. There is a rate at which people die, $d(a, t)$. For simplicity, ignore births. I want to compute the evolution of the distribution of ages over time.

Let $m(a, t)$ denote the mass of people at age $a$ and point in time $t$. I will start with a discrete time approximation and let $\Delta$ go to zero. At each discrete point in time,

$$m(a+\Delta, t+\Delta) = (1-P(a, t))m(a, t)$$

where $P(a, t) = exp(-d(a,t)\Delta)$ is the discrete time analogue of $d(a,t)$. As I'm going to let $\Delta\to 0$, I can approximate $P$ with $(1-\Delta d)$:

$$m(a+\Delta, t+\Delta) = \Delta d(a,t)m(a, t)$$

Issue Already here I'm having trouble understanding what happened: $\Delta d(a,t)$ denotes the mass of people who died during $\Delta$ at age $a$ and time $t$. Shouldn't this be negatively affecting the mass of people alive? I was expecting something along the lines of

$$m(a+\Delta, t+\Delta) = (1- \Delta d(a,t))m(a, t)$$

• if you let delta go to zero, you get $dm(t,d)= -\lambda(t,d)m(t,d)$. Is that what you want? – An old man in the sea. May 8 '15 at 14:35
• suggestion: You could improve the question by giving more details on what your objective, the properties of the functions on the RHS of the equation, etc. – An old man in the sea. May 8 '15 at 14:37
• @Anoldmaninthesea. I thought that it might be beneficial to simplify as much as possible, but as requested, I've rewritten the question. – FooBar May 8 '15 at 14:45

I think the step

"...where $P(a, t) = exp(-d(a,t)\Delta)$ is the discrete time analogue of $d(a,t)$..."

is the problem.

In continuous time I guess we have

$$\dot m(a,t) = -d(a,t)m(a,t) \implies m(a,t) = m_0\exp \{-d(a,t)t\}$$

We then have, discretizing,

$$\frac {m(a,t+\Delta) - m(a,t)}{m(a,t)} = \frac {\exp \{-d(a,t)(t+\Delta)\}-\exp \{-d(a,t)t\}}{\exp \{-d(a,t)t\}}$$

$$=\exp \{-d(a,t)\Delta\}-1 \approx -d(a,t)$$

$$\implies d(a,t) \approx 1-\exp \{-d(a,t)\Delta\}$$

So it should be $P(a, t) = 1-\exp(-d(a,t)\Delta)$. Now $a$ changes exactly in the same way as $t$ does (at $t+\Delta$ those of age $a$ at $t$ will be of age $a+\Delta$). So $m$ changes in both arguments together.

$$m(a+\Delta, t+\Delta) = (1-P(a, t))m(a, t) = \exp(-d(a,t)\Delta m(a, t)$$

$$\approx [1-d(a,t)\Delta]m(a, t)$$

I understand the left hand side as "the people that were of age $a$ at time $t$, and are still alive at time $t+\Delta$, where they have become of age $a+\Delta$. Is this what you are after?