Yes, in general women do get cheaper car insurance.
Some jurisdictions have banned this - several states in the US prohibit charging women more. Here is the EU guidance from 2012 where gender discrimination was banned in car insurance:
This ‘unisex' or gender-neutral pricing means men and women with the same characteristics (e.g. age, state of health depending on the product) should pay the same price for the same product. Pricing will have to be based on other risk factors than sex, such as driving behaviour in the case of car insurance. This means people will no longer have to pay more, or less, simply because of their gender.
Insurance companies used gender to set premiums because, in aggregate, women drive more safely than men. Insurers have more data and more complex models now than they did in the past, and many have chosen to use more specific predictors of driving safety for each individual to set premiums.
Does this mean that there's no longer a difference in how much men and women pay for insurance? No, the use of models with more predictors has actually made that gap wider.
What appears to be at work is that car insurance companies set a price very much according to all the other data they can find on you – without actually asking your gender. So the quote you get back reflects the risks attached to your occupation, how much you drive, the sort of car you drive and whether you have made any modifications to the car.
I asked Confused.com to explain the worsening premiums for men, despite gender equality. It said: “The continuing disparity between men and women could be linked to the fact that certain male-dominated occupations may have a poorer claims experience.
“Also, on average, men may tend to drive larger and more costly vehicles. The more expensive/high-spec the vehicle, the more likely it is that the cost of repairs will be higher, and therefore this is reflected in the premium charged.”
This is an expected outcome. It was easy to use gender as a model predictor because it was covariate with the specific driving habits that made insurance riskier. Insurers now measure those driving habits directly, but that doesn't change the fact that they're still covariate with gender, and that there will be differences in the average between car insurance premiums for men and women. Even in jurisdictions that haven't prohibited gender discrimination, it's mostly explicitly gone, as the insurers who haven't upgraded to more modern actuarial models have a competitive disadvantage compared to the insurers who have.