TFA 37 (1979-1981) 63-69

63

WOOLHOUSE’S FORMULA IN RELATION

TO PIECEWISE POLYNOMIAL FUNCTIONS

by
J. J. McCUTCHEON, M.A., Ph.D., F.F.A.

1. INTRODUCTION
Generations of actuarial students have been confronted at an
early stage of their careers with Woolhouse’s formula, important for
its well-known application to annuities payable several times per
year. However, it is probably fair to say that most of the derivations
of the formula presented to students have been in some respects
unsatisfactory, since they have usually relied on “ the separation of
symbols ”, manipulations of the finite difference operators D, ,
and (m), and have involved arguments somewhat lacking in rigour.
This is not a severe criticism of the relevant textbooks, which were
after all written from a practical actuarial viewpoint and which
understandably enough wished to avoid the relatively difficult
analysis required to derive Woolhouse’s formula in its complete
generality.
Woolhouse’s formula leans heavily on a more fundamental result,
the so-called Euler-Maclaurin formula, which gives a relationship be-

tween n f(r) and n0f(x)dx: involving the higher derivatives (assumed

to exist) of the function f at 0 and at n and a suitable remainder

term. Unfortunately, however, in general the determination of the
remainder term is rather complicated and serious doubts usually
arise over the convergence of the associated infinite series. The
formula as normally stated is therefore mainly of theoretical interest.
(We give below relevant references.)
Although for a completely general function the proof of the
Euler-Maclaurin formula is rather complicated and lengthy, in the
special case when we restrict our attention to functions which are
piecewise polynomials of a certain type (see below) a reasonably
short and completely rigorous proof can be given without using
advanced analysis. Moreover the resulting formula is exact and has
no unwieldy remainder term. Piecewise polynomial curves (and in
particular splines) are of considerable practical importance and may
represent more general functions to any desired degree of accuracy,
so that this restricted class of functions may still be considered most
64 Woolhouse’s Formula in Relation to
useful. Accordingly we feel that the relatively simple discussion
below may be of general interest and also possibly of help to future
students.

2. THE BERNOUILLI NUMBERS

Before our main argument it is necessary for completeness to
recall the Bernouilli numbers {Bi} (i 0). This celebrated sequence
may be defined by the initial value
B0 = 1 (2.1)
and by the recurrence relation

(2.2)

Clearly this last condition, combined with the initial value, defines
the entire sequence. For example, putting n = 2, 3, 4, and 5, in
turn we obtain
2B1+B0 = 0
3B2+3B1+B0 = 0
4B3+6B2+4B1+B0 = 0
5B4+ 10B3+ 10B2+ 5B1+ B0 = 0,
from which we calculate successively

One important and easily established property of the Bernouilli

numbers is
B2k+1 = 0 (k 1). (2.3)
(The interested reader may refer to the references below for a simple
proof of this last result and further discussion of these numbers.)
We now proceed to the next step of our argument, in which use is
made of the above.

3. THE BASIC INTEGRATION FORMULA

Suppose that over the interval [0, 1]f(x) is a polynomial in x of
degree (2n+1) where n 1 is a given positive integer. Such a
polynomial is defined by (2n+2) suitably chosen parameters. For
example, the polynomial is defined by the values of f(x) and the
derivatives f(2r–1) (x) (r = 1, . . . , n) at the points x = 0 and x = 1.
In particular these values must determine the integral off over the
interval [0, 1]. This is confirmed by the following result, which is
fairly well known.
 Piecewise Polynominal Functions 65
Lemma Suppose that n 1 and that over the interval [0, 1]f(x) is
a polynomial in x of degree (2n+ 1). Then

(3.1)

Note that, since B2 = 1/6,when n = 1 this implies

which is easily seen to hold for cubics. The general result now
follows by induction on n. (The proof depends on only the defining
relationship 2.2 and the readily established equation 2.3 above.
Accordingly we omit further details.)
The following generalisation of equation 3.1 above is easily
established.
Lemma Suppose that n is a positive integer and that over the
interval [a, a+h] g(x) is a polynomial in x of degree (2n+ 1). Then

(3.2)

Proof: Put t = so that x = a+ht and

where f(t) = g(a+ht) is a polynomial in t of degree (2n+l).

We now use 3.1 above to evaluate this last integral. Since
f(r)(t) = hrg(r)(a+ht), this immediately gives the required result.

4. AN APPLICATION TO PIECEWISE POLYNOMIAL

CURVES
Suppose that the function f is defined on the interval [a, a+lh]
where h> 0 and l 2 is a given positive integer. We assume that f is
(i) continuous
and
(ii) piecewise polynomial, in the sense that over each of the
subintervals [a+rh, a+(r+1)h] (r = 0, . . . . l–1)f(x) is given
by a polynomial in x.
66 Woolhouse’s Formula in Relation to
Suppose further that each of the defining polynomials is of degree
at most (2n+1) (where n 1 is given) and that
(iii) for s = 1, . . . . n the left and right derivative8 of order (2s – 1)
are equal at each of the point8 x = a+rh (r = 1, . . . . l–1).
The last condition (iii) should be noted. What we require is that
the polynomials defining f on adjacent sub-intervals should have
the same value at the common boundary point of the intervals (to
ensure continuity) and in addition the same value at that point of
each of their first n odd derivatives. In particular the condition will
be satisfied if f is a spline curve of order (2n+ 1) with the given points
as knots. (In this case f is 2n-times differentiable on [a, a+lh].)
However, it should be noted that the condition holds for a wider class
of functions than splines.
We may now apply equation 3.2 above successively to each of the
sub-intervals [a, a+h], [a+h, a+2h), . . ., [a+(l–1)h, a+lh]. Thus
we obtain

(In each of the above equations f(2r–1) (a+jh) must be interpreted as

the common value of the left and right derivatives of order (2r–1)
at the jth knot and not as a two-sided derivative, which may not
exist.)
By adding these last equations we obtain the integral off over the
interval [a, a+lh] in the form

(4.1)
which result is exact for piecewise polynomials of the type defined
by conditions (i), (ii), and (iii) above.
Equation 4.1 above may be regarded as a special case of the
Euler-Maclaurin formula, valid when the function f is of the required
 Piecewise Polynominal Functions 67
piecewise-polynomial form. It should be noted, however, that for
such a function there is no awkward remainder term and that the
result has been obtained by essentially elementary methods.
Note that this last equation can be written in the form

(4.2)

Woolhouse’s formula is readily inferred from equation 4.1 above.

Suppose that m 2 is a positive integer and that the function f
satisfies the conditions (i), (ii), and (iii) above. We split each of the
sub-intervals [a+rh, a+(r+1)h] into m further equal sub-intervals,
so that the interval [a, a+lh] is now divided into ml sub-intervals,

with knots at the points x =

The function f is clearly piecewise polynomial of degree (2n+1)

with respect to these ml sub-intervals, each of length h/m. Moreover

(two-sided) derivatives off of all orders exist at all but every mth of
these new knots, where, however, by hypothesis, the first n odd right
and left derivatives are equal. We may then apply 4.1 above to this
further subdivision of the interval [a, a+lh]. Effectively we are

considering equation 4.1 with h replaced by h/mand l replaced by ml.

We thereby obtain

(4.3)
The right-hand sides of equations 4.2 and 4.3 are equal (since both

give the value of f(x)dx). By equating these two expressions

68 Woolhouse’s Formula in Relation to
we see immediately that

(4.4)

This last equation is the precise form of Woolhouse’s formula for

piecewise polynomials of the required type.

5. THE COMMON ACTUARIAL APPROXIMATIONS

By putting n = 1 in equations 4.2 and 4.4 above we obtain exact
results, valid when f is piecewise cubic on the interval [a, a+lh] over
sub-intervals of equal length h and differentiable. These results are

and

(In this last equation we use to denote the left-hand

of equation 4.4 above.)

These last two equations are of course the commonly used approxi-
mations, familiar to most actuarial students. The arguments above
establish by elementary means simple conditions under which these
approximations contain no error. In particular, if f is a cubic spline
(so that not only f‘(x) but also f"(x) exists over the entire interval)
with equally spaced knots, the traditionally used approximations are
in fact exact results.
I am grateful to Mr. A. D. Wilkie for discussions which prompted
me to write this note.
 Piecewise Polynominal Functions 69

REFERENCES
1. KNOPP, K. Theory and Application of Infinite Series (Blackie, Glasgow),
1928.
2. MILNE-THOMSON, L. M. Calculus of Finite Differences (Macmillan, London),
1960.
3. FREEMAN, H. Finite Differences for Actuarial Students (C.U.P.), 1960.