Next week, I will attend the 7th European Actuarial Journal Conference in Istanbul. I will present our joint paper Direct and Indirect Discrimination in Generalized Linear Models,

Generalized linear models are central to actuarial modelling of binary risk, claim frequency, utilization, and cost-related outcomes. Yet fairness diagnostics often rely on linear-model intuitions, although GLM predictions are obtained by transporting a latent score through a nonlinear inverse link. We develop a moment-based decomposition framework for diagnosing group disparities in fitted GLM predictions. In an exact linear-Gaussian benchmark, the Wasserstein barycentric criterion for distributional demographic-parity violation reduces to a two-moment criterion and decomposes into direct mean, indirect mean, interaction, and structural components. For GLMs, we distinguish the empirical output-scale criterion U_2(f), a within-group proxy \tilde{U}_2(f), and a leading decomposition D_1(f). This leading term preserves the four linear channels and adds two curvature components induced by the inverse link: curvature coupling and curvature amplification. We derive explicit formulas for logistic, Poisson, and Tweedie specifications and illustrate the diagnostic on medical-expenditure survey data. The framework is not a legal test of discrimination, nor a full characterization of distributional parity outside the linear-Gaussian case. It is a tractable actuarial diagnostic for identifying whether fitted prediction disparities arise from explicit sensitive effects, proxy-mediated covariate profiles, covariance-structure differences, or nonlinear link effects.

Slides are now available.

Arthur Charpentier

Arthur Charpentier, professor in Montréal, in Actuarial Science. Former professor-assistant at ENSAE Paristech, associate professor at Ecole Polytechnique and assistant professor… Read more

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