@actuarial-ts/core 0.1.0

package/LICENSE

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package/NOTICE

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+actuarial-ts
+Copyright 2026 Justin Morrey
+
+This product includes software developed as part of the actuarial-ts project
+(https://github.com/yerromnitsuj/actng).

package/README.md

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+# @actuarial-ts/core
+
+A pure, zero-dependency P&C loss reserving engine for TypeScript. The
+deterministic shelf: triangles, development factors, chain ladder,
+Bornhuetter-Ferguson, Benktander, Cape Cod (with the Gluck decay
+generalization), Expected Claims, frequency-severity, Berquist-Sherman,
+Munich chain ladder, case-outstanding development, Fisher-Lange,
+salvage/subrogation, ULAE, tail fitting, large-loss capping and ILF
+restoration, trend and premium on-leveling, discounting (built to the June
+2026 ASOP No. 20), and assumption diagnostics. The stochastic layer, fully
+seeded and reproducible: Mack standard errors, the ODP bootstrap,
+Merz-Wuthrich one-year risk, and Clark growth-curve MLE — every method
+validated against published actuarial literature where published values
+exist.
+
+`@actuarial-ts/core` is the numeric kernel of the actuarial-ts SDK. It is
+**designed to support the actuary's compliance with the Actuarial Standards of
+Practice** (ASOP Nos. 43, 23, 41, 56, 25, 36, 20, 21, 38, and 13) by making
+methods, assumptions, and their diagnostics explicit and reportable.
+Responsibility for compliance remains with the credentialed actuary; no
+software can be "ASOP-approved" and this one does not claim to be.
+
+## Install
+
+```bash
+npm install @actuarial-ts/core
+```
+
+ESM, TypeScript-first, zero runtime dependencies, Node >= 20.
+
+## Quick start
+
+```ts
+import {
+  buildTriangles,
+  computeDevelopmentFactors,
+  runChainLadder,
+  runMack,
+  fitAllTails,
+} from "@actuarial-ts/core";
+
+// One row per claim per evaluation snapshot (the standard loss-run shape).
+const { paid, incurred } = buildTriangles(claimSnapshots, {
+  cadence: "annual",
+  asOfDate: "2025-12-31",
+});
+
+// The averages menu: all-year/n-year straight and volume-weighted, medial,
+// geometric. Selection is YOUR judgment; the engine never picks for you.
+const factors = computeDevelopmentFactors(paid);
+const selected = factors.averages.find((a) => a.spec.key === "all-wtd")!.values;
+
+const tails = fitAllTails(selected);
+const tail = tails.exponentialDecay.valid ? tails.exponentialDecay.tailFactor : 1;
+
+const cl = runChainLadder(paid, { selected, tailFactor: tail });
+const mack = runMack(paid, { selected, tailFactor: tail });
+
+console.log(cl.totals.unpaid, mack.totals.standardError, cl.warnings);
+```
+
+## The contract
+
+Three rules hold everywhere:
+
+1. **Null is a first-class citizen.** Unobservable triangle cells are `null`.
+   Division by a missing, zero, or negative denominator yields `null` ("no
+   factor") — never an exception, never `NaN`.
+2. **Three-tier severity.** Impossible input throws `ReservingError` with a
+   machine-readable code from the exported `RESERVING_ERROR_CODES` registry.
+   Degraded-but-legal situations compute anyway and explain themselves in the
+   result's `warnings: string[]`. Missing data is `null`, not an error.
+3. **Judgment belongs to the caller.** The engine computes evidence (factor
+   menus, tail fits, diagnostics) and applies *your* selections (LDFs, tails,
+   a-prioris, trends, caps). It never silently selects.
+
+## Method inventory
+
+| Module | Methods | Primary literature |
+|---|---|---|
+| `triangle` | `buildTriangles` (7 triangle kinds from claim-level snapshots, annual/quarterly), `triangleFromGrid` | Friedland, *Estimating Unpaid Claims Using Basic Techniques* |
+| `factors` | `computeDevelopmentFactors` (averages menu), `factorVolatility` | Friedland ch. 7; Mack (1993) factor conventions |
+| `chainladder` | `runChainLadder` | Friedland ch. 7 |
+| `mack` | `runMack` — distribution-free standard errors on the selected basis, with tail | Mack (1993) ASTIN 23(2); Mack (1999) ASTIN 29(2) |
+| `bf` | `runBornhuetterFerguson` (per-origin/global/derived a-priori) | Bornhuetter & Ferguson (1972) |
+| `elrMethods` | `runCapeCod`, `runExpectedClaims` | Stanard-Buhlmann; Friedland chs. 8, 10 |
+| `tail` | `fitTail`, `fitAllTails` (exponential decay, Sherman inverse power, validity gates) | Sherman (1984); Boor (2006) |
+| `berquist` | `berquistCaseAdequacy`, `berquistSettlement` | Berquist & Sherman (1977); Friedland ch. 13 |
+| `benktander` | `runBenktander` — the iterated BF credibility blend | Mack (2000) ASTIN 30(2); Benktander (1976) |
+| `freqSev` | `runFrequencySeverity`, `severityTriangle` | Friedland ch. 11 |
+| `munichChainLadder` | `runMunichChainLadder` — closes the paid/incurred gap | Quarg & Mack (2004), Variance 2:2 |
+| `caseOutstanding` | `runCaseOutstanding` | Friedland ch. 12 |
+| `fisherLange` | `runFisherLange` — disposal-rate frequency-severity | Fisher & Lange (1973); Friedland ch. 11 |
+| `salvageSubro` | `runSalvageSubro`, `netOfRecoveries` | Friedland ch. 14 |
+| `ulae` | `ulaeRatios`, `ulaeReserve`, `ULAE_WEIGHT_PRESETS` | Conger & Nolibos (2003); Kittel (1981) |
+| `discounting` | `payoutPatternFromChainLadder`, `discountUnpaid` | ASOP No. 20 (June 2026 edition) |
+| `stochastic` | `createRng` (seeded), `summarizeSample`, `StochasticResult` | — |
+| `triangleAlgebra` | `cumulativeToIncremental`, `incrementalToCumulative`, `addTriangles`, `subtractTriangles` | — |
+| `odpBootstrap` | `odpFit` (GLM == chain ladder identity), `runOdpBootstrap` | England & Verrall (1999/2002); Shapland, CAS Monograph 4 |
+| `merzWuthrich` | `runMerzWuthrich` — one-year CDR MSEP vs Mack's ultimate view | Merz & Wuthrich (2008), CAS E-Forum |
+| `clark` | `clarkGrowth`, `runClarkLdf`, `runClarkCapeCod` — MLE + delta-method variances | Clark (2003), CAS Forum |
+| `capping` | `capClaims`, `claimSizeDiagnostics` (per-occurrence caps, indexed) | standard large-loss practice |
+| `ilf` | censored-MLE severity fits (lognormal, Pareto), Kaplan-Meier checks, ILF table interpolation, uncap factors | Klugman et al., *Loss Models*; standard ILF practice |
+| `trend` | `analyzeTrend`, `trendValue` (log-linear, windowed) | Werner & Modlin, *Basic Ratemaking* ch. 6 |
+| `onlevel` | `parallelogramOnLevel` (exact piecewise-linear earning geometry) | Werner & Modlin ch. 5 |
+| `diagnostics` | `runDiagnostics` (paid/incurred drift, case adequacy, closure rates), `calendarYearTest` | Mack (1994) calendar-year rank test |
+
+## Validation against published results
+
+The test suite reproduces, from the primary sources (transcriptions under
+`docs/research/` in the repository):
+
+- Mack (1993), ASTIN 23(2): Taylor/Ashe and mortgage-guarantee factors,
+  reserves, sigma-squared (including the extrapolated column), standard errors.
+- Mack (1994), CAS Forum: the RAA triangle's calendar-year test (Appendix H)
+  and factor-correlation test (Appendix G), every printed statistic.
+- Mack (1999), ASTIN 29(2): ultimates under the published 1.05 tail.
+- Mack (2000), ASTIN 30(2): the Benktander numerical example.
+- Gluck (1997), PCAS LXXXIV: Generalized Cape Cod Tables 1-4.
+- England (2002), IME 31: ODP bootstrap prediction errors and percentiles
+  on Taylor/Ashe.
+- Merz & Wuthrich (2008): the Table 4 one-year CDR volatilities.
+- Clark (2003): both methods' fitted parameters, reserves, and variance
+  decompositions (to ~1e-5).
+- Quarg & Mack (2004): the fire-portfolio example's every printed parameter
+  row and projected cell.
+
+These published-value tests are the package's change contract: math changes
+are wrong until they pass.
+
+## License
+
+Apache-2.0. Copyright 2026 Justin Morrey.

package/dist/benktander.d.ts

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+import type { BornhuetterFergusonResult, ChainLadderResult } from "./types.js";
+/**
+ * Benktander-Hovinen method (the "iterated Bornhuetter-Ferguson").
+ *
+ * Ground truth (Mack 2000, "Credible Claims Reserves: The Benktander
+ * Method", ASTIN Bulletin 30(2)):
+ * - With q = 1 - 1/CDF (the expected unreported/unpaid fraction) and C the
+ *   losses to date: U_GB = C + q x U_BF — Bornhuetter-Ferguson applied once
+ *   more, with the BF ultimate as the a-priori.
+ * - Equivalently a credibility mixture U_GB = (1-q) x U_CL + q x U_BF with
+ *   credibility Z = 1-q on the chain ladder: mature periods lean on CL,
+ *   green periods lean on the a-priori — automatically.
+ * - Mack (2000) shows U_GB has a smaller mean squared error than both CL and
+ *   BF over a wide parameter range; it is the standard "use both" answer.
+ *
+ * Rows are the BF result's rows (BF excludes origins with no usable
+ * premium; those stay excluded here). CDFs below 1 (incurred bases with
+ * expected downward development) make q negative — the estimator still
+ * evaluates, but it is an extrapolation past the chain ladder rather than a
+ * mixture, and the result says so in warnings.
+ */
+export interface BenktanderRow {
+    origin: string;
+    latestValue: number;
+    cdf: number;
+    /** Credibility on the chain ladder: Z = 1 - q = 1/CDF. */
+    credibilityZ: number;
+    clUltimate: number;
+    bfUltimate: number;
+    ultimate: number;
+    unpaid: number;
+}
+export interface BenktanderResult {
+    method: "benktander";
+    basis: BornhuetterFergusonResult["basis"];
+    rows: BenktanderRow[];
+    totals: {
+        latest: number;
+        ultimate: number;
+        unpaid: number;
+    };
+    warnings: string[];
+}
+export declare function runBenktander(chainLadder: ChainLadderResult, bf: BornhuetterFergusonResult): BenktanderResult;
+//# sourceMappingURL=benktander.d.ts.map

package/dist/benktander.d.ts.map

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package/dist/benktander.js

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+import { ReservingError } from "./types.js";
+export function runBenktander(chainLadder, bf) {
+    const warnings = [];
+    const clByOrigin = new Map(chainLadder.rows.map((r) => [r.origin, r]));
+    const rows = bf.rows.map((bfRow) => {
+        const cl = clByOrigin.get(bfRow.origin);
+        if (!cl) {
+            throw new ReservingError("SHAPE", `Origin ${bfRow.origin} is in the Bornhuetter-Ferguson result but missing from the chain ladder result; both must come from the same run`);
+        }
+        const q = 1 - 1 / bfRow.cdf;
+        if (q < 0) {
+            warnings.push(`Origin ${bfRow.origin}: CDF ${bfRow.cdf.toFixed(3)} is below 1, so Benktander extrapolates past the chain ladder rather than blending (expected downward development)`);
+        }
+        const ultimate = bfRow.latestValue + q * bfRow.ultimate;
+        return {
+            origin: bfRow.origin,
+            latestValue: bfRow.latestValue,
+            cdf: bfRow.cdf,
+            credibilityZ: 1 - q,
+            clUltimate: cl.ultimate,
+            bfUltimate: bfRow.ultimate,
+            ultimate,
+            unpaid: ultimate - bfRow.latestValue,
+        };
+    });
+    return {
+        method: "benktander",
+        basis: bf.basis,
+        rows,
+        totals: {
+            latest: rows.reduce((a, r) => a + r.latestValue, 0),
+            ultimate: rows.reduce((a, r) => a + r.ultimate, 0),
+            unpaid: rows.reduce((a, r) => a + r.unpaid, 0),
+        },
+        warnings,
+    };
+}
+//# sourceMappingURL=benktander.js.map

package/dist/benktander.js.map

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package/dist/berquist.d.ts

@@ -0,0 +1,14 @@
+import type { BerquistCaseAdequacyResult, BerquistSettlementResult, Triangle } from "./types.js";
+export interface CaseAdequacyOptions {
+    /** Annual severity trend override (e.g. 0.15 for +15%/yr). Fitted when omitted. */
+    severityTrend?: number;
+}
+export declare function berquistCaseAdequacy(paid: Triangle, incurred: Triangle, openCounts: Triangle, options?: CaseAdequacyOptions): BerquistCaseAdequacyResult;
+export interface SettlementOptions {
+    /** Selected ultimate claim counts per origin (same order as triangle origins). */
+    ultimateCounts: number[];
+    /** Interpolation between (closed count, paid) points. Friedland uses exponential. */
+    interpolation?: "exponential" | "linear";
+}
+export declare function berquistSettlement(paid: Triangle, closedCounts: Triangle, options: SettlementOptions): BerquistSettlementResult;
+//# sourceMappingURL=berquist.d.ts.map

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