Up the Gamma-Gompertz curve with gun and camera Alcuni approfondimenti della curva GammaGompertz Gustavo De Santis and Giambattista Salinari Abstract First, we propose a new procedure for the estimation of the parameters of the Gamma-Gompertz model (GGM) of adult and senior mortality, so as to circumvent the possible bias caused by period effects (e.g., a sudden reduction of mortality in certain years, due to, for instance, medical progress). Then, we check two of the assumptions of the model: the constancy of the rate of ageing and the effect of the initial distribution of frailty on mortality deceleration. On data taken from the Human Mortality Database (female cohorts, from nine European countries, aged 75-99 years), the GGM failed both tests: ageing is not constant, and the deceleration of mortality is stronger than the model predicts. However, these deviations are relatively minor, especially at very old ages (90+). Abstract Si tratta qui del modello Gamma-Gompertz (GG) per lo studio della mortalità in età adulta e anziana. Prima ne stimiamo i parametri con un nuovo metodo, che evita la distorsione causata dagli effetti di periodo. Poi verifichiamo due assunti del modello: la costanza del tasso di senescenza e la riduzione della variabilità della fragilità con l’età, con dati tratti dallo Human Mortality Database, relativi a coorti di donne, in nove paesi Europei, osservate nella fascia d’età 75-99 anni. Il tasso di senescenza non è però costante, e il processo di decelerazione della variabilità della mortalità è più intenso di quello atteso. Tuttavia, questi scostamenti sono di piccola entità e, a età molto elevate (90+), l’evoluzione della mortalità sembra effettivamente convergere verso il modello GG. Key words: adult mortality, Gamma-Gompertz model, period effect. 1 Gustavo De Santis, DISIA, Un. of Firenze; email: [email protected] Giambattista Salinari, DISEA, Un. of Sassari; email: [email protected] The research work has been financed by the P.O.R. Sardinia F.S.E. 2007–2013 in the context of research project 13/D3-2 developed at the University of Sassari PAGE 6 Gustavo De Santis and Giambattista Salinari Introduction In the demographic literature models abound that attempt to describe the evolution of mortality with age (Yashin et al 2000). Among these, the most important is probably the Gamma-Gompertz model, GGM (Vaupel et al. 1979), in part for its mathematical tractability and elegance, but also, and more importantly, because the theoretical and the empirical advances of the past few years have lent credit to the conjecture that it may be the best possible mathematical description of mortality at adult (and old) ages (Missov and Vaupel 2015). Let us first recall two concepts that are important for this model: the force of mortality x and frailty zi. The former is defined as the instantaneous rate of death. The latter is the ratio between two forces of mortality: that of a specific individual i and that of a standard individual, whose frailty is normalized to one (Vaupel et al., 1979). The GGM is based on four assumptions: 1) frailty is a constant, for every individual i (i.e., it does not change as people get older); 2) among the members of a cohort, frailty is Gamma distributed; 3) the individual force of mortality evolves as a Gompertz (1825) curve 𝜇𝑖,𝑥 = 𝛼𝑖 𝑒 𝛽𝑥 ; 4) all the members of a cohort share the same rate of ageing (same in the Gompertz curve). After analyzing the data collected by Kannisto on super-centenarians, Gampe (2010) concluded that, at very old ages, somewhere between 110 and 120 years, there is a sort of “mortality plateau”, when the annual probability of death levels off at a value of about 0.5. This empirical finding had important theoretical consequences. Finkelstein and Esaulova (2006), for instance, had already proved that if a mortality plateau exists, then a whole family of models - the so-called accelerated life models (where is not the same for everybody) - cannot adequately describe the evolution of mortality with age. Subsequently, Missov and Finkelstein (2011) proved that the existence of a mortality plateau is compatible with just a handful of theoretical distributions of frailty, among which the Gamma distribution. These and other pieces of evidence led Missov and Vaupel (2015) to conclude that the GGM stands out as the best, possibly the sole, model for the description of mortality at adult ages. In this paper we initially propose a new, simple procedure for the estimation of the parameters of the GGM which attenuates (and, possibly, eliminates) the risks of period biases due to the reduction in mortality in certain years. This reduction may be due to, for instance, the medical progress of the past one hundred years or so, and, if it is not kept under control, it may cause an underestimate of the rate of ageing . With this procedure we obtained new estimates for , which we used to run two different checks on the assumptions of the GGM. First, we compared different groups of cohorts born in different periods and countries in order to test whether the rate of ageing is truly a constant. If different cohorts exposed to different geographical, environmental and historical conditions were to experience different rates of ageing, then the rate of ageing could not be constant at the individual level, thus contradicting one of the hypotheses underpinning the Gamma-Gompertz model. Up the GG curve, with gun and camera PAGE 7 It is probably for this reason that Vaupel (2010) advanced the hypothesis that all human cohorts share the same rate of ageing at the individual level. Secondly, we checked whether the initial heterogeneity of frailty (that is, the parameter σ20 in the GGM) can adequately capture the process of mortality deceleration for which it is responsible (through the selection of the fittest, who tend to survive to older ages). The GGM failed both our tests: the rate of ageing changed across countries and over time, and mortality deceleration was stronger than the GGM predicted. However, both deviations from the empirical reality were not very large, and progressively vanished as generations aged. In short, Gamma-Gompertz seems to be a good model, overall, and especially so at very old ages. The Methodology Vaupel et al. (1979) proved that, if the four assumptions that we recalled earlier hold, then the average (cohort) force of mortality from age a onwards evolves as a GGM, that is (1) 2 ln(𝜇̅𝑗,𝑥 ) = 𝛼𝑗 + 𝛽𝑥 + 𝜎𝑗,0 ln(𝑠̅𝑗,𝑥 ) + 𝜀𝑗,𝑥 where x=age-a, 𝜇̅𝑗,𝑥 represents the average force of mortality of cohort j at age x, 2 𝜎𝑗,0 stands for the initial variance of frailty and 𝑠̅𝑗,𝑥 represents the average survival function. This model can be estimated with weighted least squares (WLS), where the weights are the number of deaths at age x in cohort j (Horiuchi and Wilmoth 1998), or with maximum likelihood (ML). In both cases, unfortunately, two types of bias may affect the estimates. The first of these, the incidental parameter problem, stems from the fact that cohort-specific 2 parameters (𝛼𝑗 and 𝜎𝑗,0 ) are estimated together with a parameter which, instead, is assumed to be the same for all the cohorts, 𝛽. In cases like this, the maximum likelihood estimation of the common parameter (𝛽) is not consistent (Neyman and Scott 1948). There are a few known ways of circumventing this problem (see, e.g., Salinari and De Santis, 2014), but in this paper we suggest a new, and simpler, one: eq. (1) can 2 be estimated on a small number of contiguous cohorts so that 𝛼𝑗 and 𝜎𝑗,0 can be approximated by their means, that is, respectively, 𝛼 (the mean value of the initial mortality) and 𝜎02 (the mean value of the initial variance of frailty) (2) ln(𝜇̅𝑗,𝑥 ) = 𝛼 + 𝛽𝑥 + 𝜎02 ln(𝑠̅𝑗,𝑥 ) + 𝜀𝑗,𝑥 PAGE 6 Gustavo De Santis and Giambattista Salinari This procedure can be repeated for several, adjacent (and, if so desired, partially overlapping) groups of cohorts, yielding G different estimates of g, which, if were truly a constant, should not differ significantly from one another. The second form of bias arises because of the historical process of mortality reduction of the past two centuries. The simple version of eq. (2) [o (1), for that matter] holds if mortality is constant over time. If, instead, mortality declines, its force j,x will vary not only by age but also by period, a circumstance which, if not controlled for, results in a downward bias in the estimate of the rate of ageing 𝛽.1 In order to take this case into account, eq. (2) may be rewritten as follows: ln(𝜇̅𝑗,𝑥 ) = 𝛼 + 𝛽𝑥 + 𝜎02 ln(𝑠̅𝑗,𝑥 ) + ∑𝐽𝑗=0 ∑𝜔 𝑥=0 𝛾𝑗,𝑥 𝜉𝑗,𝑥 + 𝜀𝑗,𝑥 (3) where each 𝜉𝑡,𝑥 is a dummy variable whose value is 1 for cohort j at age x, and 0 otherwise, and where 𝛾𝑗,𝑥 represents the reduction in mortality due to period effects (e.g., medical progress) in year t (= j+x) for cohort j at age x. In eq. (3) the very general assumption is that period effects may affect the force of mortality in an agespecific way. A convenient way of getting rid of period effects, which is frequently used in panel data analysis, is to differentiate eq. (3) by age: (4) 2 ̅̅̅̅𝑗,𝑥 ) = 𝛽(∆𝑥) + 𝜎𝑗,0 ̅̅̅𝑗,𝑥 ) + ∑𝐽𝑗=0 ∑𝜔 ln(∆𝜇 ln(∆𝑠 𝑥=0 ∆𝛾𝑗,𝑥 𝜉𝑗,𝑥 + 𝜈𝑗,𝑥 where and where 𝜈𝑗,𝑥 ̅̅̅̅𝑗,𝑥 = 𝜇̅𝑗,𝑥+1 − 𝜇̅𝑗,𝑥 ∆𝜇 ̅̅̅ ∆𝑠𝑗,𝑥 = 𝑠̅𝑗,𝑥+1 − 𝑠̅𝑗,𝑥 ∆𝛾𝑗,𝑥 = 𝛾𝑗,𝑥+1 − 𝛾𝑗,𝑥 is the new error term. If we assume that period effects are virtually the same at two contiguous ages x and x+1, then ∆𝛾𝑗,𝑥 ≅ 0, which leads to (5) 1 2 ̅̅̅̅𝑗,𝑥 ) = 𝛽(∆𝑥) + 𝜎𝑗,0 ̅̅̅𝑗,𝑥 ) + 𝜈𝑗,𝑥 ln(∆𝜇 ln(∆𝑠 Let us assume that, at the individual level, the mortality rate doubling time is seven year (which, incidentally, is not far from reality). The (rate of) mortality of an individual aged x+7 at time t+7 should therefore be twice as high as that of an individual aged x at time t. Let us suppose, however, that the introduction of a medical innovation between t and t+7 has suddenly shifted the mortality hazard function downward, leaving the mortality rate doubling time unchanged. In this case, mortality at age x+7 in year t+7 will be lower than expected, conveying the wrong impression of a longer mortality rate doubling time, and, also, of a change (reduction) in the rate of ageing. Up the GG curve, with gun and camera PAGE 7 Besides, if mortality is analyzed by single years of age, x=1 and eq. (5) further simplifies to ̅̅̅̅𝑗,𝑥 ) = 𝛽 + 𝜎02 ln(∆𝑠 ̅̅̅𝑗,𝑥 ) + 𝜈𝑗,𝑥 ln(∆𝜇 (6) Eq. (6) has several advantages: it is better protected from the two risks of bias discussed earlier (the incidental parameter problem and period effects), it is very simple, and it has very few parameters: this is why we used it for the empirical estimates of this paper. More precisely, in order to estimate the temporal evolution of the rate of ageing β, we estimated eq. (6) repeatedly, on groups of adjacent (and partially overlapping) cohorts, starting in year s and grouping cohorts as follows: [s, s+19], [s+1, s+1+19], …, [1907, 1915]. The initial groups contain 20 cohorts, while the final groups contain fewer, down to nine, because the cohort mortality of the cohorts born in 1916 or later is not known in its entirety, as yet. The estimates thus obtained have been attributed to the starting year of each interval: s, s+1, ..., 1907. The estimates were obtained with weighted least squares (WLS), with weights equal to half the number of deaths dx at age x, for x ranging between 75 and 99. Note that we ̅̅̅̅𝑗,𝑥 ) is ( 1 + 1 ), which can be implicitly assumed that the variance of ln(∆𝜇 dx 2 dx+1 approximated by ( ) (Brillinger 1986; Horiuchi and Wilmoth 1998). 𝑑𝑥 Let us now turn to the other issue: the decline with age in the variability of frailty, as predicted by the Gamma-Gompertz model. In order to investigate this aspect we introduced several interaction terms in model 6, as follows: (7) 2 ̅̅̅̅𝑗,𝑥 ) = 𝛽 + 𝜎02 ln(∆𝑠 ̅̅̅𝑗,𝑥 ) + ∑𝐾−1 ̅̅̅ ln(∆𝜇 𝑘=1 𝜁𝑥,𝑘 𝜎0,𝑘 ln(∆𝑠𝑗,𝑥 ) + 𝜈𝑗,𝑥 where 𝜁𝑥,𝑘 indicates a dummy variable whose value is one when x belongs to a given age interval (for instance, the ages 75-79) and 0 otherwise. In practice, we “segmented” the available age range in K segments, each one characterized by a 2 potentially specific value of 𝜎0,𝑘 . For this paper, in particular, we used 5 segments, each of the length of 5 years, for the ages 75 to 99. If the GGM of eq. 6 correctly predicts the reduction in the variance of frailty within a given group of cohorts, the 2 various 𝜎0,𝑘 ′𝑠 should not differ significantly from 0. 2 If, instead, the 𝜎0,𝑘 ′𝑠 turn out to be significantly different from 0, we can move a step forward, and compare the evolution with age of the variance of frailty as predicted by Gamma-Gompertz (eq. 6): (8) with that predicted by eq. (7): 𝜎𝑥2 = 𝜎02 [1+𝜎02 𝑀(𝑥)]2 PAGE 6 Gustavo De Santis and Giambattista Salinari 𝜎𝑥2 = ∑𝐾 𝑘=1 𝜁𝑥,𝑘 (9) 2 𝜎0,𝑘 2 [1+𝜎0,𝑘 𝑀(𝑥)]2 in order to assess whether the decline predicted by the GGM is faster or slower than empirical data suggest. The Data We worked on the cohort life tables of the Human Mortality Database (HMD). These are available for a sufficiently long period (roughly between 1850 and 1920 but it depends on the country), and for the age range that interested us (75-99 years), only for a handful of countries: Denmark, England and Wales, Finland, France, Italy, the Netherlands, Norway, Sweden, and Switzerland (Table 1). In order to minimize the potential distortion (mainly, selection) caused by the two world wars, we considered only females, and ignored males. Table 1: Female cohorts analyzed in this paper Country First cohort Last cohort Denmark 1835 1915 England-Wales 1841 1915 Finland 1878 1915 France 1820 1915 Italy 1872 1915 Netherlands 1850 1915 Norway 1846 1915 Sweden 1820 1915 Switzerland 1876 1915 Note: All cohorts analyzed only in the age range 75-99 years. The analysis is carried out on groups of adjacent cohort, as in a moving average. E.g., for Denmark we analyze the following groups of cohorts (1835-1854); (1836-1855), ..., (1906-1915), (1907-1915). Note that these groups are usually of 20 cohorts, but for the final groups which have better data but fewer cohorts (down to nine, in the worst case). Source: Human Mortality Database. The Results In Figure 1 we present a comparison of the estimates of the rate of ageing (the beta parameter of the GGM) obtained by working on the levels (eq. 2) and, separately, on Up the GG curve, with gun and camera PAGE 7 the differences (eq. 6) of the average force of mortality of female cohorts. What emerges is that the rate of ageing is not the same in the various countries: it is higher when it is estimated on the differences than when it is estimated directly, on levels; and the distance between the two sets of estimates is generally, although not always, larger at the beginning of the period (for older cohorts). Apart from the geographical differences, which had already been noted and discussed elsewhere (e.g., Salinari and De Santis 2014), these findings are all in all consistent with the conjecture that, by about mid-19th century, significant cross-sectional improvements in health and survival occurred, basically due to medical progress. The historical evolution of the rate of ageing is irregular, but its variability is not negligible - especially in Denmark, Finland, France, Norway, and Sweden, where, incidentally, the evolution of the rate of ageing follows a comparable pattern: it is generally higher in older cohorts, then it declines strongly, and later still it increases again. In the latest cohorts of our sample, in most countries, the rate of ageing seems to converge to values that are in the vicinity of 0.12. The process of cross-sectional change in the force of mortality, due in large part to medical progress, if not controlled for, introduces a bias in the estimates of eq. 2. This can be verified by looking at Figure 2 where we show the evolution of the initial variance of frailty (𝜎02 ) estimated with models (2) and (6). In most cases the estimates obtained with eq. 2 (which works on levels) were implausible: the 𝜎02 parameter appeared to be negative, and significantly so, which is simply impossible. This never happened when the estimates were instead obtained with eq. 6 (which works on differences): the variance of frailty was always positive - at worst, not significantly different from zero. In the GGM, the process of mortality deceleration stems from the progressive elimination of the frailest individuals from the cohort. If the four assumptions of the model hold, frailty is Gamma-distributed at every age x, but the variance and the mean of such distribution decline with age, because the surviving members of the cohort form a more and more homogeneous (and robust) set, as time goes by. In order to test if the force of mortality evolves in line with the prediction of the GGM, we compared the estimates of eq. (6) and eq. (7) on the female cohorts born between 1890 and 1915 in each of the nine countries covered by the present analysis, for the ages 75-99 (observed in the years 1965 to 2014, with no severe mortality crisis, due, for instance, to wars or epidemics). Furthermore, since we worked on mortality differences, in this application, the analysis should be sheltered from the possible biases of period effects. In short, if selection works as predicted by the GGM, the two sets of estimates should not differ significantly. The results of our check are shown in Table 2. In all of the nine countries considered here, model 7 (i.e., the more complicated one, with the interaction terms) always offered a better fit to the data (see, in particular the results of the ANOVA test). Furthermore, the results were very consistent, suggesting that the deviation from the GGM was systematic. In particular, the rate of ageing and the initial variance of frailty estimated with eq. (7) were always higher than that estimated with GammaGompertz, implying a stronger selection (i.e., elimination of the frailest). Actually, Table 2 and Figure 3 show that eq. (7) may be a better description of reality, or, in PAGE 6 Gustavo De Santis and Giambattista Salinari other words, that the variance of frailty is initially higher, but then declines faster, than the GGM predicts. Interestingly, however, both Table 2 and Figure 3 show that at very old ages (90 and over, for instance) the two models tend to converge, yielding basically the same estimates of the variance of frailty. Figure 1: Evolution over time of the rate of ageing (β) according to the GGM Denmark England−Wales Finland France Italy Netherland Norway Sweden Switzerland 0.20 0.15 0.10 0.05 Rate of Aging 0.20 0.15 0.10 0.05 0.20 0.15 0.10 0.05 1820 1840 1860 1880 1900 1820 1840 1860 1880 1900 1820 1840 1860 1880 1900 Year of Birth Note: Black (continuous) lines indicate values estimated on the differences (eq. 6); red (dotted) lines indicate values estimated on levels (eq. 2). In both cases, the dashed lines define the limits of the 5% confidence interval. Up the GG curve, with gun and camera PAGE 7 Figure 2: Evolution over time of the initial variance of frailty (σ20 ) according to Gamma-Gompertz England−Wales Denmark Finland 0.2 0.4 0.50 0.1 0.2 0.25 0.0 0.0 0.00 −0.2 −0.1 France Italy 0.2 0.4 Initial Variance of Frailty Netherland 0.2 0.1 0.2 0.1 0.0 0.0 0.0 −0.1 −0.1 Norway Sweden Switzerland 0.4 0.2 0.2 0.3 0.1 0.2 0.1 0.1 0.0 0.0 0.0 −0.1 −0.1 1850 1875 1900 1850 1875 1900 1850 1875 1900 Year of Birth Note: Black lines indicate values estimated on the differences (eq. 6); red lines values estimated on levels (eq. 2). In both cases, the dashed lines define the limits of the 5% confidence interval. PAGE 6 Gustavo De Santis and Giambattista Salinari Table 2: Testing the σ20 parameter of the Gamma-Gompertz model Country Model Parameter beta Denmark England-Wales Finland France Italy Netherlands Norway Sweden Switzerland 𝜎02 ANOVA 2 𝜎0,1 2 𝜎0,2 2 𝜎0,3 2 𝜎0,4 F Pr eq. 6 0,121 0,135 - - - - - - eq. 7 0,211 2,334 -1,110 -1,549 -1,801 -1,947 7,360 0,000 eq. 6 0,102 0,081 - - - - - - eq. 7 0,110 0,317 -0,116 -0,175 -0,222 -0,200 4,442 0,001 eq. 6 0,112 0,140 - - - - - - eq. 7 0,217 1,839 -0,576 -1,035 -1,284 -1,418 eq. 6 0,120 0,152 - - - - - - eq. 7 0,148 1,014 -0,483 -0,649 -0,748 -0,767 7,354 0,000 eq. 6 0,110 0,104 - - - - - - eq. 7 0,138 0,802 -0,411 -0,484 -0,582 -0,613 3,745 0,005 eq. 6 0,119 0,122 - - - - - - eq. 7 0,172 1,435 -0,626 -0,929 -1,118 -1,148 eq. 6 0,125 0,168 - - - - - - eq. 7 0,186 1,591 -0,656 -0,999 -1,176 -1,246 6,807 0,000 eq. 6 0,113 0,075 - - - - - - eq. 7 0,166 1,358 -0,587 -0,895 -1,057 -1,138 6,222 0,000 eq. 6 0,127 0,180 - - - - - - eq. 7 0,198 2,22 13,096 0,000 11,237 0,000 -1,0236 -1,5683 -1,7615 -1,8293 13,012 0,000 Note: Pr, in the last column, indicates the p.value of the ANOVA test. F is the ratio of the “explained” variances in the two models, which should approach one if there were no significant differences. Up the GG curve, with gun and camera Figure 3: The evolution of the variance of frailty according to eq. (6) and (7) PAGE 7 England−Wales Denmark Finland 0.3 2.0 1.5 1.5 0.2 1.0 1.0 0.5 0.5 0.1 0.0 0.0 France Italy Variance of frailty 0.75 0.6 0.50 0.4 Netherland 1.5 0.8 1.00 1.0 0.5 0.25 0.2 0.0 Norway Sweden Switzerland 1.5 2.0 1.0 1.5 1.0 1.0 0.5 0.5 0.5 0.0 0.0 0.0 75 80 85 90 95 75 80 85 90 95 75 80 85 90 95 Age Model eq. (8) eq. (9) Discussion The GGM, or Gamma-Gompertz model, for the analysis of adult mortality by age is a very good one - the best we have available, thus far. However, at closer inspection, PAGE 6 Gustavo De Santis and Giambattista Salinari it reveals a few weak points. The weakest of these is probably its assumption of a constant rate of ageing, which contradicts the evidence found on the differences between males and females, between countries and epochs and, recently, between causes of death (Barbi 2003; Barbi et al. 2003; Salinari and De Santis 2014). Incidentally, also the experiments carried out on lab animals have shown that the rate of ageing may be altered by, for instance, calorie restriction (Masoro 2005, 2009; Fontana et al 2010). The violation of the hypothesis of a constant rate of ageing, which the analyses of this paper have confirmed, especially with regard to its evolution over time, may be responsible also for the second main result of our paper: as cohorts get older, the reduction in the variability of frailty may be stronger than the GGM predicts. 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