Quote:
Originally Posted by Gandalf
I didn't follow all the steps, but ∫ v^t*fx(t) dt depends on mortality and
e^(δt)  ∫δ*e^(δt)dt does not depend on mortality so something must be wrong there.

The mortality vanishes after integration by parts. I set
u = e^(δt) v= 1
du=δ*e^(δt)dt dv=fx(t) dt
I set dv = fx(t) dt and when you go back from dv to v, you integrate dv from 0 to infinite to get 1. The formula for integration by parts is:
u*v  ∫v du
there is no mortality anywhere in equation, that's how the mortality just disappears. I agree that things get a little weird here but I couldn't find out what goes wrong.