An Introduction to parametric and non-parametric models for bivariate positive insurance claim severity distributions

We present a real data set of claims amounts where costs related to damage are recorded separately from those related to medical expenses. Only claims with positive costs are considered here. Two approaches to density estimation are presented: a classical parametric and a semi-parametric method, based on transformation kernel density estimation. We explore the data set with standard univariate methods. We also propose ways to select the bandwidth and transformation parameters in the univariate case based on Bayesian methods. We indicate how to compare the results of alternative methods both looking at the shape of the overall density domain and exploring the density estimates in the right tail.

Modelling dependence in a ratemaking procedure with multivariate Poisson regression models

When actuaries face with the problem of pricing an insurance contract that contains different types of coverage, such as a motor insurance or homeowner's insurance policy, they usually assume that types of claim are independent. However, this assumption may not be realistic: several studies have shown that there is a positive correlation between types of claim. Here we introduce different regression models in order to relax the independence assumption, including zero-inflated models to account for excess of zeros and overdispersion. These models have been largely ignored to multivariate Poisson date, mainly because of their computational di±culties. Bayesian inference based on MCMC helps to solve this problem (and also lets us derive, for several quantities of interest, posterior summaries to account for uncertainty). Finally, these models are applied to an automobile insurance claims database with three different types of claims. We analyse the consequences for pure and loaded premiums when the independence assumption is relaxed by using different multivariate Poisson regression models and their zero-inflated versions.

DNA evidence, probabilistic evaluation and collaborative tests.

Forensic scientists working in 12 state or private laboratories participated in collaborative tests to improve the reliability of the presentation of DNA data at trial. These tests were motivated in response to the growing criticism of the power of DNA evidence. The experts' conclusions in the tests are presented and discussed in the context of the Bayesian approach to interpretation. The use of a Bayesian approach and subjective probabilities in trace evaluation permits, in an easy and intuitive manner, the integration into the decision procedure of any revision of the measure of uncertainty in the light of new information. Such an integration is especially useful with forensic evidence. Furthermore, we believe that this probabilistic model is a useful tool (a) to assist scientists in the assessment of the value of scientific evidence, (b) to help jurists in the interpretation of judicial facts and (c) to clarify the respective roles of scientists and of members of the court. Respondents to the survey were reluctant to apply this methodology in the assessment of DNA evidence.

On estimation and identifiability issues of sex-linked inheritance with a case study of pigmentation in Swiss barn owl (Tyto alba)

Genetic evaluation using animal models or pedigree-based models generally assume only autosomal inheritance. Bayesian animal models provide a flexible framework for genetic evaluation, and we show how the model readily can accommodate situations where the trait of interest is influenced by both autosomal and sex-linked inheritance. This allows for simultaneous calculation of autosomal and sex-chromosomal additive genetic effects. Inferences were performed using integrated nested Laplace approximations (INLA), a nonsampling-based Bayesian inference methodology. We provide a detailed description of how to calculate the inverse of the X- or Z-chromosomal additive genetic relationship matrix, needed for inference. The case study of eumelanic spot diameter in a Swiss barn owl (Tyto alba) population shows that this trait is substantially influenced by variation in genes on the Z-chromosome (sigma(2)(z) = 0.2719 and sigma(2)(a) = 0.4405). Further, a simulation study for this study system shows that the animal model accounting for both autosomal and sex-chromosome-linked inheritance is identifiable, that is, the two effects can be distinguished, and provides accurate inference on the variance components.

Large multi-gene phylogenetic trees of the grasses (Poaceae): progress towards complete tribal and generic level sampling.

In this paper we included a very broad representation of grass family diversity (84% of tribes and 42% of genera). Phylogenetic inference was based on three plastid DNA regions rbcL, matK and trnL-F, using maximum parsimony and Bayesian methods. Our results resolved most of the subfamily relationships within the major clades (BEP and PACCMAD), which had previously been unclear, such as, among others the: (i) BEP and PACCMAD sister relationship, (ii) composition of clades and the sister-relationship of Ehrhartoideae and Bambusoideae + Pooideae, (iii) paraphyly of tribe Bambuseae, (iv) position of Gynerium as sister to Panicoideae, (v) phylogenetic position of Micrairoideae. With the presence of a relatively large amount of missing data, we were able to increase taxon sampling substantially in our analyses from 107 to 295 taxa. However, bootstrap support and to a lesser extent Bayesian inference posterior probabilities were generally lower in analyses involving missing data than those not including them. We produced a fully resolved phylogenetic summary tree for the grass family at subfamily level and indicated the most likely relationships of all included tribes in our analysis.

Ganciclovir Exposure under a 450 mg Daily Dosage of Valganciclovir for the Prevention of Cytomegalovirus Disease in Kidney Transplant Recipients.

Background: It is suggested that a low dose of valganciclovir can be equally effective than a standard dose for cytomegalovirus (CMV) prophylaxis after kidney transplantation. The aim of our study was to determine the ganciclovir exposure observed under a routine daily dosage of 450 mg valganciclovir in kidney transplant recipients with a wide range of renal function. Methods: In this prospective study, kidney transplant recipients with a GFR MDRD above 25 mL/min at risk for CMV (donor or recipient seropositive for CMV) received a dose of valganciclovir (450 mg daily) prophylaxis for 3 months. Ganciclovir levels at trough (Ctrough) and at peak (C3h) were measured monthly. Ganciclovir exposure (AUC0-24) was estimated using Bayesian non-linear mixed-effect modelling (NONMEM) and compared between 3 groups of patients according to their kidney function: GFRMDRD 26-39 mL/min (Group 1), GFRMDRD 40-59 mL/min (Group 2) and GFRMDRD 60-90 mL/min (Group 3). CMV DNAemia was assessed during and after prophylaxis using PCR. Results: Thirty-six patients received 450 mg daily of valganciclovir for 3 months. Median ganciclovir C3h was 3.9 mg/L (range: 1.3-7.1) and Ctrough was 0.4 mg/L (range 0.1-2.7). Median (range) AUC0-24 of ganciclovir was 59.3 mg.h/L (39.0-85.3) in Group 1 patients, 35.8 mg.h/L (24.9-55.8) in Group 2 patients and 29.6 mg.h/L (22.0- 43.2) in Group 3 patients (p<0.001). Anemia was more common in Group 1 patients compared to patients on the other groups (p=0.01). No differences in other adverse events according to ganciclovir exposure were observed. CMV DNAemia was not detected during prophylaxis. After discontinuing prophylaxis, CMV DNAemia was seen in 8/34 patients (23.5%) and 4/36 patients (11%) developed CMV disease. Conclusion: A routine dosage of valganciclovir achieved plasma levels of ganciclovir in patients with GFR>60 mL/min similar to those previously reported using oral ganciclovir. A daily dose of 450 mg valganciclovir appears to be acceptable for CMV prophylaxis in most kidney transplant recipients.

Policy evaluation and uncertainty about the effects of oil prices on economic activity

This paper addresses the issue of policy evaluation in a context in which policymakers are uncertain about the effects of oil prices on economic performance. I consider models of the economy inspired by Solow (1980), Blanchard and Gali (2007), Kim and Loungani (1992) and Hamilton (1983, 2005), which incorporate different assumptions on the channels through which oil prices have an impact on economic activity. I first study the characteristics of the model space and I analyze the likelihood of the different specifications. I show that the existence of plausible alternative representations of the economy forces the policymaker to face the problem of model uncertainty. Then, I use the Bayesian approach proposed by Brock, Durlauf and West (2003, 2007) and the minimax approach developed by Hansen and Sargent (2008) to integrate this form of uncertainty into policy evaluation. I find that, in the environment under analysis, the standard Taylor rule is outperformed under a number of criteria by alternative simple rules in which policymakers introduce persistence in the policy instrument and respond to changes in the real price of oil.

Probability of achieving optimal molecular response to imatinib in chronic myeloid leukemia (CML) patients: Pharmacokinetic/Pharmacodynamic (PK/PD) relationships observed under field-conditions

Objectives: Imatinib has been increasingly proposed for therapeutic drug monitoring (TDM), as trough concentrations (Cmin) correlate with response rates in CML patients. This analysis aimed to evaluate the impact of imatinib exposure on optimal molecular response rates in a large European cohort of patients followed by centralized TDM.¦Methods: Sequential PK/PD analysis was performed in NONMEM 7 on 2230 plasma (PK) samples obtained along with molecular response (PD) data from 1299 CML patients. Model-based individual Bayesian estimates of exposure, parameterized as to initial dose adjusted and log-normalized Cmin (log-Cmin) or clearance (CL), were investigated as potential predictors of optimal molecular response, while accounting for time under treatment (stratified at 3 years), gender, CML phase, age, potentially interacting comedication, and TDM frequency. PK/PD analysis used mixed-effect logistic regression (iterative two-stage method) to account for intra-patient correlation.¦Results: In univariate analyses, CL, log-Cmin, time under treatment, TDM frequency, gender (all p<0.01) and CML phase (p=0.02) were significant predictors of the outcome. In multivariate analyses, all but log-Cmin remained significant (p<0.05). Our model estimates a 54.1% probability of optimal molecular response in a female patient with a median CL of 14.4 L/h, increasing by 4.7% with a 35% decrease in CL (percentile 10 of CL distribution), and decreasing by 6% with a 45% increased CL (percentile 90), respectively. Male patients were less likely than female to be in optimal response (odds ratio: 0.62, p<0.001), with an estimated probability of 42.3%.¦Conclusions: Beyond CML phase and time on treatment, expectedly correlated to the outcome, an effect of initial imatinib exposure on the probability of achieving optimal molecular response was confirmed in field-conditions by this multivariate analysis. Interestingly, male patients had a higher risk of suboptimal response, which might not exclusively derive from their 18.5% higher CL, but also from reported lower adherence to the treatment. A prospective longitudinal study would be desirable to confirm the clinical importance of identified covariates and to exclude biases possibly affecting this observational survey.

Indirect likelihood inference

Given a sample from a fully specified parametric model, let Zn be a given finite-dimensional statistic - for example, an initial estimator or a set of sample moments. We propose to (re-)estimate the parameters of the model by maximizing the likelihood of Zn. We call this the maximum indirect likelihood (MIL) estimator. We also propose a computationally tractable Bayesian version of the estimator which we refer to as a Bayesian Indirect Likelihood (BIL) estimator. In most cases, the density of the statistic will be of unknown form, and we develop simulated versions of the MIL and BIL estimators. We show that the indirect likelihood estimators are consistent and asymptotically normally distributed, with the same asymptotic variance as that of the corresponding efficient two-step GMM estimator based on the same statistic. However, our likelihood-based estimators, by taking into account the full finite-sample distribution of the statistic, are higher order efficient relative to GMM-type estimators. Furthermore, in many cases they enjoy a bias reduction property similar to that of the indirect inference estimator. Monte Carlo results for a number of applications including dynamic and nonlinear panel data models, a structural auction model and two DSGE models show that the proposed estimators indeed have attractive finite sample properties.

The complex history of the olive tree: from Late Quaternary diversification of Mediterranean lineages to primary domestication in the northern Levant.

The location and timing of domestication of the olive tree, a key crop in Early Mediterranean societies, remain hotly debated. Here, we unravel the history of wild olives (oleasters), and then infer the primary origins of the domesticated olive. Phylogeography and Bayesian molecular dating analyses based on plastid genome profiling of 1263 oleasters and 534 cultivated genotypes reveal three main lineages of pre-Quaternary origin. Regional hotspots of plastid diversity, species distribution modelling and macrofossils support the existence of three long-term refugia; namely the Near East (including Cyprus), the Aegean area and the Strait of Gibraltar. These ancestral wild gene pools have provided the essential foundations for cultivated olive breeding. Comparison of the geographical pattern of plastid diversity between wild and cultivated olives indicates the cradle of first domestication in the northern Levant followed by dispersals across the Mediterranean basin in parallel with the expansion of civilizations and human exchanges in this part of the world.

Industrial Location and Space: New Insights

This paper tries to resolve some of the main shortcomings in the empirical literature of location decisions for new plants, i.e. spatial effects and overdispersion. Spatial effects are omnipresent, being a source of overdispersion in the data as well as a factor shaping the functional relationship between the variables that explain a firm’s location decisions. Using Count Data models, empirical researchers have dealt with overdispersion and excess zeros by developments of the Poisson regression model. This study aims to take this a step further, by adopting Bayesian methods and models in order to tackle the excess of zeros, spatial and non-spatial overdispersion and spatial dependence simultaneously. Data for Catalonia is used and location determinants are analysed to that end. The results show that spatial effects are determinant. Additionally, overdispersion is descomposed into an unstructured iid effect and a spatially structured effect. Keywords: Bayesian Analysis, Spatial Models, Firm Location. JEL Classification: C11, C21, R30.

The de facto independence of regulatory agencies and its consequences for policy making and regulatory outcomes

This dissertation focuses on the practice of regulatory governance, throughout the study of the functioning of formally independent regulatory agencies (IRAs), with special attention to their de facto independence. The research goals are grounded on a "neo-positivist" (or "reconstructed positivist") position (Hawkesworth 1992; Radaelli 2000b; Sabatier 2000). This perspective starts from the ontological assumption that even if subjective perceptions are constitutive elements of political phenomena, a real world exists beyond any social construction and can, however imperfectly, become the object of scientific inquiry. Epistemologically, it follows that hypothetical-deductive theories with explanatory aims can be tested by employing a proper methodology and set of analytical techniques. It is thus possible to make scientific inferences and general conclusions to a certain extent, according to a Bayesian conception of knowledge, in order to update the prior scientific beliefs in the truth of the related hypotheses (Howson 1998), while acknowledging the fact that the conditions of truth are at least partially subjective and historically determined (Foucault 1988; Kuhn 1970). At the same time, a sceptical position is adopted towards the supposed disjunction between facts and values and the possibility of discovering abstract universal laws in social science. It has been observed that the current version of capitalism corresponds to the golden age of regulation, and that since the 1980s no government activity in OECD countries has grown faster than regulatory functions (Jacobs 1999). Following an apparent paradox, the ongoing dynamics of liberalisation, privatisation, decartelisation, internationalisation, and regional integration hardly led to the crumbling of the state, but instead promoted a wave of regulatory growth in the face of new risks and new opportunities (Vogel 1996). Accordingly, a new order of regulatory capitalism is rising, implying a new division of labour between state and society and entailing the expansion and intensification of regulation (Levi-Faur 2005). The previous order, relying on public ownership and public intervention and/or on sectoral self-regulation by private actors, is being replaced by a more formalised, expert-based, open, and independently regulated model of governance. Independent regulation agencies (IRAs), that is, formally independent administrative agencies with regulatory powers that benefit from public authority delegated from political decision makers, represent the main institutional feature of regulatory governance (Gilardi 2008). IRAs constitute a relatively new technology of regulation in western Europe, at least for certain domains, but they are increasingly widespread across countries and sectors. For instance, independent regulators have been set up for regulating very diverse issues, such as general competition, banking and finance, telecommunications, civil aviation, railway services, food safety, the pharmaceutical industry, electricity, environmental protection, and personal data privacy. Two attributes of IRAs deserve a special mention. On the one hand, they are formally separated from democratic institutions and elected politicians, thus raising normative and empirical concerns about their accountability and legitimacy. On the other hand, some hard questions about their role as political actors are still unaddressed, though, together with regulatory competencies, IRAs often accumulate executive, (quasi-)legislative, and adjudicatory functions, as well as about their performance.

THE USE OF SIMULATIONS IN EVOLUTIONARY POPULATION GENETICS: APPLICATIONS ON HUMANS, OWLS AND VIRTUAL ORGANISMS

Summary (in English) Computer simulations provide a practical way to address scientific questions that would be otherwise intractable. In evolutionary biology, and in population genetics in particular, the investigation of evolutionary processes frequently involves the implementation of complex models, making simulations a particularly valuable tool in the area. In this thesis work, I explored three questions involving the geographical range expansion of populations, taking advantage of spatially explicit simulations coupled with approximate Bayesian computation. First, the neutral evolutionary history of the human spread around the world was investigated, leading to a surprisingly simple model: A straightforward diffusion process of migrations from east Africa throughout a world map with homogeneous landmasses replicated to very large extent the complex patterns observed in real human populations, suggesting a more continuous (as opposed to structured) view of the distribution of modern human genetic diversity, which may play a better role as a base model for further studies. Second, the postglacial evolution of the European barn owl, with the formation of a remarkable coat-color cline, was inspected with two rounds of simulations: (i) determine the demographic background history and (ii) test the probability of a phenotypic cline, like the one observed in the natural populations, to appear without natural selection. We verified that the modern barn owl population originated from a single Iberian refugium and that they formed their color cline, not due to neutral evolution, but with the necessary participation of selection. The third and last part of this thesis refers to a simulation-only study inspired by the barn owl case above. In this chapter, we showed that selection is, indeed, effective during range expansions and that it leaves a distinguished signature, which can then be used to detect and measure natural selection in range-expanding populations. Résumé (en français) Les simulations fournissent un moyen pratique pour répondre à des questions scientifiques qui seraient inabordable autrement. En génétique des populations, l'étude des processus évolutifs implique souvent la mise en oeuvre de modèles complexes, et les simulations sont un outil particulièrement précieux dans ce domaine. Dans cette thèse, j'ai exploré trois questions en utilisant des simulations spatialement explicites dans un cadre de calculs Bayésiens approximés (approximate Bayesian computation : ABC). Tout d'abord, l'histoire de la colonisation humaine mondiale et de l'évolution de parties neutres du génome a été étudiée grâce à un modèle étonnement simple. Un processus de diffusion des migrants de l'Afrique orientale à travers un monde avec des masses terrestres homogènes a reproduit, dans une très large mesure, les signatures génétiques complexes observées dans les populations humaines réelles. Un tel modèle continu (opposé à un modèle structuré en populations) pourrait être très utile comme modèle de base dans l'étude de génétique humaine à l'avenir. Deuxièmement, l'évolution postglaciaire d'un gradient de couleur chez l'Effraie des clocher (Tyto alba) Européenne, a été examiné avec deux séries de simulations pour : (i) déterminer l'histoire démographique de base et (ii) tester la probabilité qu'un gradient phénotypique, tel qu'observé dans les populations naturelles puisse apparaître sans sélection naturelle. Nous avons montré que la population actuelle des chouettes est sortie d'un unique refuge ibérique et que le gradient de couleur ne peux pas s'être formé de manière neutre (sans l'action de la sélection naturelle). La troisième partie de cette thèse se réfère à une étude par simulations inspirée par l'étude de l'Effraie. Dans ce dernier chapitre, nous avons montré que la sélection est, en effet, aussi efficace dans les cas d'expansion d'aire de distribution et qu'elle laisse une signature unique, qui peut être utilisée pour la détecter et estimer sa force.

Genomics of the divergence continuum in an African plant biodiversity hotspot, I: drivers of population divergence in Restio capensis (Restionaceae).

Understanding the drivers of population divergence, speciation and species persistence is of great interest to molecular ecology, especially for species-rich radiations inhabiting the world's biodiversity hotspots. The toolbox of population genomics holds great promise for addressing these key issues, especially if genomic data are analysed within a spatially and ecologically explicit context. We have studied the earliest stages of the divergence continuum in the Restionaceae, a species-rich and ecologically important plant family of the Cape Floristic Region (CFR) of South Africa, using the widespread CFR endemic Restio capensis (L.) H.P. Linder & C.R. Hardy as an example. We studied diverging populations of this morphotaxon for plastid DNA sequences and >14 400 nuclear DNA polymorphisms from Restriction site Associated DNA (RAD) sequencing and analysed the results jointly with spatial, climatic and phytogeographic data, using a Bayesian generalized linear mixed modelling (GLMM) approach. The results indicate that population divergence across the extreme environmental mosaic of the CFR is mostly driven by isolation by environment (IBE) rather than isolation by distance (IBD) for both neutral and non-neutral markers, consistent with genome hitchhiking or coupling effects during early stages of divergence. Mixed modelling of plastid DNA and single divergent outlier loci from a Bayesian genome scan confirmed the predominant role of climate and pointed to additional drivers of divergence, such as drift and ecological agents of selection captured by phytogeographic zones. Our study demonstrates the usefulness of population genomics for disentangling the effects of IBD and IBE along the divergence continuum often found in species radiations across heterogeneous ecological landscapes.