Women and insurance pricing policies: a gender-based analysis with GAMLSS on two actuarial datasets.

In most of the United States, insurance companies may use gender to determine car insurance rates. In addition, several studies have shown that women over the age of 25 generally pay more than men for car insurance. Then, we investigate whether the distributions of claims for women and men differ in location, scale and shape by means of the GAMLSS regression framework, using microdata provided by U.S. and Australian insurance companies, to use this evidence to support policy makers' decisions. We also develop a parametric-bootstrap test to investigate the tail behavior of the distributions. When covariates are not considered, the distribution of claims does not appear to differ by gender. When covariates are included, the regressions provide mixed evidence for the location parameter. However, for female claimants, the spread of the distribution is lower. Our research suggests that, at least for the contexts analyzed, there is no clear statistical reason for charging higher rates to women. While providing evidence to support unisex insurance pricing policies, given the limitations represented by the use of country-specific data, this paper aims to promote further research on this topic with different datasets to corroborate our findings and draw more general conclusions.

Local and Overall Deviance R-Squared Measures for Mixtures of Generalized Linear Models.

In generalized linear models (GLMs), measures of lack of fit are typically defined as the deviance between two nested models, and a deviance-based R2 is commonly used to evaluate the fit. In this paper, we extend deviance measures to mixtures of GLMs, whose parameters are estimated by maximum likelihood (ML) via the EM algorithm. Such measures are defined both locally, i.e., at cluster-level, and globally, i.e., with reference to the whole sample. At the cluster-level, we propose a normalized two-term decomposition of the local deviance into explained, and unexplained local deviances. At the sample-level, we introduce an additive normalized decomposition of the total deviance into three terms, where each evaluates a different aspect of the fitted model: (1) the cluster separation on the dependent variable, (2) the proportion of the total deviance explained by the fitted model, and (3) the proportion of the total deviance which remains unexplained. We use both local and global decompositions to define, respectively, local and overall deviance R2 measures for mixtures of GLMs, which we illustrate-for Gaussian, Poisson and binomial responses-by means of a simulation study. The proposed fit measures are then used to assess, and interpret clusters of COVID-19 spread in Italy in two time points.

Quantile hidden semi-Markov models for multivariate time series.

This paper develops a quantile hidden semi-Markov regression to jointly estimate multiple quantiles for the analysis of multivariate time series. The approach is based upon the Multivariate Asymmetric Laplace (MAL) distribution, which allows to model the quantiles of all univariate conditional distributions of a multivariate response simultaneously, incorporating the correlation structure among the outcomes. Unobserved serial heterogeneity across observations is modeled by introducing regime-dependent parameters that evolve according to a latent finite-state semi-Markov chain. Exploiting the hierarchical representation of the MAL, inference is carried out using an efficient Expectation-Maximization algorithm based on closed form updates for all model parameters, without parametric assumptions about the states' sojourn distributions. The validity of the proposed methodology is analyzed both by a simulation study and through the empirical analysis of air pollutant concentrations in a small Italian city. Supplementary Information: The online version contains supplementary material available at 10.1007/s11222-022-10130-1.

Parsimonious hidden Markov models for matrix-variate longitudinal data.

Hidden Markov models (HMMs) have been extensively used in the univariate and multivariate literature. However, there has been an increased interest in the analysis of matrix-variate data over the recent years. In this manuscript we introduce HMMs for matrix-variate balanced longitudinal data, by assuming a matrix normal distribution in each hidden state. Such data are arranged in a four-way array. To address for possible overparameterization issues, we consider the eigen decomposition of the covariance matrices, leading to a total of 98 HMMs. An expectation-conditional maximization algorithm is discussed for parameter estimation. The proposed models are firstly investigated on simulated data, in terms of parameter recovery, computational times and model selection. Then, they are fitted to a four-way real data set concerning the unemployment rates of the Italian provinces, evaluated by gender and age classes, over the last 16 years.

Multiple scaled symmetric distributions in allometric studies.

In allometric studies, the joint distribution of the log-transformed morphometric variables is typically symmetric and with heavy tails. Moreover, in the bivariate case, it is customary to explain the morphometric variation of these variables by fitting a convenient line, as for example the first principal component (PC). To account for all these peculiarities, we propose the use of multiple scaled symmetric (MSS) distributions. These distributions have the advantage to be directly defined in the PC space, the kind of symmetry involved is less restrictive than the commonly considered elliptical symmetry, the behavior of the tails can vary across PCs, and their first PC is less sensitive to outliers. In the family of MSS distributions, we also propose the multiple scaled shifted exponential normal distribution, equivalent of the multivariate shifted exponential normal distribution in the MSS framework. For the sake of parsimony, we also allow the parameter governing the leptokurtosis on each PC, in the considered MSS distributions, to be tied across PCs. From an inferential point of view, we describe an EM algorithm to estimate the parameters by maximum likelihood, we illustrate how to compute standard errors of the obtained estimates, and we give statistical tests and confidence intervals for the parameters. We use artificial and real allometric data to appreciate the advantages of the MSS distributions over well-known elliptically symmetric distributions and to compare the robustness of the line from our models with respect to the lines fitted by well-established robust and non-robust methods available in the literature.

Allometric analysis using the multivariate shifted exponential normal distribution.

In allometric studies, the joint distribution of the log-transformed morphometric variables is typically elliptical and with heavy tails. To account for these peculiarities, we introduce the multivariate shifted exponential normal (MSEN) distribution , an elliptical heavy-tailed generalization of the multivariate normal (MN). The MSEN belongs to the family of MN scale mixtures (MNSMs) by choosing a convenient shifted exponential as mixing distribution. The probability density function of the MSEN has a simple closed-form characterized by only one additional parameter, with respect to the nested MN, governing the tail weight. The first four moments exist and the excess kurtosis can assume any positive value. The membership to the family of MNSMs allows us a simple computation of the maximum likelihood (ML) estimates of the parameters via the expectation-maximization (EM) algorithm; advantageously, the M-step is computationally simplified by closed-form updates of all the parameters. We also evaluate the existence of the ML estimates. Since the parameter governing the tail weight is estimated from the data, robust estimates of the mean vector of the nested MN distribution are automatically obtained by downweighting; we show this aspect theoretically but also by means of a simulation study. We fit the MSEN distribution to multivariate allometric data where we show its usefulness also in comparison with other well-established multivariate elliptical distributions.

Dichotomous unimodal compound models: application to the distribution of insurance losses.

A correct modelization of the insurance losses distribution is crucial in the insurance industry. This distribution is generally highly positively skewed, unimodal hump-shaped, and with a heavy right tail. Compound models are a profitable way to accommodate situations in which some of the probability masses are shifted to the tails of the distribution. Therefore, in this work, a general approach to compound unimodal hump-shaped distributions with a mixing dichotomous distribution is introduced. A 2-parameter unimodal hump-shaped distribution, defined on a positive support, is considered and reparametrized with respect to the mode and to another parameter related to the distribution variability. The compound is performed by scaling the latter parameter by means of a dichotomous mixing distribution that governs the tail behavior of the resulting model. The proposed model can also allow for automatic detection of typical and atypical losses via a simple procedure based on maximum a posteriori probabilities. Unimodal gamma and log-normal are considered as examples of unimodal hump-shaped distributions. The resulting models are firstly evaluated in a sensitivity study and then fitted to two real insurance loss datasets, along with several well-known competitors. Likelihood-based information criteria and risk measures are used to compare the models.

Multivariate generalized hidden Markov regression models with random covariates: Physical exercise in an elderly population.

A time-varying latent variable model is proposed to jointly analyze multivariate mixed-support longitudinal data. The proposal can be viewed as an extension of hidden Markov regression models with fixed covariates (HMRMFCs), which is the state of the art for modelling longitudinal data, with a special focus on the underlying clustering structure. HMRMFCs are inadequate for applications in which a clustering structure can be identified in the distribution of the covariates, as the clustering is independent from the covariates distribution. Here, hidden Markov regression models with random covariates are introduced by explicitly specifying state-specific distributions for the covariates, with the aim of improving the recovering of the clusters in the data with respect to a fixed covariates paradigm. The hidden Markov regression models with random covariates class is defined focusing on the exponential family, in a generalized linear model framework. Model identifiability conditions are sketched, an expectation-maximization algorithm is outlined for parameter estimation, and various implementation and operational issues are discussed. Properties of the estimators of the regression coefficients, as well as of the hidden path parameters, are evaluated through simulation experiments and compared with those of HMRMFCs. The method is applied to physical activity data.

Parsimonious mixtures of multivariate contaminated normal distributions.

A mixture of multivariate contaminated normal distributions is developed for model-based clustering. In addition to the parameters of the classical normal mixture, our contaminated mixture has, for each cluster, a parameter controlling the proportion of mild outliers and one specifying the degree of contamination. Crucially, these parameters do not have to be specified a priori, adding a flexibility to our approach. Parsimony is introduced via eigen-decomposition of the component covariance matrices, and sufficient conditions for the identifiability of all the members of the resulting family are provided. An expectation-conditional maximization algorithm is outlined for parameter estimation and various implementation issues are discussed. Using a large-scale simulation study, the behavior of the proposed approach is investigated and comparison with well-established finite mixtures is provided. The performance of this novel family of models is also illustrated on artificial and real data.

Bivariate discrete beta Kernel graduation of mortality data.

Various parametric/nonparametric techniques have been proposed in literature to graduate mortality data as a function of age. Nonparametric approaches, as for example kernel smoothing regression, are often preferred because they do not assume any particular mortality law. Among the existing kernel smoothing approaches, the recently proposed (univariate) discrete beta kernel smoother has been shown to provide some benefits. Bivariate graduation, over age and calendar years or durations, is common practice in demography and actuarial sciences. In this paper, we generalize the discrete beta kernel smoother to the bivariate case, and we introduce an adaptive bandwidth variant that may provide additional benefits when data on exposures to the risk of death are available; furthermore, we outline a cross-validation procedure for bandwidths selection. Using simulations studies, we compare the bivariate approach proposed here with its corresponding univariate formulation and with two popular nonparametric bivariate graduation techniques, based on Epanechnikov kernels and on P-splines. To make simulations realistic, a bivariate dataset, based on probabilities of dying recorded for the US males, is used. Simulations have confirmed the gain in performance of the new bivariate approach with respect to both the univariate and the bivariate competitors.

Rasch analysis for binary data with nonignorable nonresponses

This paper introduces a two-dimensional Item Response Theory (IRT) model to deal with nonignorable nonresponses in tests with dichotomous items. One dimension provides information about the omitting behavior, while the other dimension is related to the person’s “ability”. The idea of embedding an IRT model for missingness into the measurement model is not new but, differently from the existing literature, the model presented in this paper belongs to the Rasch family of models. As a member of the exponential family, the model offers several advantages, such as existence of non trivial sufficient statistics and possibility of specific objective parameter estimation; feasibility of conditional inference; goodness of fit analysis via conditional likelihood ratio tests. Maximum likelihood estimation is discussed, and the applicability of the proposed model is illustrated by using a real data set(AU)

Gonadectomy and dehydroepiandrosterone (DHEA) do not modulate disease progression in the G93A mutant SOD1 rat model of amyotrophic lateral sclerosis.

Epidemiological studies have shown a higher incidence of amyotrophic lateral sclerosis (ALS) in men than women. Interestingly, there are clear gender differences in disease onset and progression in rodent models of familial ALS overexpressing mutated human superoxide dismutase-1 (SOD1-G93A). In the present study we sought to determine whether the alterations of serum steroid levels by gonadectomy or chronic treatment of neuroprotective neurosteroids can modulate disease onset and progression in a rat model of ALS (SOD1-G93A transgenic rats). Presymptomatic SOD1-G93A rats were gonadectomized or treated with a neurosteroid dehydroepiandrosterone (DHEA) using silastic tubing implants. Disease onset and progression of the animals were determined by the routine analyses of locomotor testing using the Basso-Beattie-Bresnahan (BBB) score. Although sexual dimorphism was observed in intact and gonadectomized SOD1-G93A rats, there was no significant effect of gonadectomy on disease onset and progression. DHEA treatment did not alter disease progression or survival in SOD1-G93A rats. Our results indicate that gonadal steroids or neurosteroids are not one of the possible modulators for the occurrence or disease progression in a rat model of ALS. Further analysis will be necessary to understand how sexual dimorphism is involved in ALS disease progression.

7,8-dihydroxyflavone exhibits therapeutic efficacy in a mouse model of Rett syndrome.

Rett syndrome (RTT), caused by mutations in the methyl-CpG binding protein 2 gene (MECP2), is a debilitating autism spectrum developmental disorder predominantly affecting females. Mecp2 mutant mice have reduced levels of brain-derived neurotrophic factor (BDNF) in the brain; conditional deletion and overexpression of BDNF in the brain accelerates and slows, respectively, disease progression in Mecp2 mutant mice. Thus we tested the hypothesis that 7,8-dihydroxyflavone (7,8-DHF), a small molecule reported to activate the high affinity BDNF receptor (TrkB) in the CNS, would attenuate disease progression in Mecp2 mutant mice. Following weaning, 7,8-DHF was administered in drinking water throughout life. Treated mutant mice lived significantly longer compared with untreated mutant littermates (80 ± 4 and 66 ± 2 days, respectively). 7,8-DHF delayed body weight loss, increased neuronal nuclei size and enhanced voluntary locomotor (running wheel) distance in Mecp2 mutant mice. In addition, administration of 7,8-DHF partially improved breathing pattern irregularities and returned tidal volumes to near wild-type levels. Thus although the specific mechanisms are not completely known, 7,8-DHF appears to reduce disease symptoms in Mecp2 mutant mice and may have potential as a therapeutic treatment for RTT patients.