Theory Survival_Model

theory Survival_Model
  imports "HOL-Library.Rewrite" "HOL-Library.Extended_Nonnegative_Real" "HOL-Library.Extended_Real"
    "HOL-Probability.Probability" Preliminaries
begin

section ‹Survival Model›

text ‹
  The survival model is built on the probability space ‹𝔐›.
  Additionally, the random variable ‹X : space 𝔐 → ℝ› is introduced,
  which represents the age at death.
›

locale prob_space_actuary = MM_PS: prob_space 𝔐 for 𝔐 
  ― ‹Since the letter M may be used as a commutation function,
      adopt the letter ‹𝔐› instead as a notation for the measure space.›

locale survival_model = prob_space_actuary +
  fixes X :: "'a ⇒ real"
  assumes X_RV[simp]: "MM_PS.random_variable (borel :: real measure) X"
    and X_pos_AE[simp]: "AE ξ in 𝔐. X ξ > 0"
begin

subsection ‹General Theory of Survival Model›

interpretation distrX_RD: real_distribution "distr 𝔐 borel X"
  using MM_PS.real_distribution_distr by simp

lemma X_le_event[simp]: "{ξ ∈ space 𝔐. X ξ ≤ x} ∈ MM_PS.events"
  by measurable simp

lemma X_gt_event[simp]: "{ξ ∈ space 𝔐. X ξ > x} ∈ MM_PS.events"
  by measurable simp

lemma X_compl_le_gt: "space 𝔐 - {ξ ∈ space 𝔐. X ξ ≤ x} = {ξ ∈ space 𝔐. X ξ > x}" for x::real
proof -
  have "space 𝔐 - {ξ ∈ space 𝔐. X ξ ≤ x} = space 𝔐 - (X -` {..x})" by blast
  also have "… = (X -` {x<..}) ∩ space 𝔐" using vimage_compl_atMost by fastforce
  also have "… = {ξ ∈ space 𝔐. X ξ > x}" by blast
  finally show ?thesis .
qed

lemma X_compl_gt_le: "space 𝔐 - {ξ ∈ space 𝔐. X ξ > x} = {ξ ∈ space 𝔐. X ξ ≤ x}" for x::real
  using X_compl_le_gt by blast

subsubsection ‹Introduction of Survival Function for ‹X››

text ‹
  Note that ‹ccdf (distr 𝔐 borel X)› is the survival (distributive) function for ‹X›.
›

lemma ccdfX_0_1: "ccdf (distr 𝔐 borel X) 0 = 1"
  apply (rewrite MM_PS.ccdf_distr_P, simp)
  using X_pos_AE MM_PS.prob_space
  using MM_PS.prob_Collect_eq_1 X_gt_event by presburger

lemma ccdfX_unborn_1: "ccdf (distr 𝔐 borel X) x = 1" if "x ≤ 0"
proof (rule antisym)
  show "ccdf (distr 𝔐 borel X) x ≤ 1" using MM_PS.ccdf_distr_P by simp
  show "ccdf (distr 𝔐 borel X) x ≥ 1"
  proof -
    have "ccdf (distr 𝔐 borel X) x ≥ ccdf (distr 𝔐 borel X) 0"
      using finite_borel_measure.ccdf_nonincreasing distrX_RD.finite_borel_measure_M that by simp
    also have "ccdf (distr 𝔐 borel X) 0 = 1" using ccdfX_0_1 that by simp
    finally show ?thesis .
  qed
qed

definition death_pt :: ereal (‹$ψ›)
  where "$ψ ≡ Inf (ereal ` {x ∈ ℝ. ccdf (distr 𝔐 borel X) x = 0})"
    ― ‹This is my original notation,
        which is used to develop life insurance mathematics rigorously.›

lemma psi_nonneg: "$ψ ≥ 0"
  unfolding death_pt_def
proof (rule Inf_greatest)
  fix x'::ereal
  assume "x' ∈ ereal ` {x ∈ ℝ. ccdf (distr 𝔐 borel X) x = 0}"
  then obtain x::real where "x' = ereal x" and "ccdf (distr 𝔐 borel X) x = 0" by blast
  hence "ccdf (distr 𝔐 borel X) 0 > ccdf (distr 𝔐 borel X) x" using ccdfX_0_1 X_pos_AE by simp
  hence "x ≥ 0"
    using mono_invE finite_borel_measure.ccdf_nonincreasing distrX_RD.finite_borel_measure_M X_RV
    by (smt(verit))
  thus "x' ≥ 0" using ‹x' = ereal x› by simp
qed

lemma ccdfX_beyond_0: "ccdf (distr 𝔐 borel X) x = 0" if "x > $ψ" for x::real
proof -
  have "ereal ` {y ∈ ℝ. ccdf (distr 𝔐 borel X) y = 0} ≠ {}" using death_pt_def that by force
  hence "∃y'∈(ereal ` {y ∈ ℝ. ccdf (distr 𝔐 borel X) y = 0}). y' < ereal x"
    using that unfolding death_pt_def by (rule cInf_lessD)
  then obtain "y'"
    where "y' ∈ (ereal ` {y ∈ ℝ. ccdf (distr 𝔐 borel X) y = 0})" and "y' < ereal x" by blast
  then obtain y::real
    where "y' = ereal y" and "ccdf (distr 𝔐 borel X) y = 0" and "ereal y < ereal x" by blast
  hence "ccdf (distr 𝔐 borel X) y = 0" and "y < x" by simp_all
  hence "ccdf (distr 𝔐 borel X) x ≤ 0"
    using finite_borel_measure.ccdf_nonincreasing distrX_RD.finite_borel_measure_M X_RV
    by (metis order_less_le)
  thus ?thesis using finite_borel_measure.ccdf_nonneg distrX_RD.finite_borel_measure_M X_RV by smt
qed

lemma ccdfX_psi_0: "ccdf (distr 𝔐 borel X) (real_of_ereal $ψ) = 0" if "$ψ < ∞"
proof -
  have "¦$ψ¦ ≠ ∞" using that psi_nonneg by simp
  then obtain u::real where "$ψ = ereal u" using ereal_real' by blast
  hence "real_of_ereal $ψ = u" by simp
  moreover have "ccdf (distr 𝔐 borel X) u = 0"
  proof -
    have "⋀x::real. x ≠ u ⟹ x ∈ {u<..} ⟹ ccdf (distr 𝔐 borel X) x = 0"
      by (rule ccdfX_beyond_0, simp add: ‹$ψ = ereal u›)
    hence "(ccdf (distr 𝔐 borel X) ⤏ 0) (at_right u)"
      apply -
      by (rule iffD2[OF Lim_cong_within[where ?g="(λx.0)"]], simp_all+)
    moreover have "(ccdf (distr 𝔐 borel X) ⤏ ccdf (distr 𝔐 borel X) u) (at_right u)"
      using finite_borel_measure.ccdf_is_right_cont distrX_RD.finite_borel_measure_M
        continuous_within X_RV by blast
    ultimately show ?thesis using tendsto_unique trivial_limit_at_right_real by blast
  qed
  ultimately show ?thesis by simp
qed

lemma ccdfX_0_equiv: "ccdf (distr 𝔐 borel X) x = 0 ⟷ x ≥ $ψ" for x::real
proof
  assume "ccdf (distr 𝔐 borel X) x = 0"
  thus "ereal x ≥ $ψ" unfolding death_pt_def by (simp add: INF_lower)
next
  assume "$ψ ≤ ereal x"
  hence "$ψ = ereal x ∨ $ψ < ereal x" unfolding less_eq_ereal_def by auto
  thus "ccdf (distr 𝔐 borel X) x = 0"
  proof
    assume ⋆: "$ψ = ereal x"
    hence "$ψ < ∞" by simp
    moreover have "real_of_ereal $ψ = x" using ⋆ by simp
    ultimately show "ccdf (distr 𝔐 borel X) x = 0" using ccdfX_psi_0 by simp
  next
    assume "$ψ < ereal x"
    thus "ccdf (distr 𝔐 borel X) x = 0" by (rule ccdfX_beyond_0)
  qed
qed

lemma psi_pos[simp]: "$ψ > 0"
proof (rule not_le_imp_less, rule notI)
  show "$ψ ≤ (0::ereal) ⟹ False"
  proof -
    assume "$ψ ≤ (0::ereal)"
    hence "ccdf (distr 𝔐 borel X) 0 = 0" using ccdfX_0_equiv by (simp add: zero_ereal_def)
    moreover have "ccdf (distr 𝔐 borel X) 0 = 1" using ccdfX_0_1 by simp
    ultimately show "False" by simp
  qed
qed

corollary psi_pos'[simp]: "$ψ > ereal 0"
  using psi_pos zero_ereal_def by presburger

subsubsection ‹Introdution of Future-Lifetime Random Variable ‹T(x)››

definition alive :: "real ⇒ 'a set"
  where "alive x ≡ {ξ ∈ space 𝔐. X ξ > x}"

lemma alive_event[simp]: "alive x ∈ MM_PS.events" for x::real
  unfolding alive_def by simp

lemma X_alivex_measurable[measurable, simp]: "X ∈ borel_measurable (𝔐 ⇂ alive x)" for x::real
  unfolding cond_prob_space_def by (measurable; simp add: measurable_restrict_space1)

definition futr_life :: "real ⇒ ('a ⇒ real)" (‹T›)
  where "T x ≡ (λξ. X ξ - x)"
    ― ‹Note that ‹T(x) : space 𝔐 → ℝ› represents the time until death of a person aged ‹x›.›

lemma T0_eq_X[simp]: "T 0 = X"
  unfolding futr_life_def by simp

lemma Tx_measurable[measurable, simp]: "T x ∈ borel_measurable 𝔐" for x::real
  unfolding futr_life_def by (simp add: borel_measurable_diff)

lemma Tx_alivex_measurable[measurable, simp]: "T x ∈ borel_measurable (𝔐 ⇂ alive x)" for x::real
  unfolding futr_life_def by (simp add: borel_measurable_diff)

lemma alive_T: "alive x = {ξ ∈ space 𝔐. T x ξ > 0}" for x::real
  unfolding alive_def futr_life_def by force

lemma alivex_Tx_pos[simp]: "0 < T x ξ" if "ξ ∈ space (𝔐 ⇂ alive x)" for x::real
  using MM_PS.space_cond_prob_space alive_T that by simp

lemma PT0_eq_PX_lborel: "𝒫(ξ in 𝔐. T 0 ξ ∈ A ¦ T 0 ξ > 0) = 𝒫(ξ in 𝔐. X ξ ∈ A)"
  if "A ∈ sets lborel" for A :: "real set"
  apply (rewrite MM_PS.cond_prob_AE_prob, simp_all)
  using that X_RV measurable_lborel1 predE pred_sets2 by blast

subsubsection ‹Actuarial Notations on the Survival Model›

definition survive :: "real ⇒ real ⇒ real" (‹$p'_{_&_}› [0,0] 200)
  where "$p_{t&x} ≡ ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t"
    ― ‹the probability that a person aged ‹x› will survive for ‹t› years›
    ― ‹Note that the function ‹$p_{⋅&x}› is the survival function
        on ‹(𝔐 ⇂ alive x)› for the random variable ‹T(x)›.›
    ― ‹The parameter ‹t› is usually nonnegative, but theoretically it can be negative.›

abbreviation survive_1 :: "real ⇒ real" (‹$p'__› [101] 200)
  where "$p_x ≡ $p_{1&x}"

definition die :: "real ⇒ real ⇒ real" (‹$q'_{_&_}› [0,0] 200)
  where "$q_{t&x} ≡ cdf (distr (𝔐 ⇂ alive x) borel (T x)) t"
    ― ‹the probability that a person aged ‹x› will die within ‹t› years›
    ― ‹Note that the function ‹$q_{⋅&x}› is the cumulative distributive function
        on ‹(𝔐 ⇂ alive x)› for the random variable ‹T(x)›.›
    ― ‹The parameter ‹t› is usually nonnegative, but theoretically it can be negative.›

abbreviation die_1 :: "real ⇒ real" (‹$q'__› [101] 200)
  where "$q_x ≡ $q_{1&x}"

definition die_defer :: "real ⇒ real ⇒ real ⇒ real" (‹$q'_{_¦_&_}› [0,0,0] 200)
  where "$q_{f¦t&x} = ¦$q_{f+t&x} - $q_{f&x}¦"
    ― ‹the probability that a person aged ‹x› will die within ‹t› years, deferred ‹f› years›
    ― ‹The parameters ‹f› and ‹t› are usually nonnegative, but theoretically they can be negative.›

abbreviation die_defer_1 :: "real ⇒ real ⇒ real" (‹$q'_{_¦&_}› [0,0] 200)
  where "$q_{f¦&x} ≡ $q_{f¦1&x}"

definition life_expect :: "real ⇒ real" (‹$e`∘'__› [101] 200)
  where "$e`∘_x ≡ integral⇧L (𝔐 ⇂ alive x) (T x)"
    ― ‹complete life expectation›
    ― ‹Note that ‹$e`∘_x› is calculated as ‹0› when ‹nn_integral (𝔐 ⇂ alve x) (T x) = ∞›.›

definition temp_life_expect :: "real ⇒ real ⇒real" (‹$e`∘'_{_:_}› [0,0] 200)
  where "$e`∘_{x:n} ≡ integral⇧L (𝔐 ⇂ alive x) (λξ. min (T x ξ) n)"
    ― ‹temporary complete life expectation›

definition curt_life_expect :: "real ⇒ real" (‹$e'__› [101] 200)
  where "$e_x ≡ integral⇧L (𝔐 ⇂ alive x) (λξ. ⌊T x ξ⌋)"
    ― ‹curtate life expectation›
    ― ‹Note that ‹$e_x› is calculated as ‹0› when ‹nn_integral (𝔐 ⇂ alive x) ⌊T x⌋ = ∞›.›

definition temp_curt_life_expect :: "real ⇒ real ⇒ real" (‹$e'_{_:_}› [0,0] 200)
  where "$e_{x:n} ≡ integral⇧L (𝔐 ⇂ alive x) (λξ. ⌊min (T x ξ) n⌋)"
    ― ‹temporary curtate life expectation›
    ― ‹In the definition ‹n› can be a real number, but in practice ‹n› is usually a natural number.›

subsubsection ‹Properties of Survival Function for ‹T(x)››

context
  fixes x::real
  assumes x_lt_psi[simp]: "x < $ψ"
begin

lemma PXx_pos[simp]: "𝒫(ξ in 𝔐. X ξ > x) > 0"
proof -
  have "𝒫(ξ in 𝔐. X ξ > x) = ccdf (distr 𝔐 borel X) x"
    unfolding alive_def using MM_PS.ccdf_distr_P by simp
  also have "… > 0"
    using ccdfX_0_equiv distrX_RD.ccdf_nonneg x_lt_psi by (smt (verit) linorder_not_le)
  finally show ?thesis .
qed

lemma PTx_pos[simp]: "𝒫(ξ in 𝔐. T x ξ > 0) > 0"
  apply (rewrite alive_T[THEN sym])
  unfolding alive_def by simp

interpretation alivex_PS: prob_space "𝔐 ⇂ alive x"
  by (rule MM_PS.cond_prob_space_correct, simp_all add: alive_def)

interpretation distrTx_RD: real_distribution "distr (𝔐 ⇂ alive x) borel (T x)" by simp

lemma ccdfTx_cond_prob:
  "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 𝒫(ξ in 𝔐. T x ξ > t ¦ T x ξ > 0)" for t::real
  apply (rewrite alivex_PS.ccdf_distr_P, simp)
  unfolding alive_def
  apply (rewrite MM_PS.cond_prob_space_cond_prob[THEN sym], simp_all add: pred_def)
  unfolding futr_life_def by simp

lemma ccdfTx_0_1: "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) 0 = 1"
  apply (rewrite ccdfTx_cond_prob)
  unfolding futr_life_def cond_prob_def
  by (smt (verit, best) Collect_cong PXx_pos divide_eq_1_iff)

lemma ccdfTx_nonpos_1: "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 1" if "t ≤ 0" for t :: real
  using antisym ccdfTx_0_1 that
  by (metis distrTx_RD.ccdf_bounded_prob distrTx_RD.ccdf_nonincreasing)

lemma ccdfTx_0_equiv: "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 0 ⟷ x+t ≥ $ψ" for t::real
proof -
  have "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t =
    𝒫(ξ in 𝔐. X ξ > x+t ∧ X ξ > x) / 𝒫(ξ in 𝔐. X ξ > x)"
    apply (rewrite ccdfTx_cond_prob)
    unfolding cond_prob_def futr_life_def by (smt (verit) Collect_cong)
  hence "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 0 ⟷
    𝒫(ξ in 𝔐. X ξ > x+t ∧ X ξ > x) / 𝒫(ξ in 𝔐. X ξ > x) = 0"
    by simp
  also have "… ⟷ 𝒫(ξ in 𝔐. X ξ > x+t ∧ X ξ > x) = 0"
    using x_lt_psi PXx_pos by (smt (verit) divide_eq_0_iff)
  also have "… ⟷ x+t ≥ $ψ"
    using ccdfX_0_equiv MM_PS.ccdf_distr_P
    by (smt (verit) Collect_cong X_RV le_ereal_le linorder_not_le x_lt_psi)
  finally show ?thesis .
qed

lemma ccdfTx_continuous_on_nonpos[simp]:
  "continuous_on {..0} (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
  by (metis atMost_iff ccdfTx_nonpos_1 continuous_on_cong continuous_on_const)

lemma ccdfTx_differentiable_on_nonpos[simp]:
  "(ccdf (distr (𝔐 ⇂ alive x) borel (T x))) differentiable_on {..0}"
  by (rewrite differentiable_on_cong[where f="λ_. 1"]; simp add: ccdfTx_nonpos_1)

lemma ccdfTx_has_real_derivative_0_at_neg:
  "(ccdf (distr (𝔐 ⇂ alive x) borel (T x)) has_real_derivative 0) (at t)" if "t < 0" for t::real
  apply (rewrite has_real_derivative_iff_has_vector_derivative)
  apply (rule has_vector_derivative_transform_within_open[of "λ_. 1" _ _ "{..<0}"])
  using ccdfTx_nonpos_1 that by simp_all

lemma ccdfTx_integrable_Icc:
  "set_integrable lborel {a..b} (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))" for a b :: real
proof -
  have "(∫⇧+t. ennreal (indicat_real {a..b} t * ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t) ∂lborel)
    < ⊤"
  proof -
    have "(∫⇧+t. ennreal (indicat_real {a..b} t * ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t) ∂lborel)
      ≤ (∫⇧+t. ennreal (indicat_real {a..b} t) ∂lborel)"
      apply (rule nn_integral_mono)
      using distrTx_RD.ccdf_bounded
      by (simp add: distrTx_RD.ccdf_bounded_prob indicator_times_eq_if(1))
    also have "… = nn_integral lborel (indicator {a..b})" by (meson ennreal_indicator)
    also have "… = emeasure lborel {a..b}" by (rewrite nn_integral_indicator; simp)
    also have "… < ⊤"
      using emeasure_lborel_Icc_eq ennreal_less_top infinity_ennreal_def by presburger
    finally show ?thesis .
  qed
  thus ?thesis
    unfolding set_integrable_def
    apply (intro integrableI_nonneg, simp_all)
    using distrTx_RD.ccdf_nonneg by (intro always_eventually) auto
qed

corollary ccdfTx_integrable_on_Icc:
  "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) integrable_on {a..b}" for a b :: real
  using set_borel_integral_eq_integral ccdfTx_integrable_Icc by force

lemma ccdfTx_PX:
  "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 𝒫(ξ in 𝔐. X ξ > x+t) / 𝒫(ξ in 𝔐. X ξ > x)"
  if "t ≥ 0" for t::real
  apply (rewrite ccdfTx_cond_prob)
  unfolding cond_prob_def futr_life_def PXx_pos by (smt (verit) Collect_cong that)

lemma ccdfTx_ccdfX: "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t =
  ccdf (distr 𝔐 borel X) (x + t) / ccdf (distr 𝔐 borel X) x"
  if "t ≥ 0" for t::real
  using ccdfTx_PX that MM_PS.ccdf_distr_P X_RV by presburger

lemma ccdfT0_eq_ccdfX: "ccdf (distr (𝔐 ⇂ alive 0) borel (T 0)) = ccdf (distr 𝔐 borel X)"
proof
  fix x
  show "ccdf (distr (𝔐 ⇂ alive 0) borel (T 0)) x = ccdf (distr 𝔐 borel X) x"
  proof (cases ‹x ≥ 0›)
    case True
    thus ?thesis
      using survival_model.ccdfTx_ccdfX[where x=0] ccdfX_0_1 survival_model_axioms by fastforce
  next
    case False
    hence "x ≤ 0" by simp
    thus ?thesis
      apply (rewrite ccdfX_unborn_1, simp)
      by (rewrite survival_model.ccdfTx_nonpos_1; simp add: survival_model_axioms)
  qed
qed

lemma continuous_ccdfX_ccdfTx:
  "continuous (at (x+t) within {x..}) (ccdf (distr 𝔐 borel X)) ⟷ 
    continuous (at t within {0..}) (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
  if "t ≥ 0" for t::real
proof -
  let ?srvl = "ccdf (distr 𝔐 borel X)"
  have [simp]: "𝒫(ξ in 𝔐. X ξ > x) ≠ 0" using PXx_pos by force
  have ⋆: "⋀u. u ≥ 0 ⟹ ccdf (distr (𝔐 ⇂ alive x) borel (T x)) u =
    ?srvl (x + u) / 𝒫(ξ in 𝔐. X ξ > x)"
    using survive_def MM_PS.ccdf_distr_P ccdfTx_PX that by simp
  have "continuous (at t within {0..}) (ccdf (distr (𝔐 ⇂ alive x) borel (T x))) ⟷
    continuous (at t within {0..}) (λu. ?srvl (x+u) / 𝒫(ξ in 𝔐. x < X ξ))"
  proof -
    have "∀⇩F u in at t within {0..}. ccdf (distr (𝔐 ⇂ alive x) borel (T x)) u =
    ?srvl (x+u) / 𝒫(ξ in 𝔐. X ξ > x)"
      using ⋆ by (rewrite eventually_at_topological, simp_all) blast
    thus ?thesis
      by (intro continuous_at_within_cong, simp_all add: ⋆ that)
  qed
  also have "… ⟷ continuous (at t within {0..}) (λu. ?srvl (x+u))"
    by (rewrite at "_ = ⌑" continuous_cdivide_iff[of "𝒫(ξ in 𝔐. X ξ > x)"], simp_all)
  also have "… ⟷ continuous (at (x+t) within {x..}) ?srvl"
  proof
    let ?subx = "λv. v-x"
    assume LHS: "continuous (at t within {0..}) (λu. ?srvl (x+u))"
    hence "continuous (at (?subx (x+t)) within ?subx ` {x..}) (λu. ?srvl (x+u))"
    proof -
      have "?subx ` {x..} = {0..}"
        by (metis (no_types, lifting) add.commute add_uminus_conv_diff diff_self
            image_add_atLeast image_cong)
      thus ?thesis using LHS by simp
    qed
    moreover have "continuous (at (x+t) within {x..}) ?subx" by (simp add: continuous_diff)
    ultimately have "continuous (at (x+t) within {x..}) (λu. ?srvl (x + (?subx u)))"
      using continuous_within_compose2 by force
    thus "continuous (at (x+t) within {x..}) ?srvl" by simp
  next
    assume RHS: "continuous (at (x+t) within {x..}) ?srvl"
    hence "continuous (at ((plus x) t) within (plus x) ` {0..}) ?srvl" by simp
    moreover have "continuous (at t within {0..}) (plus x)" by (simp add: continuous_add)
    ultimately show "continuous (at t within {0..}) (λu. ?srvl (x+u))"
      using continuous_within_compose2 by force
  qed
  finally show ?thesis by simp
qed

lemma isCont_ccdfX_ccdfTx:
  "isCont (ccdf (distr 𝔐 borel X)) (x+t) ⟷
    isCont (ccdf (distr (𝔐 ⇂ alive x) borel (T x))) t"
  if "t > 0" for t::real
proof -
  have "isCont (ccdf (distr 𝔐 borel X)) (x+t) ⟷
    continuous (at (x+t) within {x<..}) (ccdf (distr 𝔐 borel X))"
    by (smt (verit) at_within_open greaterThan_iff open_greaterThan that)
  also have "… ⟷ continuous (at (x+t) within {x..}) (ccdf (distr 𝔐 borel X))"
    by (meson Ioi_le_Ico calculation continuous_within_subset top_greatest)
  also have "… ⟷ continuous (at t within {0..}) (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
    using that continuous_ccdfX_ccdfTx by force
  also have "… ⟷ continuous (at t within {0<..}) (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
    by (metis Ioi_le_Ico at_within_open continuous_at_imp_continuous_at_within
        continuous_within_subset greaterThan_iff open_greaterThan that)
  also have "… ⟷ isCont (ccdf (distr (𝔐 ⇂ alive x) borel (T x))) t"
    by (metis at_within_open greaterThan_iff open_greaterThan that)
  finally show ?thesis .
qed

lemma has_real_derivative_ccdfX_ccdfTx:
  "((ccdf (distr 𝔐 borel X)) has_real_derivative D) (at (x+t)) ⟷
  ((ccdf (distr (𝔐 ⇂ alive x) borel (T x))) has_real_derivative (D / 𝒫(ξ in 𝔐. X ξ > x))) (at t)"
  if "t > 0" for t D :: real
proof -
  have "((ccdf (distr (𝔐 ⇂ alive x) borel (T x))) has_real_derivative
    (D / 𝒫(ξ in 𝔐. X ξ > x))) (at t) ⟷
    ((λt. (ccdf (distr 𝔐 borel X)) (x+t) / 𝒫(ξ in 𝔐. X ξ > x)) has_real_derivative
    (D / 𝒫(ξ in 𝔐. X ξ > x))) (at t)"
  proof -
    let ?d = "t/2"
    { fix u::real assume "dist u t < ?d"
      hence "u > 0" by (smt (verit) dist_real_def dist_triangle_half_r)
      hence "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) u =
        ccdf (distr 𝔐 borel X) (x + u) / MM_PS.prob {ξ::'a ∈ space 𝔐. x < X ξ}"
        using survive_def MM_PS.ccdf_distr_P ccdfTx_PX that by simp }
    moreover have "?d > 0" using that by simp
    ultimately show ?thesis
      apply -
      apply (rule DERIV_cong_ev, simp)
       apply (rewrite eventually_nhds_metric, blast)
      by simp
  qed
  also have "… ⟷ ((λt. (ccdf (distr 𝔐 borel X)) (x+t)) has_real_derivative D) (at t)"
    using PXx_pos by (rewrite DERIV_cdivide_iff[of "𝒫(ξ in 𝔐. X ξ > x)", THEN sym]; force)
  also have "… ⟷ (ccdf (distr 𝔐 borel X) has_real_derivative D) (at (x+t))"
    by (simp add: DERIV_shift add.commute)
  finally show ?thesis by simp
qed

lemma differentiable_ccdfX_ccdfTx:
  "(ccdf (distr 𝔐 borel X)) differentiable at (x+t) ⟷
  (ccdf (distr (𝔐 ⇂ alive x) borel (T x))) differentiable at t"
  if "t > 0" for t::real
  apply (rewrite differentiable_eq_field_differentiable_real)+
  unfolding field_differentiable_def using has_real_derivative_ccdfX_ccdfTx that
  by (smt (verit, del_insts) PXx_pos nonzero_mult_div_cancel_left)

subsubsection ‹Properties of ‹$p_{t&x}››

lemma p_0_1: "$p_{0&x} = 1"
  unfolding survive_def using ccdfTx_0_1 by simp

lemma p_nonneg[simp]: "$p_{t&x} ≥ 0" for t::real
  unfolding survive_def using distrTx_RD.ccdf_nonneg by simp

lemma p_le_1[simp]: "$p_{t&x} ≤ 1" for t::real
  unfolding survive_def using distrTx_RD.ccdf_bounded_prob by auto

lemma p_0_equiv: "$p_{t&x} = 0 ⟷ x+t ≥ $ψ" for t::real
  unfolding survive_def by (rule ccdfTx_0_equiv)

lemma p_PTx: "$p_{t&x} = 𝒫(ξ in 𝔐. T x ξ > t ¦ T x ξ > 0)" for t::real
  unfolding survive_def using ccdfTx_cond_prob by simp

lemma p_PX: "$p_{t&x} = 𝒫(ξ in 𝔐. X ξ > x + t) / 𝒫(ξ in 𝔐. X ξ > x)" if "t ≥ 0" for t::real
  unfolding survive_def using ccdfTx_PX that by simp

lemma p_mult: "$p_{t+t' & x} = $p_{t&x} * $p_{t' & x+t}"
  if "t ≥ 0" "t' ≥ 0" "x+t < $ψ" for t t' :: real
proof -
  have "$p_{t+t' & x} = 𝒫(ξ in 𝔐. X ξ > x+t+t') / 𝒫(ξ in 𝔐. X ξ > x)"
    apply (rewrite p_PX; (simp add: that)?)
    by (rule disjI2, smt (verit, best) Collect_cong)
  also have "… = (𝒫(ξ in 𝔐. X ξ > x+t+t') / 𝒫(ξ in 𝔐. X ξ > x+t)) *
    (𝒫(ξ in 𝔐. X ξ > x+t) / 𝒫(ξ in 𝔐. X ξ > x))"
    using that survival_model.PXx_pos survival_model_axioms by fastforce
  also have "… = $p_{t&x} * $p_{t' & x+t}"
    apply (rewrite p_PX, simp add: that)
    by (rewrite survival_model.p_PX, simp_all add: that survival_model_axioms)
  finally show ?thesis .
qed

lemma p_PTx_ge_ccdf_isCont: "$p_{t&x} = 𝒫(ξ in 𝔐. T x ξ ≥ t ¦ T x ξ > 0)"
  if "isCont (ccdf (distr 𝔐 borel X)) (x+t)" "t > 0" for t::real
  unfolding survive_def using that isCont_ccdfX_ccdfTx
  apply (rewrite alivex_PS.ccdf_continuous_distr_P_ge, simp_all)
  by (rewrite MM_PS.cond_prob_space_cond_prob, simp_all add: alive_T)

end

subsubsection ‹Properties of Survival Function for ‹X››

lemma ccdfX_continuous_unborn[simp]: "continuous_on {..0} (ccdf (distr 𝔐 borel X))"
  using ccdfTx_continuous_on_nonpos by (metis ccdfT0_eq_ccdfX psi_pos')

lemma ccdfX_differentiable_unborn[simp]: "(ccdf (distr 𝔐 borel X)) differentiable_on {..0}"
  using ccdfTx_differentiable_on_nonpos by (metis ccdfT0_eq_ccdfX psi_pos')

lemma ccdfX_has_real_derivative_0_unborn:
  "(ccdf (distr 𝔐 borel X) has_real_derivative 0) (at x)" if "x < 0" for x::real
  using ccdfTx_has_real_derivative_0_at_neg by (metis ccdfT0_eq_ccdfX psi_pos' that)

lemma ccdfX_integrable_Icc:
  "set_integrable lborel {a..b} (ccdf (distr 𝔐 borel X))" for a b :: real
  using ccdfTx_integrable_Icc by (metis ccdfT0_eq_ccdfX psi_pos')

corollary ccdfX_integrable_on_Icc:
  "ccdf (distr 𝔐 borel X) integrable_on {a..b}" for a b :: real
  using set_borel_integral_eq_integral ccdfX_integrable_Icc by force

lemma ccdfX_p: "ccdf (distr 𝔐 borel X) x = $p_{x&0}" for x::real
  by (metis ccdfT0_eq_ccdfX survive_def psi_pos')

subsubsection ‹Introduction of Cumulative Distributive Function for ‹X››

lemma cdfX_0_0: "cdf (distr 𝔐 borel X) 0 = 0"
  using ccdfX_0_1 distrX_RD.ccdf_cdf distrX_RD.prob_space by fastforce

lemma cdfX_unborn_0: "cdf (distr 𝔐 borel X) x = 0" if "x ≤ 0"
  using ccdfX_unborn_1 cdfX_0_0 distrX_RD.cdf_ccdf that by fastforce

lemma cdfX_beyond_1: "cdf (distr 𝔐 borel X) x = 1" if "x > $ψ" for x::real
  using ccdfX_beyond_0 distrX_RD.cdf_ccdf that distrX_RD.prob_space by force

lemma cdfX_psi_1: "cdf (distr 𝔐 borel X) (real_of_ereal $ψ) = 1" if "$ψ < ∞"
  using ccdfX_psi_0 distrX_RD.cdf_ccdf distrX_RD.prob_space that by fastforce

lemma cdfX_1_equiv: "cdf (distr 𝔐 borel X) x = 1 ⟷ x ≥ $ψ" for x::real
  using ccdfX_0_equiv distrX_RD.cdf_ccdf distrX_RD.prob_space by force

subsubsection ‹Properties of Cumulative Distributive Function for ‹T(x)››

context
  fixes x::real
  assumes x_lt_psi[simp]: "x < $ψ"
begin

interpretation alivex_PS: prob_space "𝔐 ⇂ alive x"
  by (rule MM_PS.cond_prob_space_correct, simp_all add: alive_def)

interpretation distrTx_RD: real_distribution "distr (𝔐 ⇂ alive x) borel (T x)" by simp

lemma cdfTx_cond_prob:
  "cdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 𝒫(ξ in 𝔐. T x ξ ≤ t ¦ T x ξ > 0)" for t::real
  apply (rewrite distrTx_RD.cdf_ccdf, rewrite distrTx_RD.prob_space)
  apply (rewrite ccdfTx_cond_prob, simp)
  by (rewrite not_less[THEN sym], rewrite MM_PS.cond_prob_neg; simp)

lemma cdfTx_0_0: "cdf (distr (𝔐 ⇂ alive x) borel (T x)) 0 = 0"
  using ccdfTx_0_1 distrTx_RD.cdf_ccdf distrTx_RD.prob_space by force

lemma cdfTx_nonpos_0: "cdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 0" if "t ≤ 0" for t :: real
  using ccdfTx_nonpos_1 distrTx_RD.cdf_ccdf distrTx_RD.prob_space that by force

lemma cdfTx_1_equiv: "cdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 1 ⟷ x+t ≥ $ψ" for t::real
  using ccdfTx_0_equiv distrTx_RD.cdf_ccdf distrTx_RD.prob_space by force

lemma cdfTx_continuous_on_nonpos[simp]:
  "continuous_on {..0} (cdf (distr (𝔐 ⇂ alive x) borel (T x)))"
  by (rewrite continuous_on_cong[where g="λt. 0"]) (simp_all add: cdfTx_nonpos_0)+

lemma cdfTx_differentiable_on_nonpos[simp]:
  "(cdf (distr (𝔐 ⇂ alive x) borel (T x))) differentiable_on {..0}"
  by (rewrite differentiable_on_cong[where f="λt. 0"]; simp add: cdfTx_nonpos_0)

lemma cdfTx_has_real_derivative_0_at_neg:
  "(cdf (distr (𝔐 ⇂ alive x) borel (T x)) has_real_derivative 0) (at t)" if "t < 0" for t::real
  apply (rewrite has_real_derivative_iff_has_vector_derivative)
  apply (rule has_vector_derivative_transform_within_open[of "λ_. 0" _ _ "{..<0}"])
  using cdfTx_nonpos_0 that by simp_all

lemma cdfTx_integrable_Icc:
  "set_integrable lborel {a..b} (cdf (distr (𝔐 ⇂ alive x) borel (T x)))" for a b :: real
proof -
  have "set_integrable lborel {a..b} (λ_. 1::real)"
    unfolding set_integrable_def
    using emeasure_compact_finite by (simp, intro integrable_real_indicator; force)
  thus ?thesis
    apply (rewrite distrTx_RD.cdf_ccdf, rewrite distrTx_RD.prob_space)
    using ccdfTx_integrable_Icc by (rewrite set_integral_diff; simp)
qed

corollary cdfTx_integrable_on_Icc:
  "cdf (distr (𝔐 ⇂ alive x) borel (T x)) integrable_on {a..b}" for a b :: real
  using cdfTx_integrable_Icc set_borel_integral_eq_integral by force

lemma cdfTx_PX:
  "cdf (distr (𝔐 ⇂ alive x) borel (T x)) t = 𝒫(ξ in 𝔐. x < X ξ ∧ X ξ ≤ x+t) / 𝒫(ξ in 𝔐. X ξ > x)"
  for t::real
  apply (rewrite cdfTx_cond_prob)
  unfolding cond_prob_def futr_life_def PXx_pos by (smt (verit) Collect_cong)

lemma cdfT0_eq_cdfX: "cdf (distr (𝔐 ⇂ alive 0) borel (T 0)) = cdf (distr 𝔐 borel X)"
proof
  interpret alive0_PS: prob_space "𝔐 ⇂ alive 0"
    apply (rule MM_PS.cond_prob_space_correct, simp)
    using PXx_pos alive_def psi_pos' by presburger
  interpret distrT0_RD: real_distribution "distr (𝔐 ⇂ alive 0) borel (T 0)" by simp
  show "⋀x. cdf (distr (𝔐 ⇂ alive 0) borel (T 0)) x = cdf (distr 𝔐 borel X) x"
    using ccdfT0_eq_ccdfX distrX_RD.ccdf_cdf distrT0_RD.ccdf_cdf
    by (smt (verit, best) distrT0_RD.prob_space distrX_RD.prob_space psi_pos')
qed

lemma continuous_cdfX_cdfTx:
  "continuous (at (x+t) within {x..}) (cdf (distr 𝔐 borel X)) ⟷
    continuous (at t within {0..}) (cdf (distr (𝔐 ⇂ alive x) borel (T x)))"
  if "t ≥ 0" for t::real
proof -
  have "continuous (at (x+t) within {x..}) (cdf (distr 𝔐 borel X)) ⟷
    continuous (at (x+t) within {x..}) (ccdf (distr 𝔐 borel X))"
    by (rule distrX_RD.continuous_cdf_ccdf)
  also have "… ⟷ continuous (at t within {0..}) (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
    using continuous_ccdfX_ccdfTx that by simp
  also have "… ⟷ continuous (at t within {0..}) (cdf (distr (𝔐 ⇂ alive x) borel (T x)))"
    using distrTx_RD.continuous_cdf_ccdf by simp
  finally show ?thesis .
qed

lemma isCont_cdfX_cdfTx:
  "isCont (cdf (distr 𝔐 borel X)) (x+t) ⟷
  isCont (cdf (distr (𝔐 ⇂ alive x) borel (T x))) t"
  if "t > 0" for t::real
  apply (rewrite distrX_RD.isCont_cdf_ccdf)
  apply (rewrite isCont_ccdfX_ccdfTx, simp_all add: that)
  by (rule distrTx_RD.isCont_cdf_ccdf[THEN sym])

lemma has_real_derivative_cdfX_cdfTx:
  "((cdf (distr 𝔐 borel X)) has_real_derivative D) (at (x+t)) ⟷
  ((cdf (distr (𝔐 ⇂ alive x) borel (T x))) has_real_derivative (D / 𝒫(ξ in 𝔐. X ξ > x))) (at t)"
  if "t > 0" for t D :: real
proof -
  have "((cdf (distr 𝔐 borel X)) has_real_derivative D) (at (x+t)) ⟷
    (ccdf (distr 𝔐 borel X) has_real_derivative -D) (at (x+t))"
    using distrX_RD.has_real_derivative_cdf_ccdf by force
  also have "… ⟷
    ((ccdf (distr (𝔐 ⇂ alive x) borel (T x))) has_real_derivative (-D / 𝒫(ξ in 𝔐. X ξ > x))) (at t)"
    using has_real_derivative_ccdfX_ccdfTx that by simp
  also have "… ⟷
    ((cdf (distr (𝔐 ⇂ alive x) borel (T x))) has_real_derivative (D / 𝒫(ξ in 𝔐. X ξ > x))) (at t)"
    by (simp add: distrTx_RD.has_real_derivative_cdf_ccdf)
  finally show ?thesis .
qed

lemma differentiable_cdfX_cdfTx:
  "(cdf (distr 𝔐 borel X)) differentiable at (x+t) ⟷
  (cdf (distr (𝔐 ⇂ alive x) borel (T x))) differentiable at t"
  if "t > 0" for t::real
  apply (rewrite differentiable_eq_field_differentiable_real)+
  unfolding field_differentiable_def using has_real_derivative_cdfX_cdfTx that
  by (meson differentiable_ccdfX_ccdfTx distrTx_RD.finite_borel_measure_axioms
      distrX_RD.finite_borel_measure_axioms finite_borel_measure.differentiable_cdf_ccdf
      real_differentiable_def x_lt_psi)

subsubsection ‹Properties of ‹$q_{t&x}››

lemma q_nonpos_0: "$q_{t&x} = 0" if "t ≤ 0" for t::real
  unfolding die_def using that cdfTx_nonpos_0 by simp

corollary q_0_0: "$q_{0&x} = 0"
  using q_nonpos_0 by simp

lemma q_nonneg[simp]: "$q_{t&x} ≥ 0" for t::real
  unfolding die_def using distrTx_RD.cdf_nonneg by simp

lemma q_le_1[simp]: "$q_{t&x} ≤ 1" for t::real
  unfolding die_def using distrTx_RD.cdf_bounded_prob by force

lemma q_1_equiv: "$q_{t&x} = 1 ⟷ x+t ≥ $ψ" for t::real
  unfolding die_def using cdfTx_1_equiv by simp

lemma q_PTx: "$q_{t&x} = 𝒫(ξ in 𝔐. T x ξ ≤ t ¦ T x ξ > 0)" for t::real
  unfolding die_def using cdfTx_cond_prob by simp

lemma q_PX: "$q_{t&x} = 𝒫(ξ in 𝔐. x < X ξ ∧ X ξ ≤ x + t) / 𝒫(ξ in 𝔐. X ξ > x)"
  unfolding die_def using cdfTx_PX by simp

lemma q_defer_0_q[simp]: "$q_{0¦t&x} = $q_{t&x}" for t::real
  unfolding die_defer_def using q_0_0 by simp

lemma q_defer_0_0: "$q_{f¦0&x} = 0" for f::real
  unfolding die_defer_def by simp

lemma q_defer_nonneg[simp]: "$q_{f¦t&x} ≥ 0" for f t :: real
  unfolding die_defer_def by simp

lemma q_defer_q: "$q_{f¦t&x} = $q_{f+t & x} - $q_{f&x}" if "t ≥ 0" for f t :: real
  unfolding die_defer_def die_def using distrTx_RD.cdf_nondecreasing that by simp

corollary q_defer_le_1[simp]: "$q_{f¦t&x} ≤ 1" if "t ≥ 0" for f t :: real
  by (smt (verit, ccfv_SIG) q_defer_q q_le_1 q_nonneg that)

lemma q_defer_PTx: "$q_{f¦t&x} = 𝒫(ξ in 𝔐. f < T x ξ ∧ T x ξ ≤ f + t ¦ T x ξ > 0)"
  if "t ≥ 0" for f t :: real
proof -
  have "$q_{f¦t&x} = $q_{f+t & x} - $q_{f&x}" using q_defer_q that by simp
  also have "… = 𝒫(ξ in 𝔐. T x ξ ≤ f + t ¦ T x ξ > 0) - 𝒫(ξ in 𝔐. T x ξ ≤ f ¦ T x ξ > 0)"
    using q_PTx by simp
  also have "… = 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≤ f + t) - 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≤ f)"
    using MM_PS.cond_prob_space_cond_prob alive_T by simp
  also have "… = 𝒫(ξ in (𝔐 ⇂ alive x). f < T x ξ ∧ T x ξ ≤ f + t)"
  proof -
    have "{ξ ∈ space (𝔐 ⇂ alive x). T x ξ ≤ f + t} - {ξ ∈ space (𝔐 ⇂ alive x). T x ξ ≤ f} =
      {ξ ∈ space (𝔐 ⇂ alive x). f < T x ξ ∧ T x ξ ≤ f + t}"
      using that by force
    hence "alivex_PS.prob
      ({ξ ∈ space (𝔐 ⇂ alive x). T x ξ ≤ f + t} - {ξ ∈ space (𝔐 ⇂ alive x). T x ξ ≤ f}) =
      𝒫(ξ in (𝔐 ⇂ alive x). f < T x ξ ∧ T x ξ ≤ f + t)"
      by simp
    moreover have "{ξ ∈ space (𝔐 ⇂ alive x). T x ξ ≤ f} ⊆ {ξ ∈ space (𝔐 ⇂ alive x). T x ξ ≤ f + t}"
      using that by force
    ultimately show ?thesis by (rewrite alivex_PS.finite_measure_Diff[THEN sym]; simp)
  qed
  also have "… = 𝒫(ξ in 𝔐. f < T x ξ ∧ T x ξ ≤ f + t ¦ T x ξ > 0)"
    using MM_PS.cond_prob_space_cond_prob alive_T by simp
  finally show ?thesis .
qed

lemma q_defer_PX: "$q_{f¦t&x} = 𝒫(ξ in 𝔐. x + f < X ξ ∧ X ξ ≤ x + f + t) / 𝒫(ξ in 𝔐. X ξ > x)"
  if "f ≥ 0" "t ≥ 0" for f t :: real
proof -
  have "$q_{f¦t&x} = 𝒫(ξ in 𝔐. f < T x ξ ∧ T x ξ ≤ f + t ∧ T x ξ > 0) / 𝒫(ξ in 𝔐. T x ξ > 0)"
    apply (rewrite q_defer_PTx; (simp add: that)?)
    unfolding cond_prob_def by simp
  also have "… = 𝒫(ξ in 𝔐. f < T x ξ ∧ T x ξ ≤ f + t) / 𝒫(ξ in 𝔐. T x ξ > 0)"
  proof -
    have "⋀ξ. ξ ∈ space 𝔐 ⟹ f < T x ξ ∧ T x ξ ≤ f + t ∧ T x ξ > 0 ⟷ f < T x ξ ∧ T x ξ ≤ f + t"
      using that by auto
    hence "{ξ ∈ space 𝔐. f < T x ξ ∧ T x ξ ≤ f + t ∧ T x ξ > 0} =
      {ξ ∈ space 𝔐. f < T x ξ ∧ T x ξ ≤ f + t}" by blast
    thus ?thesis by simp
  qed
  also have "… = 𝒫(ξ in 𝔐. x + f < X ξ ∧ X ξ ≤ x + f + t) / 𝒫(ξ in 𝔐. X ξ > x)"
    unfolding futr_life_def by (smt (verit) Collect_cong)
  finally show ?thesis .
qed

lemma q_defer_old_0: "$q_{f¦t&x} = 0" if "x+f ≥ $ψ" "t ≥ 0" for f t :: real
proof -
  have "$q_{f¦t&x} = $q_{f+t & x} - $q_{f&x}" using q_defer_q that by simp
  moreover have "$q_{f+t & x} = 1" using q_1_equiv that le_ereal_le by auto
  moreover have "$q_{f&x} = 1" using q_1_equiv that by simp
  ultimately show ?thesis by simp
qed

end

subsubsection ‹Properties of Cumulative Distributive Function for ‹X››

lemma cdfX_continuous_unborn[simp]: "continuous_on {..0} (cdf (distr 𝔐 borel X))"
  using cdfTx_continuous_on_nonpos by (metis cdfT0_eq_cdfX psi_pos')

lemma cdfX_differentiable_unborn[simp]: "(cdf (distr 𝔐 borel X)) differentiable_on {..0}"
  using cdfTx_differentiable_on_nonpos by (metis cdfT0_eq_cdfX psi_pos')

lemma cdfX_has_real_derivative_0_unborn:
  "(cdf (distr 𝔐 borel X) has_real_derivative 0) (at x)" if "x < 0" for x::real
  using cdfTx_has_real_derivative_0_at_neg by (metis cdfT0_eq_cdfX psi_pos' that)

lemma cdfX_integrable_Icc:
  "set_integrable lborel {a..b} (cdf (distr 𝔐 borel X))" for a b :: real
  using cdfTx_integrable_Icc by (metis cdfT0_eq_cdfX psi_pos')

corollary cdfX_integrable_on_Icc:
  "cdf (distr 𝔐 borel X) integrable_on {a..b}" for a b :: real
  using cdfX_integrable_Icc set_borel_integral_eq_integral by force

lemma cdfX_q: "cdf (distr 𝔐 borel X) x = $q_{x&0}" if "x ≥ 0" for x::real
  by (metis cdfT0_eq_cdfX die_def psi_pos')

subsubsection ‹Relations between ‹$p_{t&x}› and ‹$q_{t&x}››

context
  fixes x::real
  assumes x_lt_psi[simp]: "x < $ψ"
begin

interpretation alivex_PS: prob_space "𝔐 ⇂ alive x"
  by (rule MM_PS.cond_prob_space_correct, simp_all add: alive_def)

interpretation distrTx_RD: real_distribution "distr (𝔐 ⇂ alive x) borel (T x)" by simp

lemma p_q_1: "$p_{t&x} + $q_{t&x} = 1" for t::real
  unfolding survive_def die_def using distrTx_RD.add_cdf_ccdf
  by (smt (verit) distrTx_RD.prob_space x_lt_psi)

lemma q_defer_p: "$q_{f¦t&x} = $p_{f&x} - $p_{f+t & x}" if "t ≥ 0" for f t :: real
  using q_defer_q p_q_1 that x_lt_psi by smt

lemma q_defer_p_q_defer: "$p_{f&x} * $q_{f'¦t & x+f} = $q_{f+f'¦t & x}"
  if "x+f < $ψ" "f ≥ 0" "f' ≥ 0" "t ≥ 0" for f f' t :: real
proof -
  have "$p_{f&x} * $q_{f'¦t & x+f} =
    𝒫(ξ in 𝔐. X ξ > x+f) / 𝒫(ξ in 𝔐. X ξ > x) *
    𝒫(ξ in 𝔐. x+f+f' < X ξ ∧ X ξ ≤ x+f+f'+t) / 𝒫(ξ in 𝔐. X ξ > x+f)"
    apply (rewrite p_PX, (simp_all add: that)[2])
    by (rewrite survival_model.q_defer_PX, simp_all add: that survival_model_axioms)
  also have "… = 𝒫(ξ in 𝔐. x+f+f' < X ξ ∧ X ξ ≤ x+f+f'+t) / 𝒫(ξ in 𝔐. X ξ > x)"
    using survival_model.PXx_pos[of 𝔐 X "x+f"] nonzero_mult_div_cancel_left that
    by (smt (verit, ccfv_SIG) survival_model_axioms times_divide_eq_left times_divide_eq_right)
  also have "… = $q_{f+f'¦t & x}"
    by (rewrite q_defer_PX; simp add: that group_cancel.add1)
  finally show ?thesis .
qed

lemma q_defer_pq: "$q_{f¦t&x} = $p_{f&x} * $q_{t & x+f}"
  if "x+f < $ψ" "t ≥ 0" "f ≥ 0" for f t :: real
  using q_defer_p_q_defer[where f'=0] that
  by (simp add: survival_model.q_defer_0_q survival_model_axioms)

subsubsection ‹Properties of Life Expectation›

lemma e_nonneg: "$e`∘_x ≥ 0"
  unfolding life_expect_def
  by (rule Bochner_Integration.integral_nonneg, simp add: less_eq_real_def)

lemma e_P: "$e`∘_x =
  MM_PS.expectation (λξ. indicator (alive x) ξ * T x ξ) / 𝒫(ξ in 𝔐. T x ξ > 0)"
  unfolding life_expect_def
  by (rewrite MM_PS.integral_cond_prob_space_nn, auto simp add: alive_T)

proposition nn_integral_T_p:
  "(∫⇧+ξ. ennreal (T x ξ) ∂(𝔐 ⇂ alive x)) = (∫⇧+t∈{0..}. ennreal ($p_{t&x}) ∂lborel)"
  apply (rewrite alivex_PS.expectation_nonneg_tail, simp_all add: less_imp_le)
  apply (rule nn_integral_cong)
  unfolding survive_def using distrTx_RD.prob_space distrTx_RD.ccdf_cdf by presburger

lemma nn_integral_T_pos: "(∫⇧+ξ. ennreal (T x ξ) ∂(𝔐 ⇂ alive x)) > 0"
proof -
  let ?f = "λt. - ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t"
  have "⋀t u. t ≤ u ⟹ ?f t ≤ ?f u" using distrTx_RD.ccdf_nonincreasing by simp
  moreover have "continuous (at_right 0) ?f"
    using distrTx_RD.ccdf_is_right_cont by (intro continuous_intros)
  ultimately have "∀e>0. ∃d>0. ?f (0 + d) - ?f 0 < e"
    using continuous_at_right_real_increasing by simp
  hence "∃d>0. ?f (0 + d) - ?f 0 < 1/2" by (smt (verit, del_insts) field_sum_of_halves)
  from this obtain d where d_pos: "d > 0" and "$p_{d&x} ≥ 1/2"
    using p_0_1 unfolding survive_def by auto
  hence "⋀t. t∈{0..d} ⟹ $p_{t&x} ≥ 1/2"
    unfolding survive_def using distrTx_RD.ccdf_nonincreasing by force
  hence "(∫⇧+t∈{0..d}. ennreal ($p_{t&x}) ∂lborel) ≥ (∫⇧+t∈{0..d}. ennreal (1/2) ∂lborel)"
    apply (intro nn_set_integral_mono, simp_all)
    unfolding survive_def using Tx_alivex_measurable apply force
    by (rule AE_I2) (smt (verit) ennreal_half ennreal_leI half_bounded_equal)
  moreover have "(∫⇧+t∈{0..}. ennreal ($p_{t&x}) ∂lborel) ≥ (∫⇧+t∈{0..d}. ennreal ($p_{t&x}) ∂lborel)"
    by (rule nn_set_integral_set_mono) simp
  moreover have "(∫⇧+t∈{0..d}. ennreal (1/2) ∂lborel) > 0"
    apply (rewrite nn_integral_cmult_indicator, simp_all)
    using d_pos emeasure_lborel_Icc ennreal_zero_less_mult_iff by fastforce
  ultimately show ?thesis using nn_integral_T_p by simp
qed

lemma e_pos_Tx: "$e`∘_x > 0" if "integrable (𝔐 ⇂ alive x) (T x)"
  unfolding life_expect_def
  apply (rewrite integral_eq_nn_integral, simp_all)
   apply (smt (verit, ccfv_SIG) AE_I2 alivex_Tx_pos)
  using nn_integral_T_pos that
  by (smt (verit) AE_I2 alivex_Tx_pos enn2real_ennreal ennreal_less_zero_iff
      nn_integral_cong nn_integral_eq_integral)

proposition e_LBINT_p: "$e`∘_x = (LBINT t:{0..}. $p_{t&x})"
  ― ‹Note that ‹0 = 0› holds when the integral diverges.›
  unfolding life_expect_def apply (rewrite integral_eq_nn_integral, simp_all add: less_imp_le)
  unfolding set_lebesgue_integral_def apply (rewrite integral_eq_nn_integral, simp_all)
   apply (measurable, simp add: survive_def)
  by (rewrite nn_integral_T_p) (simp add: indicator_mult_ennreal mult.commute)

corollary e_integral_p: "$e`∘_x = integral {0..} (λt. $p_{t&x})"
  ― ‹Note that ‹0 = 0› holds when the integral diverges.›
proof -
  have "$e`∘_x = (LBINT t:{0..}. $p_{t&x})" using e_LBINT_p by simp
  also have "… = integral {0..} (λt. $p_{t&x})"
    apply (rule set_borel_integral_eq_integral_nonneg, simp_all)
    unfolding survive_def by simp
  finally show ?thesis .
qed

lemma e_pos: "$e`∘_x > 0" if "set_integrable lborel {0..} (λt. $p_{t&x})"
proof -
  have "(∫⇧+t∈{0..}. ennreal ($p_{t&x}) ∂lborel) = ennreal (∫t∈{0..}. $p_{t&x} ∂lborel)"
    by (intro set_nn_integral_eq_set_integral; simp add: that)
  also have "… < ∞" using that by simp
  finally have "(∫⇧+ξ. ennreal (T x ξ) ∂(𝔐 ⇂ alive x)) < ∞" using nn_integral_T_p by simp
  hence "integrable (𝔐 ⇂ alive x) (T x)"
    by (smt (verit) alivex_Tx_pos integrableI_bounded nn_integral_cong real_norm_def
        survival_model.Tx_alivex_measurable survival_model_axioms)
  thus ?thesis by (rule e_pos_Tx)
qed

corollary e_pos': "$e`∘_x > 0" if "(λt. $p_{t&x}) integrable_on {0..}"
  apply (rule e_pos)
  using that apply (rewrite integrable_on_iff_set_integrable_nonneg; simp)
  unfolding survive_def by simp

lemma e_LBINT_p_Icc: "$e`∘_x = (LBINT t:{0..n}. $p_{t&x})" if "x+n ≥ $ψ" for n::real
proof -
  have [simp]: "{0..n} ∩ {n<..} = {}" using ivl_disj_int_one(7) by blast
  have [simp]: "{0..n} ∪ {n<..} = {0..}"
    by (smt (verit) ereal_less_le ivl_disj_un_one(7) leD that x_lt_psi)
  have [simp]: "⋀t. n < t ⟹ 0 ≤ t" using that x_lt_psi by (smt (verit) ereal_less_le leD)
  have [simp]: "⋀t. n < t ⟹ $ψ ≤ ereal (x+t)" using that by (simp add: le_ereal_le)
  have gt_n_0: "has_bochner_integral lborel (λt. indicat_real {n<..} t * $p_{t&x}) 0"
    apply (rewrite has_bochner_integral_cong[where N=lborel and g="λt.0" and y=0], simp_all)
    using p_0_equiv that x_lt_psi
     apply (smt (verit, ccfv_SIG) greaterThan_iff indicator_simps le_ereal_le linorder_not_le)
    by (rule has_bochner_integral_zero)
  hence gt_n: "set_integrable lborel {n<..} (λt. $p_{t&x})"
    unfolding set_integrable_def using integrable.simps by auto
  moreover have le_n: "set_integrable lborel {0..n} (λt. $p_{t&x})"
    unfolding survive_def by (intro ccdfTx_integrable_Icc) simp
  ultimately have "set_integrable lborel ({0..n} ∪ {n<..}) (λt. $p_{t&x})"
    using set_integrable_Un by force
  hence "set_integrable lborel {0..} (λt. $p_{t&x})" by force
  thus ?thesis
    apply (rewrite e_LBINT_p, simp)
    apply (rewrite set_integral_Un[of "{0..n}" "{n<..}", simplified], simp_all add: gt_n le_n)
    unfolding set_lebesgue_integral_def using gt_n_0 has_bochner_integral_integral_eq by fastforce
qed

lemma e_integral_p_Icc: "$e`∘_x = integral {0..n} (λt. $p_{t&x})" if "x+n ≥ $ψ" for n::real
  using that apply (rewrite e_LBINT_p_Icc, simp_all)
  using ccdfTx_integrable_Icc unfolding survive_def
  by (rewrite set_borel_integral_eq_integral; simp)

lemma temp_e_le_n: "$e`∘_{x:n} ≤ n" if "n ≥ 0" for n::real
proof -
  have nni_n: "(∫⇧+_. ennreal n ∂(𝔐 ⇂ alive x)) = ennreal n"
    by (rewrite nn_integral_const, rewrite alivex_PS.emeasure_space_1) simp
  hence hbi_n: "has_bochner_integral (𝔐 ⇂ alive x) (λ_. n) n"
    by (intro has_bochner_integral_nn_integral; simp add: that)
  hence "integrable (𝔐 ⇂ alive x) (λ_. n)" by simp
  moreover have "integrable (𝔐 ⇂ alive x) (λξ. min (T x ξ) n)"
  proof -
    have "(∫⇧+ξ. ennreal (norm (min (T x ξ) n)) ∂(𝔐 ⇂ alive x)) ≤ ∫⇧+_. ennreal n ∂(𝔐 ⇂ alive x)"
      apply (rule nn_integral_mono, rule ennreal_leI)
      apply (rewrite real_norm_def, rewrite abs_of_nonneg; simp add: that)
      by (smt (verit) alivex_Tx_pos)
    also have "… < ∞" using nni_n by simp
    finally have "(∫⇧+ξ. ennreal (norm (min (T x ξ) n)) ∂(𝔐 ⇂ alive x)) < ∞" .
    thus ?thesis by (intro integrableI_bounded; simp)
  qed
  ultimately have "$e`∘_{x:n} ≤ integral⇧L (𝔐 ⇂ alive x) (λ_. n)"
    unfolding temp_life_expect_def by (intro integral_mono; simp)
  also have "… = n" using hbi_n has_bochner_integral_iff by blast
  finally show ?thesis .
qed

lemma temp_e_P: "$e`∘_{x:n} =
  MM_PS.expectation (λξ. indicator (alive x) ξ * min (T x ξ) n) / 𝒫(ξ in 𝔐. T x ξ > 0)"
  if "n ≥ 0" for n::real
  unfolding temp_life_expect_def
  by (rewrite MM_PS.integral_cond_prob_space_nn; simp add: alive_T that)

lemma temp_e_LBINT_p: "$e`∘_{x:n} = (LBINT t:{0..n}. $p_{t&x})" if "n ≥ 0" for n::real
proof -
  let ?minTxn = "λξ. min (T x ξ) n"
  let ?F = "cdf (distr (𝔐 ⇂ alive x) borel (T x))"
  let ?Fn = "cdf (distr (𝔐 ⇂ alive x) borel ?minTxn)"
  interpret distrTxn_RD: real_distribution "distr (𝔐 ⇂ alive x) borel ?minTxn" by (simp add: that)
  have [simp]: "⋀ξ. ξ ∈ space (𝔐 ⇂ alive x) ⟹ 0 ≤ T x ξ" by (smt (verit) alivex_Tx_pos)
  have "(∫⇧+ξ. ennreal (min (T x ξ) n) ∂(𝔐 ⇂ alive x)) = (∫⇧+t∈{0..}. ennreal (1 - ?Fn t) ∂lborel)"
    by (rewrite alivex_PS.expectation_nonneg_tail; simp add: that)
  also have "… = (∫⇧+t∈{0..}. (ennreal (1 - ?F t) * indicator {..<n} t) ∂lborel)"
    apply (rule nn_integral_cong)
    by (rewrite alivex_PS.cdf_distr_min; simp add: indicator_mult_ennreal mult.commute)
  also have "… = (∫⇧+t∈{0..<n}. ennreal (1 - ?F t) ∂lborel)"
    apply (rule nn_integral_cong) using nn_integral_set_ennreal
    by (smt (verit, best) Int_def atLeastLessThan_def ennreal_mult_right_cong
        indicator_simps mem_Collect_eq mult.commute mult_1)
  also have "… = (∫⇧+t∈{0..n}. ennreal (1 - ?F t) ∂lborel)"
  proof -
    have "sym_diff {0..<n} {0..n} = {n}" using that by force
    thus ?thesis by (intro nn_integral_null_delta; force)
  qed
  also have "… = ennreal (LBINT t:{0..n}. $p_{t&x})"
  proof -
    have "set_integrable lborel {0..n} (λt. $p_{t&x})"
      unfolding survive_def by (intro ccdfTx_integrable_Icc) simp
    thus ?thesis
      unfolding set_lebesgue_integral_def unfolding set_integrable_def
      apply (rewrite nn_integral_eq_integral[THEN sym]; simp)
      apply (rule nn_integral_cong, simp)
      unfolding survive_def using distrTx_RD.ccdf_cdf distrTx_RD.prob_space nn_integral_set_ennreal
      by (simp add: indicator_mult_ennreal mult.commute)
  qed
  finally have "(∫⇧+ξ. ennreal (min (T x ξ) n) ∂(𝔐 ⇂ alive x)) =
    ennreal (LBINT t:{0..n}. $p_{t&x})" .
  thus ?thesis
    unfolding temp_life_expect_def by (rewrite integral_eq_nn_integral; simp add: that)
qed

lemma temp_e_integral_p: "$e`∘_{x:n} = integral {0..n} (λt. $p_{t&x})" if "n ≥ 0" for n::real
  using that apply (rewrite temp_e_LBINT_p, simp_all)
  using ccdfTx_integrable_Icc unfolding survive_def
  by (rewrite set_borel_integral_eq_integral; simp)

lemma e_eq_temp: "$e`∘_x = $e`∘_{x:n}" if "n ≥ 0" "x+n ≥ $ψ" for n::real
  using that e_LBINT_p_Icc temp_e_LBINT_p by simp

lemma curt_e_P: "$e_x =
  MM_PS.expectation (λξ. indicator (alive x) ξ * ⌊T x ξ⌋) / 𝒫(ξ in 𝔐. T x ξ > 0)"
  unfolding curt_life_expect_def
  apply (rewrite MM_PS.integral_cond_prob_space_nn; simp add: alive_T)
  by (metis (no_types, lifting) Bochner_Integration.integral_cong indicator_simps of_int_0 of_int_1)

lemma curt_e_sum_P: "$e_x = (∑k. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
  if "summable (λk. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
proof -
  let ?F_flrTx = "cdf (distr (𝔐 ⇂ alive x) borel (λξ. ⌊T x ξ⌋))"
  have [simp]: "⋀ξ. ξ ∈ space (𝔐 ⇂ alive x) ⟹ 0 ≤ T x ξ" by (smt (verit) alivex_Tx_pos)
  have "integral⇧N (𝔐 ⇂ alive x) (λξ. ennreal ⌊T x ξ⌋) =
    (∫⇧+t∈{0..}. ennreal (1 - ?F_flrTx t) ∂lborel)"
    by (rewrite alivex_PS.expectation_nonneg_tail; simp)
  also have "… = (∫⇧+t∈{0::real..}. ennreal 𝒫(ξ in 𝔐. T x ξ ≥ ⌊t⌋ + 1 ¦ T x ξ > 0) ∂lborel)"
  proof -
    { fix t::real assume "t ≥ 0"
      hence "1 - ?F_flrTx t = 𝒫(ξ in 𝔐. T x ξ ≥ real_of_int ⌊t⌋ + 1 ¦ T x ξ > 0)"
      proof -
        have "1 - ?F_flrTx t = 1 - 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ < real_of_int ⌊t⌋ + 1)"
          by (rewrite alivex_PS.cdf_distr_floor_P; simp)
        also have "… = 1 - 𝒫(ξ in 𝔐. T x ξ < real_of_int ⌊t⌋ + 1 ¦ T x ξ > 0)"
          using alive_T by (rewrite MM_PS.cond_prob_space_cond_prob; simp)
        also have "… = 𝒫(ξ in 𝔐. T x ξ ≥ real_of_int ⌊t⌋ + 1 ¦ T x ξ > 0)"
          by (rewrite not_le[THEN sym], rewrite MM_PS.cond_prob_neg; simp)
        finally show ?thesis .
      qed }
    thus ?thesis
      apply -
      by (rule nn_set_integral_cong2, rule AE_I2) simp
  qed
  also have "… = (∑k. ∫⇧+t∈{k..<k+1}. ennreal 𝒫(ξ in 𝔐. T x ξ ≥ ⌊t⌋ + 1 ¦ T x ξ > 0) ∂lborel)"
    apply (rewrite nn_integral_disjoint_family[THEN sym]; simp)
     apply (rewrite add.commute, rule Ico_nat_disjoint)
    by (rewrite Ico_nat_union[THEN sym], simp add: add.commute)
  also have "… = (∑k. ∫⇧+t∈{k..<k+1::nat}. ennreal 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0) ∂lborel)"
  proof -
    { fix k::nat and t::real
      assume "real k ≤ t" and "t < 1 + real k"
      hence "real_of_int ⌊t⌋ = real k"
        by (metis add.commute floor_eq2 of_int_of_nat_eq)
      hence "𝒫(ξ in 𝔐. T x ξ ≥ real_of_int ⌊t⌋ + 1 ¦ T x ξ > 0) =
      𝒫(ξ in 𝔐. T x ξ ≥ 1 + real k ¦ T x ξ > 0)"
        by (simp add: add.commute) }
    thus ?thesis
      apply -
      apply (rule suminf_cong, rule nn_set_integral_cong2, rule AE_I2)
      by (rule impI) simp
  qed
  also have "… = (∑k. ennreal 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
    by (rewrite nn_integral_cmult_indicator; simp add: add.commute)
  also have "… = ennreal (∑k. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
    by (rewrite suminf_ennreal2; simp add: that)
  finally have "integral⇧N (𝔐 ⇂ alive x) (λξ. ennreal ⌊T x ξ⌋) =
    ennreal (∑k. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))" .
  hence "integral⇧L (𝔐 ⇂ alive x) (λξ. ⌊T x ξ⌋) = (∑k. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
    apply (rewrite integral_eq_nn_integral; simp)
    apply (rewrite enn2real_ennreal; simp add: add.commute)
    apply (rule suminf_nonneg; simp?)
    by (rewrite add.commute, simp add: that)
  thus ?thesis unfolding curt_life_expect_def by (simp add: add.commute)
qed

lemma curt_e_sum_P_finite: "$e_x = (∑k<n. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
  if "x+n+1 > $ψ" for n::nat
proof -
  from that have psi_fin: "$ψ < ∞" by force
  let ?P = "λk::nat. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0)"
  let ?P_fin = "λk::nat. if k∈{..<n} then ?P k else 0"
  have "⋀k. ?P k = ?P_fin k"
  proof -
    fix k
    show "?P k = ?P_fin k"
    proof (cases ‹k ∈ {..<n}›)
      case True
      thus ?thesis by simp
    next
      case False
      hence "¬ k < n" by simp
      hence "x + k + 1 > real_of_ereal $ψ"
        using that psi_nonneg real_of_ereal_ord_simps(4) by fastforce
      hence "{ξ ∈ space 𝔐. T x ξ ≥ k + 1 ∧ T x ξ > 0} ⊆ {ξ ∈ space 𝔐. X ξ > real_of_ereal $ψ}"
        unfolding futr_life_def using that less_ereal_le of_nat_1 of_nat_add by force
      hence "𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ∧ T x ξ > 0) ≤ 𝒫(ξ in 𝔐. X ξ > real_of_ereal $ψ)"
        by (intro MM_PS.finite_measure_mono, simp_all)
      also have "… = 0" using MM_PS.ccdf_distr_P X_RV ccdfX_psi_0 psi_fin by presburger
      finally have "𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ∧ T x ξ > 0) = 0" using measure_le_0_iff by blast
      hence "?P k = 0" unfolding cond_prob_def by (simp add: add.commute)
      thus ?thesis by simp
    qed
  qed
  moreover have "?P_fin sums (∑k<n. ?P k)" using sums_If_finite_set by force
  ultimately have ⋆: "?P sums (∑k<n. ?P k)" using sums_cong by simp
  moreover hence "summable ?P" using sums_summable by blast
  ultimately have "?P sums $e_x" using curt_e_sum_P by force
  hence "$e_x = (∑k<n. ?P k)" by (rewrite sums_unique2[of "?P"]; simp add: ⋆)
  thus ?thesis by (simp add: add.commute)
qed

lemma curt_e_sum_p: "$e_x = (∑k. $p_{k+1&x})"
  if "summable (λk. $p_{k+1&x})" "⋀k::nat. isCont (λt. $p_{t&x}) (k+1)"
proof -
  have "⋀k::nat. $p_{k+1&x} = 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0)"
    apply (rewrite p_PTx_ge_ccdf_isCont, simp_all)
    using that(2) isCont_ccdfX_ccdfTx unfolding survive_def by simp
  thus ?thesis using that p_PTx_ge_ccdf_isCont curt_e_sum_P by presburger
qed

lemma curt_e_rec: "$e_x = $p_x * (1 + $e_(x+1))"
  if "summable (λk. $p_{k+1&x})" "⋀k::nat. isCont (λt. $p_{t&x}) (real k + 1)" "x+1 < $ψ"
proof -
  have px_neq_0[simp]: "$p_x ≠ 0" using p_0_equiv that by auto
  have "(λk. $p_{k+1&x}) sums $e_x"
    using that apply (rewrite curt_e_sum_p, simp_all add: add.commute)
    by (rule summable_sums, simp add: that)
  hence "(λk. $p_x * $p_{k&x+1}) sums $e_x"
    apply (rewrite sums_cong[where g="λk. $p_{k+1&x}"]; simp?)
    using p_mult by (smt (verit) of_nat_0_le_iff that(3) x_lt_psi)
  hence "(λk. $p_{k&x+1}) sums ($e_x / $p_x)"
    using sums_mult_D that by (smt (verit, best) linorder_not_le p_0_equiv sums_cong x_lt_psi)
  hence p_e_p: "(λk. $p_{Suc k & x+1}) sums ($e_x / $p_x - $p_{0&x+1})"
    using sums_split_initial_segment[where n=1] by force
  moreover have "(λk. $p_{Suc k & x+1}) sums $e_(x+1)"
  proof -
    have [simp]: "summable (λk::nat. $p_{real k + 1 & x + 1})"
      apply (intro sums_summable[where l="$e_x / $p_x - $p_{0&x+1}"])
      using p_e_p by (simp add: add.commute)
    have [simp]: "⋀k::nat. isCont (λt. $p_{t&x+1}) (real k + 1)"
    proof -
      fix k::nat
      have "isCont (λt. $p_x * $p_{t-1&x+1}) (real k + 2)"
      proof -
        let ?S="{real k + 1 <..< real k + 3}"
        have "open ?S" by simp
        moreover have "real k + 2 ∈ ?S" by simp
        moreover have "⋀t. t ∈ ?S ⟹ $p_x * $p_{t-1&x+1} = $p_{t&x}"
          using p_mult
          by (smt (verit, del_insts) greaterThanLessThan_iff of_nat_0_le_iff that(3) x_lt_psi)
        ultimately show ?thesis
          apply (rewrite isCont_cong[where g="λt. $p_{t&x}"])
           apply (rewrite eventually_nhds, blast)
          using that by (smt (verit) of_nat_1 of_nat_add)
      qed
      hence "isCont (λt. $p_x * $p_{t-1&x+1} / $p_x) (real k + 2)"
        by (intro isCont_divide[where g="λt. $p_x"], auto)
      hence "isCont ((λt. $p_{t-1&x+1}) ∘ (λt. t+1)) (real k + 1)"
        by simp (rule continuous_at_compose, simp_all add: add.commute)
      thus "isCont (λt. $p_{t&x+1}) (real k + 1)" unfolding comp_def by simp
    qed
    show ?thesis
      apply (rewrite survival_model.curt_e_sum_p; simp add: survival_model_axioms that)
      using summable_sums by (rewrite add.commute) force
  qed
  ultimately have "$e_x / $p_x - $p_{0&x+1} = $e_(x+1)" by (rule sums_unique2)
  thus ?thesis
    using p_0_1 that
    by (smt (verit) px_neq_0 divide_mult_cancel mult.commute mult_cancel_left2 p_mult that(3))
qed

lemma curt_e_sum_p_finite: "$e_x = (∑k<n. $p_{k+1&x})"
  if "⋀k::nat. k < n ⟹ isCont (λt. $p_{t&x}) (real k + 1)" "x+n+1 > $ψ" for n::nat
proof -
  have "⋀k::nat. k < n ⟹ $p_{k+1&x} = 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0)"
    apply (rewrite p_PTx_ge_ccdf_isCont, simp_all)
    using that isCont_ccdfX_ccdfTx unfolding survive_def by (smt (verit) of_nat_0_le_iff x_lt_psi)
  thus ?thesis using that p_PTx_ge_ccdf_isCont curt_e_sum_P_finite by simp
qed

lemma temp_curt_e_P: "$e_{x:n} =
  MM_PS.expectation (λξ. indicator (alive x) ξ * ⌊min (T x ξ) n⌋) / 𝒫(ξ in 𝔐. T x ξ > 0)"
  if "n ≥ 0" for n::real
  unfolding temp_curt_life_expect_def
  apply (rewrite MM_PS.integral_cond_prob_space_nn; simp add: alive_T that)
  apply (rule disjI2, rule Bochner_Integration.integral_cong; simp)
  using indicator_simps of_int_0 of_int_1 by smt

lemma temp_curt_e_sum_P: "$e_{x:n} = (∑k<n. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))" for n::nat
proof -
  let ?F_flrminTx = "cdf (distr (𝔐 ⇂ alive x) borel (λξ. ⌊min (T x ξ) n⌋))"
  have [simp]: "⋀ξ. ξ ∈ space (𝔐 ⇂ alive x) ⟹ 0 ≤ T x ξ" by (smt (verit) alivex_Tx_pos)
  have "integral⇧N (𝔐 ⇂ alive x) (λξ. ennreal ⌊min (T x ξ) n⌋) =
    (∫⇧+t∈{0..}. ennreal (1 - ?F_flrminTx t) ∂lborel)"
    by (rewrite alivex_PS.expectation_nonneg_tail; simp)
  also have "… = (∫⇧+t∈{0::real..}. ennreal
    ((1 - 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ < ⌊t⌋ + 1)) * of_bool (⌊t⌋ + 1 ≤ n)) ∂lborel)"
  proof -
    have "⋀t. t ≥ 0 ⟹ ennreal (1 - ?F_flrminTx t) =
      ennreal ((1 - 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ < ⌊t⌋ + 1)) * of_bool (⌊t⌋ + 1 ≤ n))"
    proof -
      fix t::real assume "t ≥ 0"
      thus "ennreal (1 - ?F_flrminTx t) =
        ennreal ((1 - 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ < ⌊t⌋ + 1)) * of_bool (⌊t⌋ + 1 ≤ n))"
      proof (cases ‹⌊t⌋ + 1 ≤ n›)
        case True
        thus ?thesis
          apply (rewrite alivex_PS.cdf_distr_floor_P; simp)
          using min_less_iff_disj
          by (smt (verit, ccfv_SIG) Collect_cong
              floor_eq floor_less_cancel floor_of_nat of_int_floor_le)
      next
        case False
        thus ?thesis
          apply (rewrite alivex_PS.cdf_distr_floor_P; simp)
          using min_less_iff_disj
          by (smt (verit, ccfv_SIG) Collect_cong MM_PS.space_cond_prob_space alive_T alive_event
              alivex_PS.prob_space mem_Collect_eq of_int_of_nat_eq of_nat_less_of_int_iff)
      qed
    qed
    thus ?thesis
      by (intro nn_set_integral_cong2, intro AE_I2) auto
  qed
  also have "… = (∫⇧+t∈{0..<n}. ennreal (1 - 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ < ⌊t⌋ + 1)) ∂lborel)"
  proof -
    { fix t::real
      have "(⌊t⌋ + 1 ≤ n) = (t < n)" by linarith
      hence "⋀r::real.
        ennreal (r * of_bool (⌊t⌋ + 1 ≤ n)) * indicator {0..} t = ennreal r * indicator {0..<n} t"
        unfolding atLeastLessThan_def by (simp add: indicator_def) }
    thus ?thesis by simp
  qed
  also have "… = (∫⇧+t∈{0..<n}. ennreal 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≥ ⌊t⌋ + 1) ∂lborel)"
    by (rewrite alivex_PS.prob_neg[THEN sym]; simp add: not_less)
  also have "… = (∑k<n. ∫⇧+t∈{k..<k+1}. ennreal 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≥ ⌊t⌋ + 1) ∂lborel)"
    apply (rewrite  Ico_nat_union_finite[of n, THEN sym])
    apply (rewrite nn_integral_disjoint_family_on_finite; simp add: add.commute)
    apply (rule disjoint_family_on_mono[of _ "{0..}"]; simp)
    by (rewrite add.commute, rule Ico_nat_disjoint)
  also have "… = (∑k<n. ennreal 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
  proof -
    { fix k::nat
      assume "k < n"
      hence "(∫⇧+t∈{k..<(1 + real k)}.
        ennreal 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≥ real_of_int ⌊t⌋ + 1) ∂lborel) =
        𝒫(ξ in 𝔐. T x ξ ≥ 1 + real k ¦ T x ξ > 0)" (is "?LHS = ?RHS")
      proof -
        have "?LHS = (∫⇧+t∈{k..<(1 + real k)}. ennreal 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≥ k + 1) ∂lborel)"
        proof -
          { fix t::real
            assume "k ≤ t" "t < 1 + real k"
            hence "real_of_int ⌊t⌋ = real k" by (smt (verit) floor_eq2 of_int_of_nat_eq)
            hence "𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≥ real_of_int ⌊t⌋ + 1) =
              𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≥ 1 + real k)"
              by (simp add: add.commute) }
          thus ?thesis by (intro nn_set_integral_cong2, intro AE_I2) auto
        qed
        also have "… = ennreal 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ≥ k + 1)"
          by (rewrite nn_integral_cmult_indicator; simp)
        also have "… = ?RHS"
          by (rewrite MM_PS.cond_prob_space_cond_prob, simp_all add: alive_T)
        finally show ?thesis .
      qed }
    thus ?thesis by (intro sum.cong) auto
  qed
  also have "… = ennreal (∑k<n. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))" by simp
  finally have "integral⇧N (𝔐 ⇂ alive x) (λξ. ennreal ⌊min (T x ξ) n⌋) =
    ennreal (∑k<n. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))" .
  hence "integral⇧L (𝔐 ⇂ alive x) (λξ. ⌊min (T x ξ) n⌋) =
    (∑k<n. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
    apply (intro nn_integral_eq_integrable[THEN iffD1, THEN conjunct2]; simp)
    using MM_PS.cond_prob_nonneg by (meson sum_nonneg)
  thus ?thesis unfolding temp_curt_life_expect_def by simp
qed

corollary curt_e_eq_temp: "$e_x = $e_{x:n}" if "x+n+1 > $ψ" for n::nat
  using curt_e_sum_P_finite temp_curt_e_sum_P that by simp

lemma temp_curt_e_sum_p: "$e_{x:n} = (∑k<n. $p_{k+1&x})"
  if "⋀k::nat. k < n ⟹ isCont (λt. $p_{t&x}) (real k + 1)" for n::nat
proof -
  have "⋀k::nat. k < n ⟹ $p_{k+1&x} = 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0)"
    apply (rewrite p_PTx_ge_ccdf_isCont, simp_all)
    using that isCont_ccdfX_ccdfTx unfolding survive_def by (smt (verit) of_nat_0_le_iff x_lt_psi)
  thus ?thesis
    apply (rewrite temp_curt_e_sum_P)
    by (rule sum.cong) simp_all
qed

lemma temp_curt_e_rec: "$e_{x:n} = $p_x * (1 + $e_{x+1:n-1})"
  if "⋀k::nat. k < n ⟹ isCont (λt. $p_{t&x}) (real k + 1)" "x+1 < $ψ" "n ≠ 0" for n::nat
proof -
  have [simp]: "$p_x ≠ 0" using p_0_equiv that by auto
  have [simp]: "⋀k. k < n-1 ⟹ isCont (λt. $p_{t&x+1}) (real k + 1)"
  proof -
    fix k::nat assume k_n: "k < n-1"
    have "isCont (λt. $p_x * $p_{t-1&x+1}) (real k + 2)"
    proof -
      let ?S="{real k + 1 <..< real k + 3}"
      have "open ?S" by simp
      moreover have "real k + 2 ∈ ?S" by simp
      moreover have "⋀t. t ∈ ?S ⟹ $p_x * $p_{t-1&x+1} = $p_{t&x}"
        using p_mult
        by (smt (verit, del_insts) greaterThanLessThan_iff of_nat_0_le_iff that(2) x_lt_psi)
      ultimately show ?thesis
        apply (rewrite isCont_cong[where g="λt. $p_{t&x}"])
         apply (rewrite eventually_nhds, blast)
        using that k_n by (smt (verit) less_diff_conv of_nat_1 of_nat_add)
    qed
    hence "isCont (λt. $p_x * $p_{t-1&x+1} / $p_x) (real k + 2)"
      by (intro isCont_divide[where g="λt. $p_x"], auto)
    hence "isCont ((λt. $p_{t-1&x+1}) ∘ (λt. t+1)) (real k + 1)"
      by simp (rule continuous_at_compose, simp_all add: add.commute)
    thus "isCont (λt. $p_{t&x+1}) (real k + 1)" unfolding comp_def by simp
  qed
  have "$p_x * (1 + $e_{x+1:n-1}) = $p_x * (1 + (∑k<(n-1). $p_{k+1&x+1}))"
    by (rewrite survival_model.temp_curt_e_sum_p; simp add: survival_model_axioms that)
  also have "… = $p_x + (∑k<(n-1). $p_x * $p_{k+1&x+1})"
    apply (rewrite distrib_left, simp)
    by (rewrite vector_space_over_itself.scale_sum_right, simp)
  also have "… = $p_x + (∑k<(n-1). $p_{k+2&x})"
    apply (rewrite sum.cong, simp_all add: add.commute)
    using p_mult by (smt (verit) of_nat_0_le_iff that(2) x_lt_psi)
  also have "… = (∑k<Suc(n-1). $p_{k+1&x})"
    apply (rewrite lessThan_atLeast0)+
    by (rewrite sum.atLeast0_lessThan_Suc_shift) simp
  also have "… = $e_{x:n}" using that by (rewrite temp_curt_e_sum_p; simp)
  finally show ?thesis by simp
qed

end

lemma p_set_integrable_shift:
  "set_integrable lborel {0..} (λt. $p_{t&0}) ⟷ set_integrable lborel {0..} (λt. $p_{t&x})"
  if "x < $ψ" for x::real
proof -
  have "set_integrable lborel {0..} (λt. $p_{t&0}) ⟷ set_integrable lborel {x..} (λt. $p_{t&0})"
    by (rule set_integrable_Ici_equiv)
      (metis (no_types, lifting) ccdfX_integrable_Icc ccdfX_p set_integrable_cong)
  also have "… ⟷ set_integrable lborel {0..} (λt. $p_{x+t&0})"
    using set_integrable_Ici_shift[of x x] by force
  also have "… ⟷ set_integrable lborel {0..} (λt. $p_{x+t&0} / $p_{x&0})"
    using that p_0_equiv by (rewrite set_integrable_mult_divide_iff; simp)
  also have "… ⟷ set_integrable lborel {0..} (λt. $p_{t&x})"
    by (rule set_integrable_cong; simp) (simp add: ccdfTx_ccdfX ccdfX_p survive_def that)
  finally show ?thesis .
qed

lemma e_p_e: "$e`∘_x = $e`∘_{x:n} + $p_{n&x} * $e`∘_(x+n)"
  if "set_integrable lborel {0..} (λt. $p_{t&x})" "n ≥ 0" "x+n < $ψ" for x n :: real
proof -
  have [simp]: "ereal x < $ψ" using that by (simp add: ereal_less_le)
  hence "$e`∘_x = (LBINT t:{0..}. $p_{t&x})" by (simp add: e_LBINT_p)
  also have "… = (LBINT t:{0..n}. $p_{t&x}) + (LBINT t:{n..}. $p_{t&x})"
  proof -
    have "AE t in lborel. ¬ (t∈{0..n} ∧ t∈{n..})" using AE_lborel_singleton by force
    moreover have "{0..} = {0..n} ∪ {n..}" using that by auto
    moreover have "set_integrable lborel {0..n} (λt. $p_{t&x})"
      using that
      by (metis Icc_subset_Ici_iff atLeastAtMost_borel order.refl set_integrable_subset sets_lborel)
    moreover have "set_integrable lborel {n..} (λt. $p_{t&x})"
      using that by (metis atLeast_borel atLeast_subset_iff set_integrable_subset sets_lborel)
    ultimately show ?thesis
      using set_integral_Un_AE
      by (metis (no_types, lifting) AE_cong atLeastAtMost_borel atLeast_borel sets_lborel)
  qed
  also have "… = (LBINT t:{0..n}. $p_{t&x}) + $p_{n&x} * (LBINT t:{0..}. $p_{t & x+n})"
  proof -
    have "(LBINT t:{n..}. $p_{t&x}) = (LBINT t:{0..}. $p_{n+t & x})"
      using lborel_set_integral_Ici_shift[of n _ n, simplified] by force
    also have "… = (LBINT t:{0..}. $p_{n&x} * $p_{t & x+n})"
      apply (rule set_lebesgue_integral_cong; simp)
      using that p_mult by force
    finally show ?thesis by simp
  qed
  also have "… = $e`∘_{x:n} + $p_{n&x} * $e`∘_(x+n)"
    apply (rewrite temp_e_LBINT_p, (simp_all add: that)[2])
    by (rewrite e_LBINT_p; simp add: that)
  finally show ?thesis .
qed

proposition x_ex_mono: "x + $e`∘_x ≤ y + $e`∘_y" if "x ≤ y" "y < $ψ" for x y :: real
proof -
  have x_lt_psi[simp]: "ereal x < $ψ" using that ereal_less_le by simp
  show ?thesis
  proof (cases ‹set_integrable lborel {0..} (λt. $p_{t&x})›)
    case True
    hence "$e`∘_x = $e`∘_{x:y-x} + $p_{y-x&x}*$e`∘_y" by (rewrite e_p_e[of x "y-x"]; simp add: that)
    also have "… ≤ y - x + $e`∘_y"
    proof -
      have "$e`∘_{x:y-x} ≤ y - x" using that by (intro temp_e_le_n; simp)
      moreover have "$p_{y-x&x}*$e`∘_y ≤ $e`∘_y"
        using p_le_1 x_lt_psi that
        by (smt (verit, ccfv_threshold) e_nonneg mult_less_cancel_right1)
      ultimately show ?thesis by simp
    qed
    finally show ?thesis by simp
  next
    case False
    hence "$e`∘_x = 0"
      using e_LBINT_p not_integrable_integral_eq
      unfolding set_integrable_def set_lebesgue_integral_def
      by simp
    moreover have "$e`∘_y = 0"
    proof -
      have "¬ set_integrable lborel {0..} (λt. $p_{t&y})"
        using that False
        apply (rewrite p_set_integrable_shift[THEN sym], simp)
        by (rewrite p_set_integrable_shift[of x]; simp)
      thus ?thesis
        using e_LBINT_p not_integrable_integral_eq that
        unfolding set_integrable_def set_lebesgue_integral_def
        by simp
    qed
    ultimately show ?thesis using that by simp
  qed
qed

proposition x_ex_const_equiv: "x + $e`∘_x = y + $e`∘_y ⟷ $q_{y-x&x} = 0"
  if "set_integrable lborel {0..} (λt. $p_{t&0})" "x ≤ y" "y < $ψ" for x y :: real
proof -
  have ey: "set_integrable lborel {0..} (λt. $p_{t&y})" using that p_set_integrable_shift by blast
  have x_lt_psi[simp]: "ereal x < $ψ" using that ereal_less_le by simp
  hence ex: "set_integrable lborel {0..} (λt. $p_{t&x})" using that p_set_integrable_shift by blast
  show ?thesis
  proof
    assume const: "x + $e`∘_x = y + $e`∘_y"
    hence "0 = y - x - $e`∘_x + $e`∘_y" by simp
    also have "… = y - x - $e`∘_{x:y-x} - $p_{y-x&x}*$e`∘_y + $e`∘_y"
      using e_p_e[of x "y-x"] ex that by simp
    also have "… = (y - x - $e`∘_{x:y-x}) + (1 - $p_{y-x&x})*$e`∘_y"
      by (simp add: left_diff_distrib)
    finally have "0 = (y - x - $e`∘_{x:y-x}) + (1 - $p_{y-x&x})*$e`∘_y" .
    moreover have "y - x - $e`∘_{x:y-x} ≥ 0" using temp_e_le_n that by simp
    ultimately have "(1 - $p_{y-x&x})*$e`∘_y = 0"
      by (smt (verit, ccfv_threshold) e_nonneg mult_nonneg_nonneg p_le_1 that x_lt_psi)
    moreover have "$e`∘_y > 0" using that e_pos ey by simp
    ultimately have "1 - $p_{y-x&x} = 0" by simp
    thus "$q_{y-x&x} = 0" by (smt (verit) p_q_1 x_lt_psi)
  next
    interpret alivex_PS: prob_space "𝔐 ⇂ alive x"
      by (rule MM_PS.cond_prob_space_correct, simp_all add: alive_def)
    interpret distrTx_RD: real_distribution "distr (𝔐 ⇂ alive x) borel (T x)" by simp
    assume "$q_{y-x&x} = 0"
    hence p1: "$p_{y-x&x} = 1" using p_q_1 by (metis add.right_neutral x_lt_psi)
    hence "⋀t. t∈{0..y-x} ⟹ $p_{t&x} = 1"
      unfolding survive_def using distrTx_RD.ccdf_nonincreasing
      by simp (smt (verit) distrTx_RD.ccdf_bounded_prob)
    hence "$e`∘_{x:y-x} = y - x"
      using that apply (rewrite temp_e_LBINT_p; simp)
      by (rewrite set_lebesgue_integral_cong[where g="λ_. 1"]; simp)
    moreover have "$e`∘_x = $e`∘_{x:y-x} + $p_{y-x&x}*$e`∘_y"
      by (rewrite e_p_e[of x "y-x"]; simp add: that ex)
    ultimately show "x + $e`∘_x = y + $e`∘_y" using p1 by simp
  qed
qed

end

subsection ‹Piecewise Differentiable Survival Function›

locale smooth_survival_function = survival_model +
  assumes ccdfX_piecewise_differentiable[simp]:
    "(ccdf (distr 𝔐 borel X)) piecewise_differentiable_on UNIV"
begin

interpretation distrX_RD: real_distribution "distr 𝔐 borel X"
  using MM_PS.real_distribution_distr by simp

subsubsection ‹Properties of Survival Function for ‹X››

lemma ccdfX_continuous[simp]: "continuous_on UNIV (ccdf (distr 𝔐 borel X))"
  using ccdfX_piecewise_differentiable piecewise_differentiable_on_imp_continuous_on by fastforce

corollary ccdfX_borel_measurable[measurable]: "ccdf (distr 𝔐 borel X) ∈ borel_measurable borel"
  by (rule borel_measurable_continuous_onI) simp

lemma ccdfX_nondifferentiable_finite_set[simp]:
  "finite {x. ¬ ccdf (distr 𝔐 borel X) differentiable at x}"
proof -
  obtain S where
    fin: "finite S" and "⋀x. x ∉ S ⟹ (ccdf (distr 𝔐 borel X)) differentiable at x"
    using ccdfX_piecewise_differentiable unfolding piecewise_differentiable_on_def by blast
  hence "{x. ¬ ccdf (distr 𝔐 borel X) differentiable at x} ⊆ S" by blast
  thus ?thesis using finite_subset fin by blast
qed

lemma ccdfX_differentiable_open_set: "open {x. ccdf (distr 𝔐 borel X) differentiable at x}"
  using ccdfX_nondifferentiable_finite_set finite_imp_closed
  by (metis (mono_tags, lifting) Collect_cong open_Collect_neg)

lemma ccdfX_differentiable_borel_set[measurable, simp]:
  "{x. ccdf (distr 𝔐 borel X) differentiable at x} ∈ sets borel"
  using ccdfX_differentiable_open_set by simp

lemma ccdfX_differentiable_AE:
  "AE x in lborel. (ccdf (distr 𝔐 borel X)) differentiable at x"
  apply (rule AE_I'[of "{x. ¬ ccdf (distr 𝔐 borel X) differentiable at x}"], simp_all)
  using ccdfX_nondifferentiable_finite_set by (simp add: finite_imp_null_set_lborel)

lemma deriv_ccdfX_measurable[measurable]: "deriv (ccdf (distr 𝔐 borel X)) ∈ borel_measurable borel"
proof -
  have "set_borel_measurable borel UNIV (deriv (ccdf (distr 𝔐 borel X)))"
    by (rule piecewise_differentiable_on_deriv_measurable_real; simp)
  thus ?thesis unfolding set_borel_measurable_def by simp
qed

subsubsection ‹Properties of Cumulative Distributive Function for ‹X››

lemma cdfX_piecewise_differentiable[simp]:
  "(cdf (distr 𝔐 borel X)) piecewise_differentiable_on UNIV"
  by (rewrite distrX_RD.cdf_ccdf) (rule piecewise_differentiable_diff; simp)

lemma cdfX_continuous[simp]: "continuous_on UNIV (cdf (distr 𝔐 borel X))"
  using cdfX_piecewise_differentiable piecewise_differentiable_on_imp_continuous_on by fastforce

corollary cdfX_borel_measurable[measurable]: "cdf (distr 𝔐 borel X) ∈ borel_measurable borel"
  by (rule borel_measurable_continuous_onI) simp

lemma cdfX_nondifferentiable_finite_set[simp]:
  "finite {x. ¬ cdf (distr 𝔐 borel X) differentiable at x}"
  using distrX_RD.differentiable_cdf_ccdf ccdfX_nondifferentiable_finite_set by simp

lemma cdfX_differentiable_open_set: "open {x. cdf (distr 𝔐 borel X) differentiable at x}"
  using distrX_RD.differentiable_cdf_ccdf ccdfX_differentiable_open_set by simp

lemma cdfX_differentiable_borel_set[measurable, simp]:
  "{x. cdf (distr 𝔐 borel X) differentiable at x} ∈ sets borel"
  using cdfX_differentiable_open_set by simp

lemma cdfX_differentiable_AE:
  "AE x in lborel. (cdf (distr 𝔐 borel X)) differentiable at x"
  using ccdfX_differentiable_AE distrX_RD.differentiable_cdf_ccdf AE_iffI by simp

lemma deriv_cdfX_measurable[measurable]: "deriv (cdf (distr 𝔐 borel X)) ∈ borel_measurable borel"
proof -
  have "set_borel_measurable borel UNIV (deriv (cdf (distr 𝔐 borel X)))"
    by (rule piecewise_differentiable_on_deriv_measurable_real; simp)
  thus ?thesis unfolding set_borel_measurable_def by simp
qed

subsubsection ‹Introduction of Probability Density Functions of ‹X› and ‹T(x)››

definition pdfX :: "real ⇒ real"
  where "pdfX x ≡ if cdf (distr 𝔐 borel X) differentiable at x
    then deriv (cdf (distr 𝔐 borel X)) x else 0"
    ― ‹This function is defined to be always nonnegative for future application.›

definition pdfT :: "real ⇒ real ⇒ real"
  where "pdfT x t ≡ if cdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t
    then deriv (cdf (distr (𝔐 ⇂ alive x) borel (T x))) t else 0"
    ― ‹This function is defined to be always nonnegative for future application.›

lemma pdfX_measurable[measurable]: "pdfX ∈ borel_measurable borel"
proof -
  let ?cdfX = "cdf (distr 𝔐 borel X)"
  have "countable {x. ¬ ?cdfX differentiable at x}"
    using cdfX_nondifferentiable_finite_set uncountable_infinite by force
  thus ?thesis
    unfolding pdfX_def
    apply -
    by (rule measurable_discrete_difference
        [where X="{x. ¬ ?cdfX differentiable at x}" and f="deriv ?cdfX"]; simp)
qed

lemma distributed_pdfX: "distributed 𝔐 lborel X pdfX"
proof -
  let ?cdfX = "cdf (distr 𝔐 borel X)"
  obtain S where fin: "finite S" and diff: "⋀t. t ∉ S ⟹ ?cdfX differentiable at t"
    using cdfX_piecewise_differentiable unfolding piecewise_differentiable_on_def by blast
  { fix t::real assume t_notin: "t ∉ S"
    have "?cdfX differentiable at t" using diff t_notin by simp
    hence "(?cdfX has_real_derivative pdfX t) (at t)"
      unfolding pdfX_def using DERIV_deriv_iff_real_differentiable by auto }
  thus ?thesis
    by (intro MM_PS.distributed_deriv_cdf[where S=S]; simp add: fin)
qed

lemma pdfT0_X: "pdfT 0 = pdfX"
  unfolding pdfT_def pdfX_def using cdfT0_eq_cdfX psi_pos' by fastforce

subsubsection ‹Properties of Survival Function for ‹T(x)››

context
  fixes x::real
  assumes x_lt_psi[simp]: "x < $ψ"
begin

interpretation alivex_PS: prob_space "𝔐 ⇂ alive x"
  by (rule MM_PS.cond_prob_space_correct; simp add: alive_def)

interpretation distrTx_RD: real_distribution "distr (𝔐 ⇂ alive x) borel (T x)" by simp

lemma ccdfTx_continuous_on_nonneg[simp]:
  "continuous_on {0..} (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
  apply (rewrite continuous_on_eq_continuous_within, auto)
  apply (rewrite continuous_ccdfX_ccdfTx[THEN sym], auto)
  by (metis UNIV_I ccdfX_continuous continuous_at_imp_continuous_at_within
      continuous_on_eq_continuous_within)

lemma ccdfTx_continuous[simp]: "continuous_on UNIV (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
proof -
  have [simp]: "{..0::real} ∪ {0..} = UNIV" by auto
  have "continuous_on {..0} (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
    by (rule ccdfTx_continuous_on_nonpos) simp
  moreover have "continuous_on {0..} (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))" by simp
  ultimately have "continuous_on ({..0} ∪ {0..}) (ccdf (distr (𝔐 ⇂ alive x) borel (T x)))"
    by (intro continuous_on_closed_Un) simp_all
  thus ?thesis by simp
qed

corollary ccdfTx_borel_measurable[measurable]:
  "ccdf (distr (𝔐 ⇂ alive x) borel (T x)) ∈ borel_measurable borel"
  by (rule borel_measurable_continuous_onI) simp

lemma ccdfTx_nondifferentiable_finite_set[simp]:
  "finite {t. ¬ ccdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t}"
proof -
  let ?P = "λt. ccdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t"
  have "{t. t < 0 ∧ ¬ ?P t} = {}"
  proof (rule equals0I)
    fix t assume asm: "t ∈ {t. t < 0 ∧ ¬ ?P t}"
    hence "?P t" using ccdfTx_has_real_derivative_0_at_neg real_differentiable_def x_lt_psi by blast
    with asm show False by simp
  qed
  hence "{t. ¬ ?P t} ⊆ insert 0 {t. t > 0 ∧ ¬ ?P t}" by force
  moreover have "finite {t. t > 0 ∧ ¬ ?P t}"
  proof -
    have "{t. ¬ ccdf (distr 𝔐 borel X) differentiable at (x+t)} =
      plus (-x) ` {s. ¬ ccdf (distr 𝔐 borel X) differentiable at s}"
      by force
    hence "finite {t. ¬ ccdf (distr 𝔐 borel X) differentiable at (x+t)}"
      using ccdfX_nondifferentiable_finite_set by simp
    thus ?thesis
      using finite_subset differentiable_ccdfX_ccdfTx
      by (metis (no_types, lifting) mem_Collect_eq subsetI x_lt_psi)
  qed
  ultimately show ?thesis using finite_subset by auto
qed

lemma ccdfTx_differentiable_open_set:
  "open {t. ccdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t}"
  using ccdfTx_nondifferentiable_finite_set finite_imp_closed
  by (metis (mono_tags, lifting) Collect_cong open_Collect_neg)

lemma ccdfTx_differentiable_borel_set[measurable, simp]:
  "{t. ccdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t} ∈ sets borel"
  using ccdfTx_differentiable_open_set by simp

lemma ccdfTx_differentiable_AE:
  "AE t in lborel. (ccdf (distr (𝔐 ⇂ alive x) borel (T x))) differentiable at t"
  apply (rule AE_I'[of "{t. ¬ ccdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t}"]; simp?)
  using ccdfTx_nondifferentiable_finite_set by (simp add: finite_imp_null_set_lborel)

lemma ccdfTx_piecewise_differentiable[simp]:
  "(ccdf (distr (𝔐 ⇂ alive x) borel (T x))) piecewise_differentiable_on UNIV"
proof -
  have "∀t∈UNIV-{t. ¬ ccdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t}.
    ccdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t"
    by auto
  thus ?thesis
    unfolding piecewise_differentiable_on_def
    using ccdfTx_continuous ccdfTx_nondifferentiable_finite_set by blast
qed

lemma deriv_ccdfTx_measurable[measurable]:
  "deriv (ccdf (distr (𝔐 ⇂ alive x) borel (T x))) ∈ borel_measurable borel"
proof -
  have "set_borel_measurable borel UNIV (deriv (ccdf (distr (𝔐 ⇂ alive x) borel (T x))))"
    by (rule piecewise_differentiable_on_deriv_measurable_real; simp)
  thus ?thesis unfolding set_borel_measurable_def by simp
qed

subsubsection ‹Properties of Cumulative Distributive Function for ‹T(x)››

lemma cdfTx_continuous[simp]:
  "continuous_on UNIV (cdf (distr (𝔐 ⇂ alive x) borel (T x)))"
  using distrTx_RD.cdf_ccdf ccdfTx_continuous by (simp add: continuous_on_eq_continuous_within)

corollary cdfTx_borel_measurable[measurable]:
  "cdf (distr (𝔐 ⇂ alive x) borel (T x)) ∈ borel_measurable borel"
  by (rule borel_measurable_continuous_onI) simp

lemma cdfTx_nondifferentiable_finite_set[simp]:
  "finite {t. ¬ cdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t}"
  using distrTx_RD.differentiable_cdf_ccdf by simp

lemma cdfTx_differentiable_open_set:
  "open {t. cdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t}"
  using distrTx_RD.differentiable_cdf_ccdf ccdfTx_differentiable_open_set by simp

lemma cdfTx_differentiable_borel_set[measurable, simp]:
  "{t. cdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t} ∈ sets borel"
  using cdfTx_differentiable_open_set by simp

lemma cdfTx_differentiable_AE:
  "AE t in lborel. (cdf (distr (𝔐 ⇂ alive x) borel (T x))) differentiable at t"
  by (rewrite distrTx_RD.differentiable_cdf_ccdf, simp add: ccdfTx_differentiable_AE)

lemma cdfTx_piecewise_differentiable[simp]:
  "(cdf (distr (𝔐 ⇂ alive x) borel (T x))) piecewise_differentiable_on UNIV"
  using piecewise_differentiable_diff piecewise_differentiable_const ccdfTx_piecewise_differentiable
  by (rewrite distrTx_RD.cdf_ccdf) blast

lemma deriv_cdfTx_measurable[measurable]:
  "deriv (cdf (distr (𝔐 ⇂ alive x) borel (T x))) ∈ borel_measurable borel"
proof -
  have "set_borel_measurable borel UNIV (deriv (cdf (distr (𝔐 ⇂ alive x) borel (T x))))"
    by (rule piecewise_differentiable_on_deriv_measurable_real; simp)
  thus ?thesis unfolding set_borel_measurable_def by simp
qed

subsubsection ‹Properties of Probability Density Function of ‹T(x)››

lemma pdfTx_nonneg: "pdfT x t ≥ 0" for t::real
proof -
  fix t
  show "pdfT x t ≥ 0"
  proof (cases ‹cdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t›)
    case True
    have "mono_on UNIV (cdf (distr (𝔐 ⇂ alive x) borel (T x)))"
      unfolding mono_on_def using distrTx_RD.cdf_nondecreasing by blast
    moreover have "(cdf (distr (𝔐 ⇂ alive x) borel (T x)) has_real_derivative pdfT x t) (at t)"
      unfolding pdfT_def using True DERIV_deriv_iff_real_differentiable by presburger
    ultimately show ?thesis by (rule mono_on_imp_deriv_nonneg) simp
  next
    case False
    thus ?thesis unfolding pdfT_def by simp
  qed
qed

lemma pdfTx_neg_0: "pdfT x t = 0" if "t < 0" for t::real
proof -
  let ?e = "-t/2"
  have "(cdf (distr (𝔐 ⇂ alive x) borel (T x)) has_real_derivative 0) (at t)"
    apply (rewrite DERIV_cong_ev[of t t _ "λ_. 0" 0 0], simp_all add: that)
    apply (rewrite eventually_nhds)
    apply (rule exI[of _ "ball t ?e"], auto simp add: that)
    by (rule cdfTx_nonpos_0; simp add: dist_real_def)
  thus ?thesis unfolding pdfT_def by (meson DERIV_imp_deriv)
qed

lemma pdfTx_0_0: "pdfT x 0 = 0"
proof (cases ‹cdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at 0›)
  case True
  let ?cdfx = "cdf (distr (𝔐 ⇂ alive x) borel (T x))"
  have "(?cdfx has_real_derivative 0) (at 0)"
  proof -
    from True obtain c where cdfx_deriv: "(?cdfx has_real_derivative c) (at 0)"
      unfolding differentiable_def using has_real_derivative by blast
    hence "(?cdfx has_real_derivative c) (at 0 within {..0})"
      by (rule has_field_derivative_at_within)
    moreover have "(?cdfx has_real_derivative 0) (at 0 within {..0})"
    proof -
      have "∀⇩F t in at 0 within {..0}. ?cdfx t = 0"
      proof -
        { fix t assume "t ∈ {..0::real}" "t ≠ 0" "dist t 0 < 1"
          hence "?cdfx t = 0" using cdfTx_nonpos_0 x_lt_psi by blast }
        hence "∃d>0::real. ∀t∈{..0}. t≠0 ∧ dist t 0 < d ⟶ ?cdfx t = 0" by (smt (verit))
        thus ?thesis by (rewrite eventually_at) simp
      qed
      moreover have "?cdfx 0 = 0"
      proof -
        have "continuous (at 0 within {..0}) ?cdfx"
          using True differentiable_imp_continuous_within differentiable_subset by blast
        thus ?thesis by (simp add: cdfTx_nonpos_0)
      qed
      ultimately show ?thesis
        by (rewrite has_field_derivative_cong_eventually[of _ "λ_. 0::real" 0 "{..0}" 0]; simp)
    qed
    ultimately have "c = 0"
      using has_real_derivative_iff_has_vector_derivative
      apply (intro vector_derivative_unique_within[of 0 "{..0}" ?cdfx c 0]; blast?)
      by (rewrite at_within_eq_bot_iff)
        (metis closure_lessThan islimpt_in_closure limpt_of_closure
          trivial_limit_at_left_real trivial_limit_within)
    thus "(?cdfx has_real_derivative 0) (at 0)" using cdfx_deriv by simp
  qed
  thus ?thesis unfolding pdfT_def by (meson DERIV_imp_deriv)
next
  case False
  thus ?thesis unfolding pdfT_def by simp
qed

lemma pdfTx_nonpos_0: "pdfT x t = 0" if "t ≤ 0" for t::real
  using pdfTx_neg_0 pdfTx_0_0 that by force

lemma pdfTx_beyond_0: "pdfT x t = 0" if "x+t ≥ $ψ" for t::real
proof (cases ‹t ≤ 0›)
  case True
  thus ?thesis using pdfTx_nonpos_0 by simp
next
  let ?cdfTx = "cdf (distr (𝔐 ⇂ alive x) borel (T x))"
  case False
  hence t_pos: "t > 0" by simp
  thus ?thesis
  proof -
    have "(?cdfTx has_real_derivative 0) (at_right t)"
      apply (rewrite has_field_derivative_cong_eventually[where g="λ_. 1"], simp_all)
       apply (rewrite eventually_at_right_field)
      using that cdfTx_1_equiv
      by (intro exI[of _"t+1"], auto simp add: le_ereal_less less_eq_ereal_def)
    thus ?thesis unfolding pdfT_def
      by (meson has_real_derivative_iff_has_vector_derivative has_vector_derivative_at_within
          DERIV_deriv_iff_real_differentiable trivial_limit_at_right_real
          vector_derivative_unique_within)
  qed
qed

lemma pdfTx_pdfX: "pdfT x t = pdfX (x+t) / 𝒫(ξ in 𝔐. X ξ > x)" if "t > 0" for t::real
proof (cases ‹cdf (distr 𝔐 borel X) differentiable at (x+t)›)
  case True
  let ?cdfX = "cdf (distr 𝔐 borel X)"
  let ?cdfTx = "cdf (distr (𝔐 ⇂ alive x) borel (T x))"
  have [simp]: "?cdfTx differentiable at t" using differentiable_cdfX_cdfTx that True by simp
  have "pdfT x t = deriv ?cdfTx t" unfolding pdfT_def using that differentiable_cdfX_cdfTx by simp
  hence "(?cdfTx has_field_derivative (pdfT x t)) (at t)"
    using True DERIV_deriv_iff_real_differentiable by simp
  moreover have "⋀u. dist u t < t ⟹
    ?cdfX (x+u) / 𝒫(ξ in 𝔐. X ξ > x) - (1 / 𝒫(ξ in 𝔐. X ξ > x) - 1) = ?cdfTx u"
  proof -
    fix u::real
    assume "dist u t < t"
    hence [simp]: "u > 0" using dist_real_def by fastforce
    have "?cdfX (x+u) / 𝒫(ξ in 𝔐. X ξ > x) - (1 / 𝒫(ξ in 𝔐. X ξ > x) - 1) = 
      (1 - 𝒫(ξ in 𝔐. X ξ > x+u)) / 𝒫(ξ in 𝔐. X ξ > x) - (1 / 𝒫(ξ in 𝔐. X ξ > x) - 1)"
      using MM_PS.ccdf_distr_P X_RV distrX_RD.cdf_ccdf distrX_RD.prob_space by presburger
    also have "… = 1 - 𝒫(ξ in 𝔐. X ξ > x+u) / 𝒫(ξ in 𝔐. X ξ > x)"
      by (simp add: diff_divide_distrib)
    also have "… = ?cdfTx u"
      apply (rewrite ccdfTx_PX[THEN sym], simp_all add: less_eq_real_def)
      using distrTx_RD.cdf_ccdf distrTx_RD.prob_space by presburger
    finally show "?cdfX (x+u) / 𝒫(ξ in 𝔐. X ξ > x) - (1 / 𝒫(ξ in 𝔐. X ξ > x) - 1) = ?cdfTx u" .
  qed
  ultimately have "((λu. ?cdfX (x+u) / 𝒫(ξ in 𝔐. X ξ > x) - (1 / 𝒫(ξ in 𝔐. X ξ > x) - 1))
    has_field_derivative (pdfT x t)) (at t)"
    apply -
    by (rule has_field_derivative_transform_within[where d=t]; simp add: that)
  hence "((λu. ?cdfX (x+u) / 𝒫(ξ in 𝔐. X ξ > x)) has_field_derivative (pdfT x t)) (at t)"
    unfolding has_field_derivative_def
    using has_derivative_add_const[where c="1 / 𝒫(ξ in 𝔐. X ξ > x) - 1"] by force
  hence "((λu. ?cdfX (x+u) / 𝒫(ξ in 𝔐. X ξ > x) * 𝒫(ξ in 𝔐. X ξ > x)) has_field_derivative
    pdfT x t * 𝒫(ξ in 𝔐. X ξ > x)) (at t)"
    using DERIV_cmult_right[where c="𝒫(ξ in 𝔐. X ξ > x)"] by force
  hence "((λu. ?cdfX (x+u)) has_field_derivative pdfT x t * 𝒫(ξ in 𝔐. X ξ > x)) (at t)"
    unfolding has_field_derivative_def using has_derivative_transform PXx_pos x_lt_psi
    by (smt (verit) Collect_cong UNIV_I nonzero_mult_div_cancel_right times_divide_eq_left)
  hence "(?cdfX has_field_derivative pdfT x t * 𝒫(ξ in 𝔐. X ξ > x)) (at (x+t))"
    using DERIV_at_within_shift by force
  moreover have "(?cdfX has_field_derivative deriv ?cdfX (x+t)) (at (x+t))"
    using True DERIV_deriv_iff_real_differentiable by blast
  ultimately have "pdfT x t * 𝒫(ξ in 𝔐. X ξ > x) = deriv ?cdfX (x+t)"
    by (simp add: DERIV_imp_deriv)
  thus "pdfT x t = pdfX (x+t) / 𝒫(ξ in 𝔐. X ξ > x)"
    unfolding pdfX_def using True
    by simp (metis PXx_pos nonzero_mult_div_cancel_right x_lt_psi zero_less_measure_iff)
next
  case False
  hence [simp]: "¬ cdf (distr (𝔐 ⇂ alive x) borel (T x)) differentiable at t"
    using differentiable_cdfX_cdfTx that by simp
  thus "pdfT x t = pdfX (x+t) / 𝒫(ξ in 𝔐. X ξ > x)" unfolding pdfT_def pdfX_def using False by simp
qed

lemma pdfTx_measurable[measurable]: "pdfT x ∈ borel_measurable borel"
proof -
  let ?cdfTx = "cdf (distr (𝔐 ⇂ alive x) borel (T x))"
  have "countable {x. ¬ ?cdfTx differentiable at x}"
    using cdfX_nondifferentiable_finite_set uncountable_infinite by force
  thus ?thesis
    unfolding pdfT_def
    apply -
    by (rule measurable_discrete_difference
        [where X="{x. ¬ ?cdfTx differentiable at x}" and f="deriv ?cdfTx"]; simp)
qed

lemma distributed_pdfTx: "distributed (𝔐 ⇂ alive x) lborel (T x) (pdfT x)"
proof -
  let ?cdfTx = "cdf (distr (𝔐 ⇂ alive x) borel (T x))"
  obtain S where fin: "finite S" and diff: "⋀t. t ∉ S ⟹ ?cdfTx differentiable at t"
    using cdfTx_piecewise_differentiable unfolding piecewise_differentiable_on_def by blast
  { fix t::real assume t_notin: "t ∉ S"
    have "?cdfTx differentiable at t" using diff t_notin by simp
    hence "(?cdfTx has_real_derivative pdfT x t) (at t)"
      unfolding pdfT_def using DERIV_deriv_iff_real_differentiable by force }
  thus ?thesis
    by (intro alivex_PS.distributed_deriv_cdf[where S=S]; simp add: fin)
qed

lemma nn_integral_pdfTx_1: "(∫⇧+s. pdfT x s ∂lborel) = 1"
proof -
  have "(∫⇧+s. pdfT x s ∂lborel) = emeasure (density lborel (pdfT x)) UNIV"
    by (rewrite emeasure_density) simp_all
  also have "… = emeasure (distr (𝔐 ⇂ alive x) lborel (T x)) UNIV"
    using distributed_pdfTx unfolding distributed_def by simp
  also have "… = 1"
    by (metis distrTx_RD.emeasure_space_1 distrTx_RD.space_eq_univ distr_cong sets_lborel)
  finally show ?thesis .
qed

corollary has_bochner_integral_pdfTx_1: "has_bochner_integral lborel (pdfT x) 1"
  by (rule has_bochner_integral_nn_integral; simp add: pdfTx_nonneg nn_integral_pdfTx_1)

corollary LBINT_pdfTx_1: "(LBINT s. pdfT x s) = 1"
  using has_bochner_integral_pdfTx_1 by (simp add: has_bochner_integral_integral_eq)

corollary pdfTx_has_integral_1: "(pdfT x has_integral 1) UNIV"
  by (rule nn_integral_has_integral; simp add: pdfTx_nonneg nn_integral_pdfTx_1)

lemma set_nn_integral_pdfTx_1: "(∫⇧+s∈{0..}. pdfT x s ∂lborel) = 1"
  apply (rewrite nn_integral_pdfTx_1[THEN sym])
  apply (rule nn_integral_cong)
  using pdfTx_nonpos_0
  by (metis atLeast_iff ennreal_0 indicator_simps(1) linorder_le_cases
      mult.commute mult_1 mult_zero_left)

corollary has_bochner_integral_pdfTx_1_nonpos:
  "has_bochner_integral lborel (λs. pdfT x s * indicator {0..} s) 1"
  apply (rule has_bochner_integral_nn_integral, simp_all)
  using pdfTx_nonneg apply simp
  using set_nn_integral_pdfTx_1 by (simp add: nn_integral_set_ennreal)

corollary set_LBINT_pdfTx_1: "(LBINT s:{0..}. pdfT x s) = 1"
  unfolding set_lebesgue_integral_def
  using has_bochner_integral_pdfTx_1_nonpos has_bochner_integral_integral_eq
  apply (simp, rewrite mult.commute)
  by (smt (verit) Bochner_Integration.integral_cong has_bochner_integral_integral_eq)

corollary pdfTx_has_integral_1_nonpos: "(pdfT x has_integral 1) {0..}"
proof -
  have "set_integrable lebesgue {0..} (pdfT x)"
    unfolding set_integrable_def
    apply (rewrite integrable_completion, simp_all)
    using has_bochner_integral_pdfTx_1_nonpos by (rewrite mult.commute, rule integrable.intros)
  moreover have "(LINT s:{0..}|lebesgue. pdfT x s) = 1"
    using set_LBINT_pdfTx_1 unfolding set_lebesgue_integral_def
    by (rewrite integral_completion; simp)
  ultimately show ?thesis using has_integral_set_lebesgue by force
qed

lemma set_nn_integral_pdfTx_PTx: "(∫⇧+s∈A. pdfT x s ∂lborel) = 𝒫(ξ in 𝔐. T x ξ ∈ A ¦ T x ξ > 0)"
  if "A ∈ sets lborel" for A :: "real set"
proof -
  have [simp]: "A ∈ sets borel" using that by simp
  have "(∫⇧+s∈A. pdfT x s ∂lborel) = emeasure (density lborel (pdfT x)) A"
    using that by (rewrite emeasure_density; force)
  also have "… = emeasure (distr (𝔐 ⇂ alive x) lborel (T x)) A"
    using distributed_pdfTx unfolding distributed_def by simp
  also have "… = ennreal 𝒫(ξ in (𝔐 ⇂ alive x). T x ξ ∈ A)"
    apply (rewrite emeasure_distr, simp_all)
    apply (rewrite finite_measure.emeasure_eq_measure, simp)
    by (smt (verit) Collect_cong vimage_eq Int_def)
  also have "… = ennreal 𝒫(ξ in 𝔐. T x ξ ∈ A ¦ T x ξ > 0)"
    unfolding alive_def
    apply (rewrite MM_PS.cond_prob_space_cond_prob[THEN sym], simp_all add: pred_def futr_life_def)
    using borel_measurable_diff X_RV that by measurable
  finally show ?thesis .
qed

lemma pdfTx_set_integrable: "set_integrable lborel A (pdfT x)" if "A ∈ sets lborel"
  unfolding set_integrable_def
  using that pdfTx_nonneg apply (intro integrableI_nonneg, simp_all)
  apply (rewrite mult.commute)
  using set_nn_integral_pdfTx_PTx that
  by (metis (no_types, lifting) ennreal_indicator ennreal_less_top ennreal_mult' nn_integral_cong)

lemma set_integral_pdfTx_PTx: "(LBINT s:A. pdfT x s) = 𝒫(ξ in 𝔐. T x ξ ∈ A ¦ T x ξ > 0)"
  if "A ∈ sets lborel" for A :: "real set"
  unfolding set_lebesgue_integral_def
  apply (rewrite integral_eq_nn_integral)
  using that apply (simp_all add: pdfTx_nonneg)
  apply (rewrite indicator_mult_ennreal[THEN sym], rewrite mult.commute)
  by (rewrite set_nn_integral_pdfTx_PTx; simp)

lemma pdfTx_has_integral_PTx: "(pdfT x has_integral 𝒫(ξ in 𝔐. T x ξ ∈ A ¦ T x ξ > 0)) A"
  if "A ∈ sets lborel" for A :: "real set"
proof -
  have "((λs. pdfT x s * indicat_real A s) has_integral 𝒫(ξ in 𝔐. T x ξ ∈ A ¦ T x ξ > 0)) UNIV"
    using that pdfTx_nonneg apply (intro nn_integral_has_integral, simp_all)
    using set_nn_integral_pdfTx_PTx that by (simp add: nn_integral_set_ennreal)
  thus ?thesis
    by (smt (verit) has_integral_cong has_integral_restrict_UNIV
        indicator_eq_0_iff indicator_simps(1) mult_cancel_left2 mult_eq_0_iff)
qed

corollary pdfTx_has_integral_PTx_Icc:
  "(pdfT x has_integral 𝒫(ξ in 𝔐. a ≤ T x ξ ∧ T x ξ ≤ b ¦ T x ξ > 0)) {a..b}" for a b :: real
  using pdfTx_has_integral_PTx[of "{a..b}"] by simp

corollary pdfTx_integrable_on_Icc: "pdfT x integrable_on {a..b}" for a b :: real
  using pdfTx_has_integral_PTx_Icc by auto

end

subsubsection ‹Properties of Probability Density Function of ‹X››

lemma pdfX_nonneg: "pdfX x ≥ 0" for x::real
  using pdfTx_nonneg pdfT0_X psi_pos' by smt

lemma pdfX_nonpos_0: "pdfX x = 0" if "x ≤ 0" for x::real
  using pdfTx_nonpos_0 pdfT0_X psi_pos' that by smt 

lemma pdfX_beyond_0: "pdfX x = 0" if "x ≥ $ψ" for x::real
  using pdfTx_beyond_0 pdfT0_X psi_pos' that by smt

lemma nn_integral_pdfX_1: "integral⇧N lborel pdfX = 1"
  using nn_integral_pdfTx_1 pdfT0_X psi_pos' by metis

corollary has_bochner_integral_pdfX_1: "has_bochner_integral lborel pdfX 1"
  by (rule has_bochner_integral_nn_integral; simp add: pdfX_nonneg nn_integral_pdfX_1)

corollary LBINT_pdfX_1: "(LBINT s. pdfX s) = 1"
  using has_bochner_integral_pdfX_1 by (simp add: has_bochner_integral_integral_eq)

corollary pdfX_has_integral_1: "(pdfX has_integral 1) UNIV"
  by (rule nn_integral_has_integral; simp add: pdfX_nonneg nn_integral_pdfX_1)

lemma set_nn_integral_pdfX_PX: "set_nn_integral lborel A pdfX = 𝒫(ξ in 𝔐. X ξ ∈ A)"
  if "A ∈ sets lborel" for A :: "real set"
  using PT0_eq_PX_lborel that
  by (rewrite pdfT0_X[THEN sym], rewrite set_nn_integral_pdfTx_PTx; simp)

lemma pdfX_set_integrable: "set_integrable lborel A pdfX" if "A ∈ sets lborel" for A :: "real set"
  using pdfTx_set_integrable pdfT0_X psi_pos' that by smt

lemma set_integral_pdfX_PX: "(LBINT s:A. pdfX s) = 𝒫(ξ in 𝔐. X ξ ∈ A)"
  if "A ∈ sets lborel" for A :: "real set"
  using PT0_eq_PX_lborel that by (rewrite pdfT0_X[THEN sym], rewrite set_integral_pdfTx_PTx; simp)

lemma pdfX_has_integral_PX: "(pdfX has_integral 𝒫(ξ in 𝔐. X ξ ∈ A)) A"
  if "A ∈ sets lborel" for A :: "real set"
  using that apply (rewrite pdfT0_X[THEN sym], rewrite PT0_eq_PX_lborel[THEN sym], simp)
  by (rule pdfTx_has_integral_PTx; simp)

corollary pdfX_has_integral_PX_Icc: "(pdfX has_integral 𝒫(ξ in 𝔐. a ≤ X ξ ∧ X ξ ≤ b)) {a..b}"
  for a b :: real
  using pdfX_has_integral_PX[of "{a..b}"] by simp

corollary pdfX_integrable_on_Icc: "pdfX integrable_on {a..b}" for a b :: real
  using pdfX_has_integral_PX_Icc by auto

subsubsection ‹Relations between Life Expectation and Probability Density Function›

context
  fixes x::real
  assumes x_lt_psi[simp]: "x < $ψ"
begin

interpretation alivex_PS: prob_space "𝔐 ⇂ alive x"
  by (rule MM_PS.cond_prob_space_correct; simp add: alive_def)

interpretation distrTx_RD: real_distribution "distr (𝔐 ⇂ alive x) borel (T x)" by simp

proposition nn_integral_T_pdfT:
  "(∫⇧+ξ. ennreal (g (T x ξ)) ∂(𝔐 ⇂ alive x)) = (∫⇧+s∈{0..}. ennreal (pdfT x s * g s) ∂lborel)"
  if "g ∈ borel_measurable lborel" for g :: "real ⇒ real"
proof -
  have "(∫⇧+ξ. ennreal (g (T x ξ)) ∂(𝔐 ⇂ alive x)) = ∫⇧+s. ennreal (pdfT x s) * ennreal (g s) ∂lborel"
  proof -
    have "distributed (𝔐 ⇂ alive x) lborel (T x) (λs. ennreal (pdfT x s))"
      by (intro distributed_pdfTx) simp
    moreover have "(λs. ennreal (g s)) ∈ borel_measurable borel" using that by measurable
    ultimately show ?thesis by (rewrite distributed_nn_integral; simp)
  qed
  also have "… = ∫⇧+s. ennreal (pdfT x s * g s) ∂lborel" using ennreal_mult' pdfTx_nonneg by force
  also have "… = (∫⇧+s∈{0..}. ennreal (pdfT x s * g s) ∂lborel)"
    apply (rule nn_integral_cong, simp)
    by (metis atLeast_iff ennreal_0 indicator_simps linorder_not_le mult_1 mult_commute_abs
        mult_zero_left pdfTx_neg_0 x_lt_psi)
  finally show ?thesis .
qed

lemma expectation_LBINT_pdfT_nonneg:
  "alivex_PS.expectation (λξ. g (T x ξ)) = (LBINT s:{0..}. pdfT x s * g s)"
  if "⋀s. s ≥ 0 ⟹ g s ≥ 0" "g ∈ borel_measurable lborel" for g :: "real ⇒ real"
  ― ‹Note that ‹0 = 0› holds when the integral diverges.›
  using that apply (rewrite integral_eq_nn_integral, simp)
   apply (rule AE_I2, metis alivex_Tx_pos less_imp_le)
  unfolding set_lebesgue_integral_def apply (rewrite integral_eq_nn_integral, simp_all)
   apply (rule AE_I2,
      metis indicator_pos_le pdfTx_nonpos_0 x_lt_psi zero_le_mult_iff zero_le_square pdfTx_nonneg)
  by (rewrite nn_integral_T_pdfT) (simp_all add: indicator_mult_ennreal mult.commute)

corollary expectation_integral_pdfT_nonneg:
  "alivex_PS.expectation (λξ. g (T x ξ)) = integral {0..} (λs. pdfT x s * g s)"
  if "⋀s. s ≥ 0 ⟹ g s ≥ 0" "g ∈ borel_measurable lborel" for g :: "real ⇒ real"
  ― ‹Note that ‹0 = 0› holds when the integral diverges.›
proof -
  have "alivex_PS.expectation (λξ. g (T x ξ)) = (LBINT s:{0..}. pdfT x s * g s)"
    using expectation_LBINT_pdfT_nonneg that by simp
  also have "… = integral {0..} (λs. pdfT x s * g s)"
    using that pdfTx_nonneg by (intro set_borel_integral_eq_integral_nonneg; simp)
  finally show ?thesis .
qed

proposition expectation_LBINT_pdfT:
  "alivex_PS.expectation (λξ. g (T x ξ)) = (LBINT s:{0..}. pdfT x s * g s)"
  if "set_integrable lborel {0..} (λs. pdfT x s * g s)" "g ∈ borel_measurable lborel"
  for g :: "real ⇒ real"
proof -
  have pg_fin: "(∫⇧+ξ. ennreal (g (T x ξ)) ∂(𝔐 ⇂ alive x)) ≠ ∞"
    using that apply (rewrite nn_integral_T_pdfT, simp)
    using that unfolding set_integrable_def apply (rewrite in asm real_integrable_def, simp)
    by (simp add: indicator_mult_ennreal mult.commute)
  moreover have mg_fin: "(∫⇧+ξ. ennreal (- g (T x ξ)) ∂(𝔐 ⇂ alive x)) ≠ ∞"
    using that apply (rewrite nn_integral_T_pdfT[of "λs. - g s"], simp)
    using that unfolding set_integrable_def apply (rewrite in asm real_integrable_def, simp)
    by (simp add: indicator_mult_ennreal mult.commute)
  ultimately have [simp]: "integrable (𝔐 ⇂ alive x) (λξ. g (T x ξ))"
    using that by (rewrite real_integrable_def; simp)
  have "(∫⇧+s∈{0..}. ennreal (pdfT x s * max 0 (g s)) ∂lborel) = 
    (∫⇧+s∈{0..}. ennreal (pdfT x s * g s) ∂lborel)"
    using SPMF.ennreal_max_0 ennreal_mult' pdfTx_nonneg x_lt_psi by presburger
  also have "… < ∞"
    using pg_fin nn_integral_T_pdfT that top.not_eq_extremum by auto
  finally have "(∫⇧+s∈{0..}. ennreal (pdfT x s * max 0 (g s)) ∂lborel) < ∞" .
  hence [simp]: "set_integrable lborel {0..} (λs. pdfT x s * max 0 (g s))"
    unfolding set_integrable_def using that apply (intro integrableI_nonneg, simp_all)
    using pdfTx_nonneg apply (intro AE_I2, force)
    by (metis (no_types, lifting) indicator_mult_ennreal mult.commute nn_integral_cong)
  have "(∫⇧+s∈{0..}. ennreal (pdfT x s * max 0 (- g s)) ∂lborel) =
    (∫⇧+s∈{0..}. ennreal (pdfT x s * - g s) ∂lborel)"
    using SPMF.ennreal_max_0 ennreal_mult' pdfTx_nonneg x_lt_psi by presburger
  also have "… < ∞"
    using mg_fin nn_integral_T_pdfT[of "λs. - g s"] that top.not_eq_extremum by force
  finally have "(∫⇧+s∈{0..}. ennreal (pdfT x s * max 0 (- g s)) ∂lborel) < ∞" .
  hence [simp]: "set_integrable lborel {0..} (λs. pdfT x s * max 0 (- g s))"
    unfolding set_integrable_def using that apply (intro integrableI_nonneg, simp_all)
    using pdfTx_nonneg apply (intro AE_I2, force)
    by (metis (no_types, lifting) indicator_mult_ennreal mult.commute nn_integral_cong)
  have "alivex_PS.expectation (λξ. g (T x ξ)) =
    alivex_PS.expectation (λξ. max 0 (g (T x ξ))) - alivex_PS.expectation (λξ. max 0 (- g (T x ξ)))"
    by (rewrite Bochner_Integration.integral_cong
        [where N="𝔐 ⇂ alive x" and g="λξ. max 0 (g (T x ξ)) - max 0 (- g (T x ξ))"]; simp)
  moreover have "alivex_PS.expectation (λξ. max 0 (g (T x ξ))) =
    (LBINT s:{0..}. pdfT x s * max 0 (g s))"
    using that by (rewrite expectation_LBINT_pdfT_nonneg[where g="λs. max 0 (g s)"]) simp_all
  moreover have "alivex_PS.expectation (λξ. max 0 (- g (T x ξ))) =
    (LBINT s:{0..}. pdfT x s * max 0 (- g s))"
    using that by (rewrite expectation_LBINT_pdfT_nonneg[where g="λs. max 0 (- g s)"]) simp_all
  ultimately have "alivex_PS.expectation (λξ. g (T x ξ)) =
    (LBINT s:{0..}. pdfT x s * max 0 (g s)) - (LBINT s:{0..}. pdfT x s *  max 0 (- g s))" by simp
  also have "… = (LBINT s:{0..}. (pdfT x s * max 0 (g s) - pdfT x s * max 0 (- g s)))"
    by (rewrite set_integral_diff; simp)
  also have "… = (LBINT s:{0..}. pdfT x s * (max 0 (g s) - max 0 (- g s)))"
    by (simp add: right_diff_distrib)
  also have "… = (LBINT s:{0..}. pdfT x s * g s)"
    using minus_max_eq_min
    by (metis (no_types, opaque_lifting) diff_zero max_def min_def minus_diff_eq)
  finally show ?thesis .
qed

corollary expectation_integral_pdfT:
  "alivex_PS.expectation (λξ. g (T x ξ)) = integral {0..} (λs. pdfT x s * g s)"
  if "(λs. pdfT x s * g s) absolutely_integrable_on {0..}" "g ∈ borel_measurable lborel"
  for g :: "real ⇒ real"
proof -
  have [simp]: "set_integrable lborel {0..} (λs. pdfT x s * g s)"
    using that by (rewrite absolutely_integrable_on_iff_set_integrable; simp)
  show ?thesis
    apply (rewrite set_borel_integral_eq_integral(2)[THEN sym], simp)
    using that by (rewrite expectation_LBINT_pdfT; simp)
qed

corollary e_LBINT_pdfT: "$e`∘_x = (LBINT s:{0..}. pdfT x s * s)"
  ― ‹Note that ‹0 = 0› holds when the life expectation diverges.›
  unfolding life_expect_def using expectation_LBINT_pdfT_nonneg by force

corollary e_integral_pdfT: "$e`∘_x = integral {0..} (λs. pdfT x s * s)"
  ― ‹Note that ‹0 = 0› holds when the life expectation diverges.›
  unfolding life_expect_def using expectation_integral_pdfT_nonneg by force

end

corollary e_LBINT_pdfX: "$e`∘_0 = (LBINT x:{0..}. pdfX x * x)"
  ― ‹Note that ‹0 = 0› holds when the life expectation diverges.›
  using e_LBINT_pdfT pdfT0_X psi_pos' by presburger

corollary e_integral_pdfX: "$e`∘_0 = integral {0..} (λx. pdfX x * x)"
  ― ‹Note that ‹0 = 0› holds when the life expectation diverges.›
  using e_integral_pdfT pdfT0_X psi_pos' by presburger

subsubsection ‹Introduction of Force of Mortality›

definition force_mortal :: "real ⇒ real" (‹$μ'__› [101] 200)
  where "$μ_x ≡ MM_PS.hazard_rate X x"

lemma mu_pdfX: "$μ_x = pdfX x / ccdf (distr 𝔐 borel X) x"
  if "(cdf (distr 𝔐 borel X)) differentiable at x" for x::real
  unfolding force_mortal_def pdfX_def
  by (rewrite MM_PS.hazard_rate_deriv_cdf, simp_all add: that)

lemma mu_unborn_0: "$μ_x = 0" if "x < 0" for x::real
  apply (rewrite mu_pdfX)
  using cdfX_has_real_derivative_0_unborn real_differentiable_def that apply blast
  using pdfX_nonpos_0 that by auto

lemma mu_beyond_0: "$μ_x = 0" if "x ≥ $ψ" for x::real
  ― ‹Note that division by ‹0› is defined as ‹0› in Isabelle/HOL.›
  unfolding force_mortal_def using MM_PS.hazard_rate_0_ccdf_0 ccdfX_0_equiv that by simp

lemma mu_nonneg_differentiable: "$μ_x ≥ 0"
  if "(cdf (distr 𝔐 borel X)) differentiable at x" for x::real
  apply (rewrite mu_pdfX, simp add: that)
  using pdfX_nonneg distrX_RD.ccdf_nonneg by simp

lemma mu_nonneg_AE: "AE x in lborel. $μ_x ≥ 0"
  using cdfX_differentiable_AE mu_nonneg_differentiable by auto

lemma mu_measurable[measurable]: "(λx. $μ_x) ∈ borel_measurable borel"
proof -
  obtain S where
    "finite S" and "⋀x. x ∉ S ⟹ (cdf (distr 𝔐 borel X)) differentiable at x"
    using cdfX_piecewise_differentiable unfolding piecewise_differentiable_on_def by blast
  thus ?thesis
    apply (rewrite measurable_discrete_difference
        [where f="λx. pdfX x / ccdf (distr 𝔐 borel X) x" and X=S], simp_all)
    by (simp_all add: MM_PS.ccdf_distr_measurable borel_measurable_divide countable_finite mu_pdfX)
qed

lemma mu_deriv_ccdf: "$μ_x = - deriv (ccdf (distr 𝔐 borel X)) x / ccdf (distr 𝔐 borel X) x"
  if "(ccdf (distr 𝔐 borel X)) differentiable at x" "x < $ψ" for x::real
  unfolding force_mortal_def
  by (rewrite MM_PS.hazard_rate_deriv_ccdf; simp add: that)

lemma mu_deriv_ln: "$μ_x = - deriv (λx. ln (ccdf (distr 𝔐 borel X) x)) x"
  if "(ccdf (distr 𝔐 borel X)) differentiable at x" "x < $ψ" for x::real
  unfolding force_mortal_def
  apply (rewrite MM_PS.hazard_rate_deriv_ln_ccdf, simp_all add: that)
  using ccdfX_0_equiv that by force

lemma p_exp_integral_mu: "$p_{t&x} = exp (- integral {x..x+t} (λy. $μ_y))"
  if "x ≥ 0" "t ≥ 0" "x+t < $ψ" for x t :: real
proof -
  have [simp]: "x < $ψ" using that by (simp add: ereal_less_le)
  have "$p_{t&x} = (ccdf (distr 𝔐 borel X) (x+t)) / (ccdf (distr 𝔐 borel X) x)"
    apply (rewrite p_PX, simp_all add: that)
    by (rewrite MM_PS.ccdf_distr_P, simp)+ simp
  also have "… = exp (- integral {x..x+t} (MM_PS.hazard_rate X))"
    apply (rule MM_PS.ccdf_exp_cumulative_hazard, simp_all add: that)
    using ccdfX_piecewise_differentiable piecewise_differentiable_on_subset apply blast
    using ccdfX_continuous continuous_on_subset apply blast
    using ccdfX_0_equiv that ereal_less_le linorder_not_le by force
  also have "… = exp (- integral {x..x+t} (λy. $μ_y))" unfolding force_mortal_def by simp
  finally show ?thesis .
qed

corollary ccdfX_exp_integral_mu: "ccdf (distr 𝔐 borel X) x = exp (- integral {0..x} (λy. $μ_y))"
  if "0 ≤ x ∧ x < $ψ" for x::real
  by (rewrite p_exp_integral_mu[where t=x and x=0, simplified, THEN sym]; simp add: that ccdfX_p)

subsubsection ‹Properties of Force of Mortality›

context
  fixes x::real
  assumes x_lt_psi[simp]: "x < $ψ"
begin

interpretation alivex_PS: prob_space "𝔐 ⇂ alive x"
  by (rule MM_PS.cond_prob_space_correct; simp add: alive_def)

interpretation distrTx_RD: real_distribution "distr (𝔐 ⇂ alive x) borel (T x)" by simp

lemma hazard_rate_Tx_mu: "alivex_PS.hazard_rate (T x) t = $μ_(x+t)"
  if "t ≥ 0" "x+t < $ψ" for t::real
proof -
  have [simp]: "𝒫(ξ in 𝔐. X ξ > x) > 0" by force
  moreover have [simp]: "𝒫(ξ in 𝔐. X ξ > x + t) > 0" using that by force
  moreover have [simp]: "{ξ ∈ space (𝔐 ⇂ alive x). X ξ > x + t} = {ξ ∈ space 𝔐. X ξ > x + t}"
    unfolding alive_def using that by (rewrite MM_PS.space_cond_prob_space, simp_all, force)
  hence [simp]: "{ξ ∈ space (𝔐 ⇂ alive x). X ξ > x + t} ∈ MM_PS.events" by simp
  ultimately have ⋆[simp]: "𝒫(ξ in (𝔐 ⇂ alive x). X ξ > x + t) > 0"
    unfolding alive_def
    apply (rewrite MM_PS.cond_prob_space_cond_prob[THEN sym], (simp_all add: pred_def)[3])
    unfolding cond_prob_def by (smt (verit) Collect_cong divide_pos_pos)
  have "alivex_PS.hazard_rate (T x) t =
    Lim (at_right 0) (λdt. 𝒫(ξ in (𝔐 ⇂ alive x). t < T x ξ ∧ T x ξ ≤ t + dt ¦ T x ξ > t) / dt)"
    unfolding alivex_PS.hazard_rate_def by simp
  also have "… = Lim (at_right 0)
    (λdt. 𝒫(ξ in (𝔐 ⇂ alive x). x + t < X ξ ∧ X ξ ≤ x + t + dt ¦ X ξ > x + t) / dt)"
    apply (rule Lim_cong, rule eventually_at_rightI[of 0 1], simp_all)
    unfolding futr_life_def cond_prob_def using Collect_cong by smt
  also have "… =
    Lim (at_right 0) (λdt. 𝒫(ξ in 𝔐. x + t < X ξ ∧ X ξ ≤ x + t + dt ¦ X ξ > x + t) / dt)"
  proof -
    have "⋀dt. 𝒫(ξ in (𝔐 ⇂ alive x). x + t < X ξ ∧ X ξ ≤ x + t + dt ¦ X ξ > x + t) =
      𝒫(ξ in 𝔐. x + t < X ξ ∧ X ξ ≤ x + t + dt ¦ X ξ > x + t)"
    proof -
      fix dt
      let ?rngX = "λξ. x + t < X ξ ∧ X ξ ≤ x + t + dt"
      have "𝒫(ξ in (𝔐 ⇂ alive x). ?rngX ξ ¦ X ξ > x + t) =
        𝒫(ξ in ((𝔐 ⇂ alive x) ⇂ {η ∈ space (𝔐 ⇂ alive x). X η > x + t}). ?rngX ξ)"
        using ⋆ by (rewrite alivex_PS.cond_prob_space_cond_prob) simp_all
      also have "… = 𝒫(ξ in (𝔐 ⇂ {η ∈ space 𝔐. X η > x + t}). ?rngX ξ)"
      proof -
        have "(𝔐 ⇂ alive x) ⇂ {η ∈ space (𝔐 ⇂ alive x). X η > x + t} =
          𝔐 ⇂ {η ∈ space (𝔐 ⇂ alive x). X η > x + t}"
          apply (rewrite MM_PS.cond_cond_prob_space, simp_all)
          unfolding alive_def using that by force
        also have "… = 𝔐 ⇂ {η ∈ space 𝔐. X η > x + t}" by simp
        finally have "(𝔐 ⇂ alive x) ⇂ {η ∈ space (𝔐 ⇂ alive x). X η > x + t} =
          𝔐 ⇂ {η ∈ space 𝔐. X η > x + t}" .
        thus ?thesis by simp
      qed
      also have "… = 𝒫(ξ in 𝔐. x + t < X ξ ∧ X ξ ≤ x + t + dt ¦ X ξ > x + t)"
        by (rewrite MM_PS.cond_prob_space_cond_prob, simp_all add: pred_def sets.sets_Collect_conj)
      finally show "𝒫(ξ in (𝔐 ⇂ alive x). ?rngX ξ ¦ X ξ > x + t) =
        𝒫(ξ in 𝔐. x + t < X ξ ∧ X ξ ≤ x + t + dt ¦ X ξ > x + t)" .
    qed
    thus ?thesis
      apply -
      by (rule Lim_cong, rule eventually_at_rightI[of 0 1]; simp)
  qed
  also have "… = $μ_(x+t)" unfolding force_mortal_def MM_PS.hazard_rate_def by simp
  finally show ?thesis .
qed

lemma pdfTx_p_mu: "pdfT x t = $p_{t&x} * $μ_(x+t)"
  if "(cdf (distr (𝔐 ⇂ alive x) borel (T x))) differentiable at t" "t > 0" for t::real
proof (cases ‹x+t < $ψ›)
  case True
  hence [simp]: "t ≥ 0" and "(ccdf (distr (𝔐 ⇂ alive x) borel (T x))) t ≠ 0" 
    using that p_0_equiv unfolding survive_def by auto
  have "deriv (cdf (distr (𝔐 ⇂ alive x) borel (T x))) t =
    ccdf (distr (𝔐 ⇂ alive x) borel (T x)) t * alivex_PS.hazard_rate (T x) t"
    by (rule alivex_PS.deriv_cdf_hazard_rate; simp add: that)
  thus ?thesis unfolding survive_def pdfT_def using hazard_rate_Tx_mu True that by simp
next
  case False
  hence "x+t ≥ $ψ" by simp
  thus ?thesis using pdfTx_beyond_0 mu_beyond_0 by simp
qed

lemma deriv_t_p_mu: "deriv (λs. $p_{s&x}) t = - $p_{t&x} * $μ_(x+t)"
  if "(λs. $p_{s&x}) differentiable at t" "t > 0" for t::real
proof -
  let ?cdfTx = "cdf (distr (𝔐 ⇂ alive x) borel (T x))"
  have diff: "?cdfTx differentiable at t"
    using that distrTx_RD.differentiable_cdf_ccdf unfolding survive_def by blast
  hence "deriv ?cdfTx t = $p_{t&x} * $μ_(x+t)" using that pdfTx_p_mu pdfT_def by simp
  moreover have "deriv ?cdfTx t = - deriv (λs. $p_{s&x}) t"
    using that diff distrTx_RD.deriv_cdf_ccdf unfolding survive_def by presburger
  ultimately show ?thesis by simp
qed

lemma pdfTx_p_mu_AE: "AE s in lborel. s > 0 ⟶ pdfT x s = $p_{s&x} * $μ_(x+s)"
proof -
  let ?cdfX = "cdf (distr 𝔐 borel X)"
  let ?cdfTx = "cdf (distr (𝔐 ⇂ alive x) borel (T x))"
  from cdfX_differentiable_AE obtain N
    where diff: "⋀r. r ∈ space lborel - N ⟹ ?cdfX differentiable at r"
      and null: "N ∈ null_sets lborel"
    using AE_E3 by blast
  let ?N' = "{s. x+s ∈ N}"
  have "?N' ∈ null_sets lborel"
    using null_sets_translation[of N "-x", simplified] null by (simp add: add.commute)
  moreover have "{s ∈ space lborel. ¬ (s > 0 ⟶ pdfT x s = $p_{s&x} * $μ_(x+s))} ⊆ ?N'"
  proof (rewrite Compl_subset_Compl_iff[THEN sym], safe)
    fix s::real
    assume "s ∈ space lborel" and "x+s ∉ N" and "s > 0"
    thus "pdfT x s = $p_{s&x} * $μ_(x+s)"
      apply (intro pdfTx_p_mu, simp_all)
      by (rewrite differentiable_cdfX_cdfTx[THEN sym]; simp add: diff)
  qed
  ultimately show ?thesis using AE_I'[of ?N'] by simp
qed

lemma LBINT_p_mu_q_defer: "(LBINT s:{f<..f+t}. $p_{s&x} * $μ_(x+s)) = $q_{f¦t&x}"
  if "t ≥ 0" "f ≥ 0" for t f :: real
proof -
  have "(LBINT s:{f<..f+t}. $p_{s&x} * $μ_(x+s)) = (LBINT s:{f<..f+t}. pdfT x s)"
    apply (rule set_lebesgue_integral_cong_AE; simp)
     apply (simp add: survive_def)
    using pdfTx_p_mu_AE apply (rule AE_mp)
    using that by (intro always_eventually; simp add: ereal_less_le)
  also have "… = enn2real (∫⇧+s∈{f<..f+t}. ennreal (pdfT x s) ∂lborel)"
  proof -
    have "(∫⇧+s∈{f<..f+t}. ennreal (pdfT x s) ∂lborel) < ⊤"
    proof -
      have "(∫⇧+s∈{f<..f+t}. ennreal (pdfT x s) ∂lborel) ≤ ∫⇧+s. ennreal (pdfT x s) ∂lborel"
        by (smt (verit) indicator_simps le_zero_eq linorder_le_cases
            mult.right_neutral mult_zero_right nn_integral_mono)
      also have "… < ⊤" using nn_integral_pdfTx_1 by simp
      finally show ?thesis .
    qed
    thus ?thesis
      unfolding set_lebesgue_integral_def
      by (rewrite enn2real_nn_integral_eq_integral[where g="λs. pdfT x s * indicator {f<..f+t} s"])
        (simp_all add: pdfTx_nonneg mult.commute ennreal_indicator ennreal_mult')
  qed
  also have "… = measure (density lborel (pdfT x)) {f<..f+t}"
    unfolding measure_def by (rewrite emeasure_density; simp)
  also have "… = measure (distr (𝔐 ⇂ alive x) lborel (T x)) {f<..f+t}"
    using distributed_pdfTx unfolding distributed_def by simp
  also have "… =
    cdf (distr (𝔐 ⇂ alive x) lborel (T x)) (f+t) - cdf (distr (𝔐 ⇂ alive x) lborel (T x)) f"
    using that finite_borel_measure.cdf_diff_eq2
    by (smt (verit) distrTx_RD.finite_borel_measure_axioms distr_cong sets_lborel)
  also have "… = $q_{f¦t&x}"
    using q_defer_q die_def that by (metis distr_cong sets_lborel x_lt_psi)
  finally show ?thesis .
qed

corollary LBINT_p_mu_q: "(LBINT s:{0<..t}. $p_{s&x} * $μ_(x+s)) = $q_{t&x}" if "t ≥ 0" for t::real
  using LBINT_p_mu_q_defer that by force

lemma set_integrable_p_mu: "set_integrable lborel {f<..f+t} (λs. $p_{s&x} * $μ_(x+s))"
  if "t ≥ 0" "f ≥ 0" for t f :: real
proof -
  have "(λs. $p_{s&x}) ∈ borel_measurable borel" unfolding survive_def by simp
  moreover have "AE s in lborel. f < s ∧ s ≤ f + t ⟶ $p_{s&x} * $μ_(x+s) = pdfT x s"
    using pdfTx_p_mu_AE apply (rule AE_mp)
    using that by (intro always_eventually; simp add: ereal_less_le)
  moreover have "set_integrable lborel {f<..f+t} (pdfT x)" using pdfTx_set_integrable by simp
  ultimately show ?thesis by (rewrite set_integrable_cong_AE[where g="pdfT x"]; simp)
qed

lemma p_mu_has_integral_q_defer_Ioc:
  "((λs. $p_{s&x} * $μ_(x+s)) has_integral $q_{f¦t&x}) {f<..f+t}"
  if "t ≥ 0" "f ≥ 0" for t f :: real
  apply (rewrite LBINT_p_mu_q_defer[THEN sym], simp_all add: that)
  apply (rewrite set_borel_integral_eq_integral, simp add: set_integrable_p_mu that)
  by (rewrite has_integral_integral[THEN sym];
      simp add: set_borel_integral_eq_integral set_integrable_p_mu that)

lemma p_mu_has_integral_q_defer_Icc:
  "((λs. $p_{s&x} * $μ_(x+s)) has_integral $q_{f¦t&x}) {f..f+t}" if "t ≥ 0" "f ≥ 0" for t f :: real
proof -
  have "negligible {f}" by simp
  hence [simp]: "negligible ({f..f+t} - {f<..f+t})"
    by (smt (verit) Diff_iff atLeastAtMost_iff greaterThanAtMost_iff insertI1
        negligible_sing negligible_subset subsetI)
  have [simp]: "negligible ({f<..f+t} - {f..f+t})" by (simp add: subset_eq)
  show ?thesis
    apply (rewrite has_integral_spike_set_eq[where T="{f<..f+t}"])
      apply (rule negligible_subset[of "{f..f+t} - {f<..f+t}"], simp, blast)
     apply (rule negligible_subset[of "{f<..f+t} - {f..f+t}"], simp, blast)
    using p_mu_has_integral_q_defer_Ioc that by simp
qed

corollary p_mu_has_integral_q_Icc:
  "((λs. $p_{s&x} * $μ_(x+s)) has_integral $q_{t&x}) {0..t}" if "t ≥ 0" for t::real
  using p_mu_has_integral_q_defer_Icc[where f=0] that by simp

corollary p_mu_integrable_on_Icc:
  "(λs. $p_{s&x} * $μ_(x+s)) integrable_on {0..t}" if "t ≥ 0" for t::real
  using p_mu_has_integral_q_Icc that by auto

lemma e_ennreal_p_mu: "(∫⇧+ξ. ennreal (T x ξ) ∂(𝔐 ⇂ alive x)) =
  (∫⇧+s∈{0..}. ennreal ($p_{s&x} * $μ_(x+s) * s) ∂lborel)"
proof -
  have [simp]: "sym_diff {0..} {0<..} = {0::real}" by force
  have "(∫⇧+ξ. ennreal (T x ξ) ∂(𝔐 ⇂ alive x)) = (∫⇧+s∈{0..}. ennreal (pdfT x s * s) ∂lborel)"
    by (rewrite nn_integral_T_pdfT[where g="λs. s"]; simp)
  also have "… = (∫⇧+s∈{0<..}. ennreal (pdfT x s * s) ∂lborel)"
    by (rewrite nn_integral_null_delta; force)
  also have "… = (∫⇧+s∈{0<..}. ennreal ($p_{s&x} * $μ_(x+s) * s) ∂lborel)"
    apply (rule nn_integral_cong_AE)
    using pdfTx_p_mu_AE apply (rule AE_mp, intro AE_I2) by force
  also have "… = (∫⇧+s∈{0..}. ennreal ($p_{s&x} * $μ_(x+s) * s) ∂lborel)"
    by (rewrite nn_integral_null_delta[THEN sym]; force)
  finally show ?thesis .
qed

lemma e_LBINT_p_mu: "$e`∘_x = (LBINT s:{0..}. $p_{s&x} * $μ_(x+s) * s)"
  ― ‹Note that ‹0 = 0› holds when the life expectation diverges.›
proof -
  let ?f = "λs. $p_{s&x} * $μ_(x+s) * s"
  have [simp]: "(λs. ?f s * indicat_real {0..} s) ∈ borel_measurable borel"
    by measurable (simp_all add: survive_def)
  hence [simp]: "(λs. indicat_real {0..} s * ?f s) ∈ borel_measurable borel"
    by (meson measurable_cong mult.commute)
  have [simp]: "AE s in lborel. ?f s * indicat_real {0..} s ≥ 0"
  proof -
    have "AE s in lborel. pdfT x s * s * indicat_real {0..} s ≥ 0"
      using pdfTx_nonneg pdfTx_nonpos_0 x_lt_psi
      by (intro AE_I2) (smt (verit, del_insts) indicator_pos_le mult_eq_0_iff mult_nonneg_nonneg)
    thus ?thesis
      apply (rule AE_mp)
      using pdfTx_p_mu_AE apply (rule AE_mp)
      by (rule AE_I2) (metis atLeast_iff indicator_simps(2) mult_eq_0_iff order_le_less)
  qed
  hence [simp]: "AE s in lborel. indicat_real {0..} s * ?f s ≥ 0"
    by (metis (no_types, lifting) AE_cong mult.commute)
  show ?thesis
  proof (cases ‹integrable (𝔐 ⇂ alive x) (T x)›)
    case True
    hence "ennreal ($e`∘_x) = ∫⇧+ξ. ennreal (T x ξ) ∂(𝔐 ⇂ alive x)"
      unfolding life_expect_def apply (rewrite nn_integral_eq_integral, simp_all)
      by (smt (verit) AE_I2 alivex_Tx_pos)
    also have "… = ∫⇧+s. ennreal (?f s * indicat_real {0..} s) ∂lborel"
      by (simp add: nn_integral_set_ennreal e_ennreal_p_mu)
    also have "… = ennreal (LBINT s:{0..}. ?f s)"
    proof -
      have "integrable lborel (λs. ?f s * indicat_real {0..} s)"
      proof -
        have "(∫⇧+s. ennreal (?f s * indicat_real {0..} s) ∂lborel) < ∞"
          by (metis calculation ennreal_less_top infinity_ennreal_def)
        thus ?thesis by (intro integrableI_nonneg; simp)
      qed
      thus ?thesis
        unfolding set_lebesgue_integral_def
        by (rewrite nn_integral_eq_integral, simp_all) (meson mult.commute)
    qed
    finally have "ennreal ($e`∘_x) = ennreal (LBINT s:{0..}. ?f s)" .
    moreover have "(LBINT s:{0..}. ?f s) ≥ 0"
      unfolding set_lebesgue_integral_def by (rule integral_nonneg_AE) simp
    ultimately show ?thesis using e_nonneg by simp
  next
    case False
    hence "$e`∘_x = 0" unfolding life_expect_def using not_integrable_integral_eq by force
    also have "… = (LBINT s:{0..}. ?f s)"
    proof -
      have "∞ = ∫⇧+ξ. ennreal (T x ξ) ∂(𝔐 ⇂ alive x)"
        using nn_integral_nonneg_infinite False
        by (smt (verit) AE_cong Tx_alivex_measurable alivex_PS.AE_prob_1 alivex_PS.prob_space
            alivex_Tx_pos nn_integral_cong)
      hence "0 = enn2real (∫⇧+s∈{0..}. ennreal (?f s) ∂lborel)" using e_ennreal_p_mu by simp
      also have "… = (LBINT s:{0..}. ?f s)"
        unfolding set_lebesgue_integral_def apply (rewrite integral_eq_nn_integral, simp_all)
        by (simp add: indicator_mult_ennreal mult.commute)
      finally show ?thesis by simp
    qed
    finally show ?thesis .
  qed
qed

lemma e_integral_p_mu: "$e`∘_x = integral {0..} (λs. $p_{s&x} * $μ_(x+s) * s)"
  ― ‹Note that ‹0 = 0› holds when the life expectation diverges.›
proof -
  have "(LBINT s:{0..}. $p_{s&x} * $μ_(x+s) * s) = integral {0..} (λs. $p_{s&x} * $μ_(x+s) * s)"
  proof -
    have "AE s in lborel. s ≥ 0 ⟶ $p_{s&x} * $μ_(x+s) * s ≥ 0"
    proof -
      have "AE s in lborel. $μ_(x+s) ≥ 0" by (rule AE_translation, rule mu_nonneg_AE)
      with p_nonneg show ?thesis by force
    qed
    moreover have "(λs. $p_{s&x} * $μ_(x+s) * s) ∈ borel_measurable borel"
      unfolding survive_def by simp
    ultimately show ?thesis by (intro set_borel_integral_eq_integral_nonneg_AE; simp)
  qed
  thus ?thesis using e_LBINT_p_mu by simp
qed

end

lemma p_has_real_derivative_x_ccdfX:
  "((λy. $p_{t&y}) has_real_derivative
    ((deriv svl (x+t) * svl x - svl (x+t) * deriv svl x) / (svl x)⇧2)) (at x)"
  if "svl ≡ ccdf (distr 𝔐 borel X)" "svl differentiable at x" "svl differentiable at (x+t)"
    "t ≥ 0" "x < $ψ" for x t :: real
proof -
  have "open {y. svl differentiable at y}" using ccdfX_differentiable_open_set that by simp
  with that obtain e0 where e0_pos: "e0 > 0" and ball_e0: "ball x e0 ⊆ {y. svl differentiable at y}"
    using open_contains_ball by blast
  define e where "e ≡ if $ψ < ∞ then min e0 (real_of_ereal $ψ - x) else e0"
  have "e > 0 ∧ ball x e ⊆ {y. svl y ≠ 0 ∧ svl differentiable at y}"
  proof (cases ‹$ψ < ∞›)
    case True
    hence "e > 0"
    proof -
      have "real_of_ereal $ψ - x > 0" using not_inftyI True that by force
      with e0_pos show ?thesis unfolding e_def using True by simp
    qed
    moreover have "ball x e ⊆ {y. svl y ≠ 0}"
    proof -
      have "e ≤ real_of_ereal $ψ - x" unfolding e_def using True by simp
      hence "ball x e ⊆ {..< real_of_ereal $ψ}" unfolding ball_def dist_real_def by force
      thus ?thesis using that ccdfX_0_equiv
        using True ereal_less_real_iff psi_nonneg by auto
    qed
    moreover have "ball x e ⊆ {y. svl differentiable at y}"
    proof -
      have "e ≤ e0" unfolding e_def using True by simp
      hence "ball x e ⊆ ball x e0" by force
      with ball_e0 show ?thesis by simp
    qed
    ultimately show ?thesis by blast
  next
    case False
    hence "ball x e ⊆ {y. svl y ≠ 0}" using ccdfX_0_equiv that by simp
    with False show ?thesis unfolding e_def using e0_pos ball_e0 by force
  qed
  hence e_pos: "e > 0" and ball_e: "ball x e ⊆ {y. svl y ≠ 0 ∧ svl differentiable at y}" by auto
  hence ball_svl: "⋀y. y ∈ ball x e ⟹ svl y ≠ 0 ∧ svl field_differentiable at y"
    using differentiable_eq_field_differentiable_real by blast
  hence "⋀y. y ∈ ball x e ⟹ $p_{t&y} = svl (y+t) / svl y"
    unfolding survive_def using that ccdfX_0_equiv by (rewrite ccdfTx_ccdfX, simp_all) force
  moreover from ball_svl have "((λy. svl (y+t) / svl y) has_real_derivative
    ((deriv svl (x+t) * svl x - svl (x+t) * deriv svl x) / (svl x)⇧2)) (at x)"
    apply (rewrite power2_eq_square)
    apply (rule DERIV_divide)
    using DERIV_deriv_iff_real_differentiable DERIV_shift that apply blast
    using that DERIV_deriv_iff_real_differentiable apply simp
    by (simp add: e_pos)
  ultimately show ?thesis
    using e_pos
    apply (rewrite has_field_derivative_cong_eventually[where g="λy. svl (y+t) / svl y"], simp_all)
    by (smt (verit) dist_commute eventually_at)
qed

lemma p_has_real_derivative_x_p_mu:
  "((λy. $p_{t&y}) has_real_derivative $p_{t&x} * ($μ_x - $μ_(x+t))) (at x)"
  if "ccdf (distr 𝔐 borel X) differentiable at x" "ccdf (distr 𝔐 borel X) differentiable at (x+t)"
    "t ≥ 0" "x < $ψ" for x t :: real
proof (cases ‹x+t < $ψ›)
  case True
  let ?svl = "ccdf (distr 𝔐 borel X)"
  have [simp]: "?svl x ≠ 0" using that ccdfX_0_equiv by (smt (verit) le_ereal_le linorder_not_le)
  have [simp]: "?svl field_differentiable at (x+t)"
    using that differentiable_eq_field_differentiable_real by simp
  have "((λy. $p_{t&y}) has_real_derivative
    ((deriv ?svl (x+t) * ?svl x - ?svl (x+t) * deriv ?svl x) / (?svl x)⇧2)) (at x)"
    using p_has_real_derivative_x_ccdfX that by simp
  moreover have "(deriv ?svl (x+t) * ?svl x - ?svl (x+t) * deriv ?svl x) / (?svl x)⇧2 =
    $p_{t&x} * ($μ_x - $μ_(x+t))" (is "?LHS = ?RHS")
  proof -
    have "deriv ?svl (x+t) = deriv (λy. ?svl (y+t)) x"
      using that by (metis DERIV_deriv_iff_real_differentiable DERIV_imp_deriv DERIV_shift)
    hence "?LHS = (deriv (λy. ?svl (y+t)) x * ?svl x - ?svl (x+t) * deriv ?svl x) / (?svl x)⇧2"
      by simp
    also have "… = (deriv (λy. ?svl (y+t)) x - ?svl (x+t) * deriv ?svl x / ?svl x) / ?svl x"
      by (simp add: add_divide_eq_if_simps(4) power2_eq_square)
    also have "… = (- ?svl (x+t) * $μ_(x+t) + ?svl (x+t) * $μ_x) / ?svl x"
    proof -
      have "deriv (λy. ?svl (y+t)) x = - ?svl (x+t) * $μ_(x+t)"
        apply (rewrite add.commute, rewrite deriv_shift[THEN sym], rewrite add.commute, simp)
        using add.commute that by (metis MM_PS.deriv_ccdf_hazard_rate X_RV force_mortal_def)
      moreover have "- ?svl (x+t) * deriv ?svl x / ?svl x = ?svl (x+t) * $μ_x"
        using that by (simp add: MM_PS.deriv_ccdf_hazard_rate force_mortal_def)
      ultimately show ?thesis by simp
    qed
    also have "… = ?svl (x+t) * ($μ_x - $μ_(x+t)) / ?svl x" by (simp add: mult_diff_mult)
    also have "… = ?RHS" unfolding survive_def using ccdfTx_ccdfX that by simp
    ultimately show ?thesis by simp
  qed
  ultimately show ?thesis by simp
next
  case False
  hence ptx_0: "$p_{t&x} = 0" using p_0_equiv that by simp
  moreover have "((λy. $p_{t&y}) has_real_derivative 0) (at x)"
  proof -
    have "⋀y. x < y ⟹ y < $ψ ⟹ $p_{t&y} = 0"
      using False p_0_equiv that by (smt (verit, ccfv_SIG) ereal_less_le linorder_not_le)
    hence "∀⇩F x in at_right x. $p_{t&x} = 0"
      apply (rewrite eventually_at_right_field)
      using that by (meson ereal_dense2 ereal_le_less less_eq_ereal_def less_ereal.simps)
    hence "((λy. $p_{t&y}) has_real_derivative 0) (at_right x)"
      using ptx_0 by (rewrite has_field_derivative_cong_eventually[where g="λ_. 0"]; simp)
    thus ?thesis
      using vector_derivative_unique_within p_has_real_derivative_x_ccdfX that
      by (metis has_field_derivative_at_within has_real_derivative_iff_has_vector_derivative
          trivial_limit_at_right_real)
  qed
  ultimately show ?thesis by simp
qed

corollary deriv_x_p_mu: "deriv (λy. $p_{t&y}) x = $p_{t&x} * ($μ_x - $μ_(x+t))"
  if "ccdf (distr 𝔐 borel X) differentiable at x" "ccdf (distr 𝔐 borel X) differentiable at (x+t)"
    "t ≥ 0" "x < $ψ" for x t :: real
  using that p_has_real_derivative_x_p_mu DERIV_imp_deriv by blast

lemma e_has_derivative_mu_e: "((λx. $e`∘_x) has_real_derivative ($μ_x * $e`∘_x - 1)) (at x)"
  if "⋀x. x∈{a<..<b} ⟹ set_integrable lborel {x..} (ccdf (distr 𝔐 borel X))"
    "ccdf (distr 𝔐 borel X) differentiable at x" "x∈{a<..<b}" "b ≤ $ψ"
  for a b x :: real
proof -
  let ?svl = "ccdf (distr 𝔐 borel X)"
  have x_lt_psi[simp]: "x < $ψ" using that ereal_le_less by simp
  hence svlx_neq0[simp]: "?svl x ≠ 0" by (simp add: ccdfX_0_equiv linorder_not_le)
  define d ::real where "d ≡ min (b-x) (x-a)"
  have d_pos: "d > 0" unfolding d_def using that ereal_less_real_iff by force
  have e_svl: "⋀y. y < $ψ ⟹ $e`∘_y = (LBINT t:{0..}. ?svl (y+t)) / ?svl y"
    apply (rewrite e_LBINT_p, simp)
    apply (rewrite set_integral_divide_zero[THEN sym])
    apply (rule set_lebesgue_integral_cong, simp_all)
    unfolding survive_def using ccdfTx_ccdfX by force
  have "((λy. LBINT t:{0..}. ?svl (y+t)) has_real_derivative (- ?svl x)) (at x)"
  proof -
    { fix y assume "dist y x < d"
      hence y_ab: "y ∈ {a<..<b}" unfolding d_def dist_real_def by force
      hence "set_integrable lborel {y..} ?svl" using that by simp
      hence "set_integrable lborel (einterval y ∞) ?svl"
        by (rewrite set_integrable_discrete_difference[where X="{y}"]; simp) force
      moreover have "⋀u. ((λu. u-y) has_real_derivative (1-0)) (at u)"
        by (rule derivative_intros) auto
      moreover have "⋀u. y < u ⟹ isCont (λt. ?svl (y+t)) (u-y)"
        apply (rewrite add.commute, rewrite isCont_shift, simp)
        using ccdfX_continuous continuous_on_eq_continuous_within by blast
      moreover have "((ereal ∘ (λu. u-y) ∘ real_of_ereal) ⤏ 0) (at_right (ereal y))"
        by (smt (verit, ccfv_SIG) LIM_zero Lim_cong_within ereal_tendsto_simps1(2)
            ereal_tendsto_simps2(1) tendsto_ident_at zero_ereal_def)
      moreover have "((ereal ∘ (λu. u-y) ∘ real_of_ereal) ⤏ ∞) (at_left ∞)"
      proof -
        have "⋀r u. r+y+1 ≤ u ⟹ r < u-y" by auto
        hence "⋀r. ∀⇩F u in at_top. r < u - y" by (rule eventually_at_top_linorderI)
        thus ?thesis by (rewrite ereal_tendsto_simps, rewrite tendsto_PInfty) simp
      qed
      ultimately have "(LBINT t=0..∞. ?svl (y+t)) = (LBINT u=y..∞. ?svl (y+(u-y)) * 1)"
        using distrX_RD.ccdf_nonneg by (intro interval_integral_substitution_nonneg(2); simp)
      moreover have "(LBINT t:{0..}. ?svl (y+t)) = (LBINT t=0..∞. ?svl (y+t))"
        unfolding interval_lebesgue_integral_def einterval_def apply simp
        by (rule set_integral_discrete_difference[where X="{0}"]; force)
      moreover have "(LBINT u=y..∞. ?svl (y+(u-y))*1) = (LBINT u:{y..}. ?svl u)"
        unfolding interval_lebesgue_integral_def einterval_def apply simp
        by (rule set_integral_discrete_difference[where X="{y}"]; force)
      ultimately have "(LBINT t:{0..}. ?svl (y+t)) = (LBINT u:{y..}. ?svl u)" by simp }
    hence "∀⇩F y in nhds x. (LBINT t:{0..}. ?svl (y+t)) = (LBINT u:{y..}. ?svl u)"
      using d_pos by (rewrite eventually_nhds_metric) auto
    moreover have "((λy. LBINT u:{y..}. ?svl u) has_real_derivative (- ?svl x)) (at x)"
    proof -
      have "((λy. integral {y..b} ?svl) has_real_derivative (- ?svl x)) (at x within {a..b})"
        using that apply (intro integral_has_real_derivative'; simp)
        using ccdfX_continuous continuous_on_subset by blast
      hence "((λy. integral {y..b} ?svl) has_real_derivative (- ?svl x)) (at x)"
        using that apply (rewrite at_within_open[where S="{a<..<b}", THEN sym], simp_all)
        by (rule DERIV_subset[where s="{a..b}"]) auto
      moreover have "∀⇩F y in nhds x. (LBINT u:{y..b}. ?svl u) = integral {y..b} ?svl"
        apply (rewrite eventually_nhds_metric)
        using d_pos by (metis ccdfX_integrable_Icc set_borel_integral_eq_integral(2))
      ultimately have "((λy. LBINT u:{y..b}. ?svl u) has_real_derivative (- ?svl x)) (at x)"
        by (rewrite DERIV_cong_ev; simp)
      hence "((λy. (LBINT u:{y..b}. ?svl u) + (LBINT u:{b<..}. ?svl u)) has_real_derivative
        (- ?svl x)) (at x)"
        by (rewrite to "- ?svl x + 0" add_0_right[THEN sym], rule DERIV_add; simp)
      moreover have "∀⇩F y in nhds x.
        (LBINT u:{y..}. ?svl u) = (LBINT u:{y..b}. ?svl u) + (LBINT u:{b<..}. ?svl u)"
      proof -
        { fix y assume "dist y x < d"
          hence y_ab: "y ∈ {a<..<b}" unfolding d_def dist_real_def by force
          hence "set_integrable lborel {y..} ?svl" using that by simp
          hence "set_integrable lborel {y..b} ?svl" "set_integrable lborel {b<..} ?svl"
            apply (rule set_integrable_subset, simp_all)+
            using y_ab by force
          moreover have "{y..b} ∩ {b<..} = {}" "{y..} = {y..b} ∪ {b<..}" using y_ab by force+
          ultimately have
            "(LBINT u:{y..}. ?svl u) = (LBINT u:{y..b}. ?svl u) + (LBINT u:{b<..}. ?svl u)"
            using set_integral_Un by simp }
        thus ?thesis using d_pos by (rewrite eventually_nhds_metric) blast
      qed
      ultimately show ?thesis by (rewrite has_field_derivative_cong_ev; simp)
    qed
    ultimately show ?thesis by (rewrite DERIV_cong_ev; simp)
  qed
  moreover have "(?svl has_real_derivative (deriv ?svl x)) (at x)"
    using that DERIV_deriv_iff_real_differentiable by blast
  ultimately have "((λy. (LBINT t:{0..}. ?svl (y+t)) / ?svl y) has_real_derivative
    ((- ?svl x) * ?svl x - (LBINT t:{0..}. ?svl (x+t)) * deriv ?svl x) / (?svl x * ?svl x)) (at x)"
    by (rule DERIV_divide) simp
  moreover have "eventually (λy. (LBINT t:{0..}. ?svl (y+t)) / ?svl y = $e`∘_y) (at x)"
  proof -
    { fix y assume "dist y x < d" "y ≠ x"
      hence "y < $ψ"
        unfolding dist_real_def d_def using that ereal_le_less by fastforce
      hence "$e`∘_y = (LBINT t:{0..}. ?svl (y+t)) / ?svl y" by (rule e_svl) }
    thus ?thesis
      apply (rewrite eventually_at_filter, rewrite eventually_nhds_metric)
      using d_pos that by metis
  qed
  ultimately have "((λy. $e`∘_y) has_real_derivative
    ((- ?svl x) * ?svl x - (LBINT t:{0..}. ?svl (x+t)) * deriv ?svl x) / (?svl x * ?svl x)) (at x)"
    using e_svl by (rewrite has_field_derivative_cong_eventually[THEN sym]; simp)
  moreover have
    "((- ?svl x) * ?svl x - (LBINT t:{0..}. ?svl (x+t)) * deriv ?svl x) / (?svl x * ?svl x) =
      $μ_x * $e`∘_x - 1" (is "?LHS = ?RHS")
  proof -
    have "?LHS = -1 + (LBINT t:{0..}. ?svl (x+t)) / ?svl x * (- deriv ?svl x / ?svl x)"
      by simp (smt (verit) svlx_neq0 add_divide_distrib divide_eq_minus_1_iff
          mult_minus_left real_divide_square_eq)
    also have "… = -1 + $e`∘_x * $μ_x" using e_svl mu_deriv_ccdf that by force
    also have "… = ?RHS" by simp
    finally show ?thesis .
  qed
  ultimately show ?thesis by simp
qed

corollary e_has_derivative_mu_e': "((λx. $e`∘_x) has_real_derivative ($μ_x * $e`∘_x - 1)) (at x)"
  if "⋀x. x∈{a<..<b} ⟹ ccdf (distr 𝔐 borel X) integrable_on {x..}"
    "ccdf (distr 𝔐 borel X) differentiable at x" "x∈{a<..<b}" "b ≤ $ψ"
  for a b x :: real
  using that apply (intro e_has_derivative_mu_e[where a=a], simp_all)
  using distrX_RD.ccdf_nonneg by (rewrite integrable_on_iff_set_integrable_nonneg; simp)

subsubsection ‹Properties of Curtate Life Expectation›

context
  fixes x::real
  assumes x_lt_psi[simp]: "x < $ψ"
begin

lemma isCont_p_nat: "isCont (λt. $p_{t&x}) (k + (1::real))" for k::nat
proof -
  fix k::nat
  have "continuous_on {0<..} (λt. $p_{t&x})"
    unfolding survive_def
    using ccdfTx_continuous_on_nonneg continuous_on_subset Ioi_le_Ico x_lt_psi by blast
  hence "∀t∈{0<..}. isCont (λt. $p_{t&x}) t"
    using continuous_on_eq_continuous_at open_greaterThan by blast
  thus "isCont (λt. $p_{t&x}) (real k+1)" by force
qed

lemma curt_e_sum_p_smooth: "$e_x = (∑k. $p_{k+1&x})" if "summable (λk. $p_{k+1&x})"
  using curt_e_sum_p isCont_p_nat that by simp

lemma curt_e_rec_smooth: "$e_x = $p_x * (1 + $e_(x+1))" if "summable (λk. $p_{k+1&x})" "x+1 < $ψ"
  using curt_e_rec isCont_p_nat that by simp

lemma curt_e_sum_p_finite_smooth: "$e_x = (∑k<n. $p_{k+1&x})" if "x+n+1 > $ψ" for n::nat
  using curt_e_sum_p_finite isCont_p_nat that by simp

lemma temp_curt_e_sum_p_smooth: "$e_{x:n} = (∑k<n. $p_{k+1&x})" for n::nat
  using temp_curt_e_sum_p isCont_p_nat by simp

lemma temp_curt_e_rec_smooth: "$e_{x:n} = $p_x * (1 + $e_{x+1:n-1})"
  if "x+1 < $ψ" "n ≠ 0" for n::nat
  using temp_curt_e_rec isCont_p_nat that by simp

end

end

subsection ‹Limited Survival Function›

locale limited_survival_function = survival_model +
  assumes psi_limited[simp]: "$ψ < ∞"
begin

definition ult_age :: nat (‹$ω›)
  where "$ω ≡ LEAST x::nat. ccdf (distr 𝔐 borel X) x = 0"
    ― ‹the conventional notation for ultimate age›

lemma ccdfX_ceil_psi_0: "ccdf (distr 𝔐 borel X) ⌈real_of_ereal $ψ⌉ = 0"
proof -
  have "real_of_ereal $ψ ≤ ⌈real_of_ereal $ψ⌉" by simp
  thus ?thesis using ccdfX_0_equiv psi_limited ccdfX_psi_0 le_ereal_le by presburger
qed

lemma ccdfX_omega_0: "ccdf (distr 𝔐 borel X) $ω = 0"
  unfolding ult_age_def
proof (rule LeastI_ex)
  have "⌈real_of_ereal $ψ⌉ ≥ 0" using psi_nonneg real_of_ereal_pos by fastforce
  thus "∃x::nat. ccdf (distr 𝔐 borel X) (real x) = 0"
    using ccdfX_ceil_psi_0 by (metis of_int_of_nat_eq zero_le_imp_eq_int)
qed

corollary psi_le_omega: "$ψ ≤ $ω"
  using ccdfX_0_equiv ccdfX_omega_0 by blast

corollary omega_pos: "$ω > 0"
  using psi_le_omega order.strict_iff_not by fastforce

lemma omega_ceil_psi: "$ω = ⌈real_of_ereal $ψ⌉"
proof (rule antisym)
  let ?cpsi = "⌈real_of_ereal $ψ⌉"
  have ⋆: "?cpsi ≥ 0" using psi_nonneg real_of_ereal_pos by fastforce
  moreover have "ccdf (distr 𝔐 borel X) ?cpsi = 0" by (rule ccdfX_ceil_psi_0)
  ultimately have "$ω ≤ nat ?cpsi"
    unfolding ult_age_def using wellorder_Least_lemma of_nat_nat by smt
  thus "int $ω ≤ ?cpsi" using le_nat_iff ⋆ by blast
next
  show "⌈real_of_ereal $ψ⌉ ≤ int $ω"
    using psi_le_omega by (simp add: ceiling_le_iff real_of_ereal_ord_simps(2))
qed

lemma ccdfX_0_equiv_nat: "ccdf (distr 𝔐 borel X) x = 0 ⟷ x ≥ $ω" for x::nat
proof
  assume "ccdf (distr 𝔐 borel X) (real x) = 0"
  thus "x ≥ $ω" unfolding ult_age_def using wellorder_Least_lemma by fastforce
next
  assume "x ≥ $ω"
  hence "ereal (real x) ≥ $ψ" using psi_le_omega le_ereal_le of_nat_mono by blast
  thus "ccdf (distr 𝔐 borel X) (real x) = 0" using ccdfX_0_equiv by simp
qed

lemma psi_le_iff_omega_le: "$ψ ≤ x ⟷ $ω ≤ x" for x::nat
  using ccdfX_0_equiv ccdfX_0_equiv_nat by presburger

context 
  fixes x::nat
  assumes x_lt_omega[simp]: "x < $ω"
begin

lemma x_lt_psi[simp]: "x < $ψ"
  using x_lt_omega psi_le_iff_omega_le by (meson linorder_not_less)

lemma p_0_1_nat: "$p_{0&x} = 1"
  using p_0_1 by simp

lemma p_0_equiv_nat: "$p_{t&x} = 0 ⟷ x+t ≥ $ω" for t::nat
  using psi_le_iff_omega_le p_0_equiv by (metis of_nat_add x_lt_psi)

lemma q_0_0_nat: "$q_{0&x} = 0"
  using p_q_1 p_0_1_nat by (smt (verit) x_lt_psi)

lemma q_1_equiv_nat: "$q_{t&x} = 1 ⟷ x+t ≥ $ω" for t::nat
  using p_q_1 p_0_equiv_nat by (smt (verit) x_lt_psi)

lemma q_defer_old_0_nat: "$q_{f¦t&x} = 0" if "$ω ≤ x+f" for f t :: nat
  using q_defer_old_0 psi_le_iff_omega_le that by (metis of_nat_0_le_iff of_nat_add x_lt_psi)

lemma curt_e_sum_P_finite_nat: "$e_x = (∑k<n. 𝒫(ξ in 𝔐. T x ξ ≥ k + 1 ¦ T x ξ > 0))"
  if "x+n ≥ $ω" for n::nat
  apply (rule curt_e_sum_P_finite, simp)
  using that psi_le_iff_omega_le by (smt (verit) le_ereal_less of_nat_add)

lemma curt_e_sum_p_finite_nat: "$e_x = (∑k<n. $p_{k+1&x})"
  if "⋀k::nat. k < n ⟹ isCont (λt. $p_{t&x}) (real k + 1)" "x+n ≥ $ω" for n::nat
  apply (rule curt_e_sum_p_finite, simp_all add: that)
  using that psi_le_iff_omega_le by (smt (verit) le_ereal_less of_nat_add)

end

lemma q_omega_1: "$q_($ω-1) = 1"
  using q_1_equiv_nat
  by (metis diff_less dual_order.refl le_diff_conv of_nat_1 omega_pos zero_less_one)

end

end