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.

A numerical algorithm for finding solutions of a generalized Nash equilibrium problem

A family of nonempty closed convex sets is built by using the data of the Generalized Nash equilibrium problem (GNEP). The sets are selected iteratively such that the intersection of the selected sets contains solutions of the GNEP. The algorithm introduced by Iusem-Sosa (2003) is adapted to obtain solutions of the GNEP. Finally some numerical experiments are given to illustrate the numerical behavior of the algorithm.

The distribution of intestinal helminth infections in a rural village in Guatemala

Fecal egg count scores were used to investigate the distribution and abundance of intestinal helminths in the population of a rural village. Prevalences of the major helminths were 41% with Ascaris lumbricoides 60% with Trichuris trichiura and 50% with Necator americanus. All three parasites showed a highly aggregated distribution among hosts. Age/prevalence and age/intensity profiles were typical for both A. lumbricoides and T. trichiura with the highest worm burdens in the 50-10 year old children. For hookworm both prevalence and intensity curves were convex in shape with maximum infection levels in the 30-40 year old age class. Infected females had higher burdens of T. trichiura than infected males in all age classes of the population; there were no other effects of host gender. Analysis of associations between parasites within hosts revealed strong correlations between A. lumbricoides and T. lumbricoides and T. trichiura. Individuals with heavy infections of A. lumbricoides and T. trichiura showed highly significant aggregation within households. Associations between a variety of household features and heavy infections with A. lumbricoides and T. trichiura are described.

On Cooperative solutions of a generalized assignment game: limit theorems to the set of competitive equilibria

We study two cooperative solutions of a market with indivisible goods modeled as a generalized assignment game: Set-wise stability and Core. We first establish that the Set-wise stable set is contained in the Core and it contains the non-empty set of competitive equilibrium payoffs. We then state and prove three limit results for replicated markets. First, the sequence of Cores of replicated markets converges to the set of competitive equilibrium payoffs when the number of replicas tends to infinity. Second, the Set-wise stable set of a two-fold replicated market already coincides with the set of competitive equilibrium payoffs. Third, for any number of replicas there is a market with a Core payoff that is not a competitive equilibrium payoff.

A model for intra-familial distribution of an infectious disease (Chagas' disease)

A probabilistic model for intra-familial distribution of infectous disease is proposed and applied to the prevalence of positive serology for Trypanosoma cruzi infection in Northeastern Brazilian sample. This double with one tail excess model fits satisfactorily to the data and its interpretation says that around 51% of these 982 families are free of infection risk; among those that are at risk, 3% have a high risk (0.66), probably due to high domestic infestation of the vector bug; while 97% show a small risk (0.11), probably due to accidental, non-domestic transmission.

Spatial and temporal distribution of anopheline larvae in two malarious areas in Sucre State, Venezuela

The spatial and temporal distribution of anopheline larvae was studied in two coastal malarious areas of Sucre, State, Venezuela. Seven habitat types were sampled in the village of Guayana and eight species of Anopheles were collected. Anopheles aquasalis was the predominant species collected and was most abundant in the brackish marsh habitat (71 larvae per 100 samples). It was most abundant during the rainy season. At the second location, Santa F e, six habitat types were sampled and four anopheline species were collected. Habitats where An. aquasalis was most abundant were temporary freshwater ponds (34 larvae per 100 samples) and mangroves (10.5 larvae per 100 samples). At this location it was also most abundant in the rainy season. During the dry season it was collected in small numbers in river pools (1.3 larvae per 100 samples) along with large numbers of An. pseudopunctipennis (479 larvae per 100 samples). Larval control could be an important component of the malaria control program because major habitats could be defined and presence and abundance of larvae was limited to specific times of year.

Systematics of Triatoma sordida, T. guasayana and T. patagonica (Hemiptera, Reduviidae)

Because of the relative epidemiological significance of Triatoma sordida, T. guasayana and T. patagonica, and the need to resolve doubts about their taxonomic validity, we report here a detailed taxonomic comparison of the three species using multivariate analysis of morphometric measures combined with comparisons of their genitalia and antennal structures. From the 17 metric variables studied, the length of the second segment of the rostrum and the anteocular length provided a discrimination function able to separate without error T. sordida from T. guasayana and T. patagonica. The multivariate discriminant functions classified T. guasayana and T. patagonica with an error of 2.44%. Comparison of the male genitalia of T. guasayana and T. sordida showed that there are minor differences in the articulatory apparatus, the median process of the pygophore, the phallosome support and the vesica, with bigger differences in the endosomal process and the phallosome. However, the already described male genitalia of T. patagonica is very similar to that of T. sordida. Analysis of antennal structure by scanning electron microscope showed that sensilla distribution around the pedicel is slightly different in the three species and sensilla density is highest in T. sordida and lowest in T. patagonica. The study showed that the three species form a closely related group. The results confirm the earlier classification of sordida and guasayana as separate species, but they raise some doubts about the taxonomic status of T. patagonica.

Differential distribution of tau proteins in developing cat cerebellum.

The differential distribution and phosphorylation of tau proteins in cat cerebellum was studied with two well characterized antibodies, TAU-1 and TAU-2. TAU-1 detects tau proteins in axons, and the epitope in perikarya and dendrites is masked by phosphorylation. TAU-2 detects a phosphorylation-independent epitope on tau proteins. The molecular composition of tau proteins in the range of 45 kD to 64 kD at birth changed after the first postnatal month to a set of several adult variants of higher molecular weights in the range of 59 kD to 95 kD. The appearance of tau proteins in subsets of axons corresponds to the axonal maturation of cerebellar local-circuit neurons in granular and molecular layers and confirms previous studies. Tau proteins were also identified in synapses by immunofluorescent double-staining with synapsin I, located in the pinceau around the Purkinje cells, and in glomeruli. Dephosphorylation of juvenile cerebellar tissue by alkaline phosphatase indicated indirectly the presence of differentially phosphorylated tau forms mainly in juvenile ages. Additional TAU-1 immunoreactivity was unmasked in numerous perikarya and dendrites of stellate cells, and in cell bodies of granule cells. Purkinje cell bodies were stained transiently at juvenile ages. During postnatal development, the intensity of the phosphate-dependent staining decreased, suggesting that phosphorylation of tau proteins in perikarya and dendrites may be essential for early steps in neuronal morphogenesis during cat cerebellum development.

The multipoint Morisita index for the analysis of spatial patterns

In many fields, the spatial clustering of sampled data points has many consequences. Therefore, several indices have been proposed to assess the level of clustering affecting datasets (e.g. the Morisita index, Ripley's Kfunction and Rényi's generalized entropy). The classical Morisita index measures how many times it is more likely to select two measurement points from the same quadrats (the data set is covered by a regular grid of changing size) than it would be in the case of a random distribution generated from a Poisson process. The multipoint version (k-Morisita) takes into account k points with k >= 2. The present research deals with a new development of the k-Morisita index for (1) monitoring network characterization and for (2) detection of patterns in monitored phenomena. From a theoretical perspective, a connection between the k-Morisita index and multifractality has also been found and highlighted on a mathematical multifractal set.

Level-wise node size distribution of randomly generated regular trees

"Vegeu el resum a l'inici del document del fitxer adjunt."

Integral formulae for a Riemannian manifold with a distribution

We obtain a new series of integral formulae for symmetric functions of curvature of a distribution of arbitrary codimension (an its orthogonal complement) given on a compact Riemannian manifold, which start from known formula by P.Walczak (1990) and generalize ones for foliations by several authors: Asimov (1978), Brito, Langevin and Rosenberg (1981), Brito and Naveira (2000), Andrzejewski and Walczak (2010), etc. Our integral formulae involve the co-nullity tensor, certain component of the curvature tensor and their products. The formulae also deal with a number of arbitrary functions depending on the scalar invariants of the co-nullity tensor. For foliated manifolds of constant curvature the obtained formulae give us the classical type formulae. For a special choice of functions our formulae reduce to ones with Newton transformations of the co-nullity tensor.

Multivariate contemporaneous-threshold autoregressive models

This paper proposes a contemporaneous-threshold multivariate smooth transition autoregressive (C-MSTAR) model in which the regime weights depend on the ex ante probabilities that latent regime-specific variables exceed certain threshold values. A key feature of the model is that the transition function depends on all the parameters of the model as well as on the data. Since the mixing weights are also a function of the regime-specific innovation covariance matrix, the model can account for contemporaneous regime-specific co-movements of the variables. The stability and distributional properties of the proposed model are discussed, as well as issues of estimation, testing and forecasting. The practical usefulness of the C-MSTAR model is illustrated by examining the relationship between US stock prices and interest rates.