Actuarial Notes

CAS Exam MAS-II Fall 2019, Question 7

Study guide: Exam MAS-II

The heights of 20 schoolgirls are measured on a yearly basis from age 6 to 10. The girls were classified into three groups. The three groups are based on the height of their mother (SHORT, MEDIUM, or TALL).

The table below illustrates the data:

Child ID Height of Mother Child Age Child Height
1 SHORT 6 111
1 SHORT 7 116.4
1 SHORT 8 121.7
1 SHORT 9 126.3
1 SHORT 10 130.5
2 SHORT 6 110
… … … …
7 MEDIUM 6 116
… … … …
20 TALL 10 152.3

The hierarchical Linear Mixed Model given below is used to model HEIGHT_{ti}, where HEIGHT_{ti} is the t^{th} annual height measurement of the i^{th} schoolgirl.

Level 1 Model (Time):

HEIGHT_{ti} = b_{0i} + b_{1i} \times AGE_{ti} + \varepsilon_{ti}, \qquad \varepsilon_{ti} \sim N(0, \sigma^2)

Level 2 Model (individual schoolgirl):

\begin{align*}
b_{0i} &= \beta_0 + \beta_2 \times SHORT_i + \beta_3 \times TALL_i + u_{0i} \\
b_{1i} &= \beta_1 + u_{1i}
\end{align*}

where u_i = \begin{pmatrix} u_{0i} \\ u_{1i} \end{pmatrix} \sim N(0, \mathbf{D}).

Determine which of the following Linear Mixed Models is equivalent to the above hierarchical model.

  • A) HEIGHT_{ti} = \beta_0 + \beta_1 \times AGE_{ti} + \beta_2 \times SHORT_i + \beta_3 \times TALL_i + u_{0i} + \varepsilon_{ti}
  • B) HEIGHT_{ti} = \beta_0 + \beta_1 \times AGE_{ti} + \beta_2 \times SHORT_i + \beta_3 \times TALL_i + u_{0i} + u_{1i} + \varepsilon_{ti}
  • C) HEIGHT_{ti} = \beta_0 + \beta_1 \times AGE_{ti} + \beta_2 \times SHORT_i + \beta_3 \times TALL_i + u_{0i} + u_{1i} \times AGE_{ti} + \varepsilon_{ti}
  • D) HEIGHT_{ti} = \beta_0 + \beta_1 \times SHORT_i + \beta_2 \times TALL_i + \beta_3 \times AGE_i + u_{0i} + u_{1i} \times AGE_{ti} + \varepsilon_{ti}
  • E) HEIGHT_{ti} = \beta_0 + \beta_1 \times AGE_{ti} + \beta_2 \times SHORT_i + \beta_3 \times TALL_i + u_{0i} \times AGE_{ti} + u_{1i} + \varepsilon_{ti}

Answer this question and see the worked solution

Concepts tested

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