@actuarial-ts/core 0.1.0

package/dist/munichChainLadder.js

@@ -0,0 +1,254 @@
+import { mackEstimators, extrapolateSigma2 } from "./mack.js";
+import { ReservingError } from "./types.js";
+import { isNum, lastObservedIndex } from "./util.js";
+/** Cell usable for ratio work: both triangles observed, both strictly positive. */
+function usablePair(p, inc) {
+    return isNum(p) && isNum(inc) && p > 0 && inc > 0;
+}
+export function runMunichChainLadder(paid, incurred, options = {}) {
+    const n = paid.origins.length;
+    const K = paid.ages.length;
+    if (incurred.origins.length !== n ||
+        incurred.ages.length !== K ||
+        paid.origins.some((o, i) => incurred.origins[i] !== o) ||
+        paid.ages.some((a, j) => incurred.ages[j] !== a)) {
+        throw new ReservingError("SHAPE", "Munich chain ladder needs paid and incurred triangles with identical origins and ages");
+    }
+    for (const tri of [paid, incurred]) {
+        if (tri.values.length !== n || tri.values.some((row) => row.length !== K)) {
+            throw new ReservingError("SHAPE", "Triangle values must be a full origins x ages rectangle (null below the diagonal)");
+        }
+    }
+    if (K < 2) {
+        throw new ReservingError("TOO_SMALL", "Munich chain ladder requires at least two development ages");
+    }
+    const warnings = [];
+    // Chain-ladder estimators, shared with Mack so the two can never drift.
+    const paidEst = mackEstimators(paid);
+    const incurredEst = mackEstimators(incurred);
+    // sigma completion: the final column (single factor) is never estimable.
+    // An explicit lastColumnSigma wins (the paper's manual 0.100); otherwise
+    // Mack's extrapolation rule fills every non-estimable column.
+    const completeSigma2 = (raw, label, override) => {
+        const withOverride = [...raw];
+        if (withOverride[K - 2] === null) {
+            const tag = label === "paid" ? "P" : "I";
+            if (isNum(override) && override >= 0) {
+                withOverride[K - 2] = override * override;
+                warnings.push(`sigma^${tag} for the final development column is not estimable; using the caller-supplied ${override} (Quarg-Mack set 0.100 in their example)`);
+            }
+            else {
+                warnings.push(`sigma^${tag} for the final development column is not estimable; filled by Mack's extrapolation rule (the paper suggests a sounder extrapolation in practice)`);
+            }
+        }
+        return extrapolateSigma2(withOverride, paid.ages, warnings);
+    };
+    const sigma2Paid = completeSigma2(paidEst.sigma2, "paid", options.lastColumnSigma?.paid);
+    const sigma2Incurred = completeSigma2(incurredEst.sigma2, "incurred", options.lastColumnSigma?.incurred);
+    // qhat_s (incurred-weighted average P/I per column) and the rho variance
+    // estimators for the ratio series (Sec 3.1.2; denominator = pairs - 1,
+    // exactly the Mack convention, verified against the printed rho rows).
+    const qRatios = new Array(K).fill(null);
+    const rhoPaid = new Array(K).fill(null);
+    const rhoIncurred = new Array(K).fill(null);
+    for (let s = 0; s < K; s++) {
+        let sumP = 0;
+        let sumI = 0;
+        let count = 0;
+        for (let i = 0; i < n; i++) {
+            const p = paid.values[i][s] ?? null;
+            const inc = incurred.values[i][s] ?? null;
+            if (usablePair(p, inc)) {
+                sumP += p;
+                sumI += inc;
+                count++;
+            }
+        }
+        if (count === 0 || sumP <= 0 || sumI <= 0)
+            continue;
+        const q = sumP / sumI;
+        qRatios[s] = q;
+        if (count < 2)
+            continue;
+        let devP = 0;
+        let devI = 0;
+        for (let i = 0; i < n; i++) {
+            const p = paid.values[i][s] ?? null;
+            const inc = incurred.values[i][s] ?? null;
+            if (!usablePair(p, inc))
+                continue;
+            devP += p * (inc / p - 1 / q) ** 2;
+            devI += inc * (p / inc - q) ** 2;
+        }
+        rhoPaid[s] = Math.sqrt(devP / (count - 1));
+        rhoIncurred[s] = Math.sqrt(devI / (count - 1));
+    }
+    // The four residual triangles. Factor residuals need the DATA-ESTIMATED
+    // sigma (not the extrapolated one); ratio residuals need rho > 0.
+    const residuals = {
+        paidFactor: Array.from({ length: n }, () => new Array(K - 1).fill(null)),
+        incurredFactor: Array.from({ length: n }, () => new Array(K - 1).fill(null)),
+        paidRatio: Array.from({ length: n }, () => new Array(K).fill(null)),
+        incurredRatio: Array.from({ length: n }, () => new Array(K).fill(null)),
+    };
+    for (let s = 0; s < K; s++) {
+        const q = qRatios[s];
+        const rP = rhoPaid[s];
+        const rI = rhoIncurred[s];
+        if (!isNum(q) || !isNum(rP) || !isNum(rI) || rP <= 0 || rI <= 0)
+            continue;
+        for (let i = 0; i < n; i++) {
+            const p = paid.values[i][s] ?? null;
+            const inc = incurred.values[i][s] ?? null;
+            if (!usablePair(p, inc))
+                continue;
+            residuals.paidRatio[i][s] = ((inc / p - 1 / q) / rP) * Math.sqrt(p);
+            residuals.incurredRatio[i][s] = ((p / inc - q) / rI) * Math.sqrt(inc);
+        }
+    }
+    for (let s = 0; s < K - 1; s++) {
+        const s2P = paidEst.sigma2[s];
+        const s2I = incurredEst.sigma2[s];
+        for (let i = 0; i < n; i++) {
+            const p0 = paid.values[i][s] ?? null;
+            const p1 = paid.values[i][s + 1] ?? null;
+            if (isNum(s2P) && s2P > 0 && isNum(p0) && isNum(p1) && p0 > 0) {
+                residuals.paidFactor[i][s] = ((p1 / p0 - paidEst.f[s]) / Math.sqrt(s2P)) * Math.sqrt(p0);
+            }
+            const i0 = incurred.values[i][s] ?? null;
+            const i1 = incurred.values[i][s + 1] ?? null;
+            if (isNum(s2I) && s2I > 0 && isNum(i0) && isNum(i1) && i0 > 0) {
+                residuals.incurredFactor[i][s] =
+                    ((i1 / i0 - incurredEst.f[s]) / Math.sqrt(s2I)) * Math.sqrt(i0);
+            }
+        }
+    }
+    // Size gate: the pooled regressions need factor residuals, which exist
+    // only where a development column has two or more observed factors (a 3x3
+    // triangle at minimum). Zero-variance ratio series (rho = 0) are NOT a
+    // size problem - they collapse lambda to 0 below, the paper's built-in
+    // safety mechanism.
+    const anySigma = (raw) => raw.some((v) => v !== null);
+    if (!anySigma(paidEst.sigma2) && !anySigma(incurredEst.sigma2)) {
+        throw new ReservingError("TOO_SMALL", "Munich chain ladder needs at least one development column with two observed factors (a 3x3 triangle at minimum) to pool residuals");
+    }
+    // lambda^P / lambda^I: through-origin regression slopes over the pooled
+    // residual pairs (factor residual on the preceding ratio residual).
+    let numP = 0;
+    let denP = 0;
+    let numI = 0;
+    let denI = 0;
+    for (let s = 0; s < K - 1; s++) {
+        for (let i = 0; i < n; i++) {
+            const fResP = residuals.paidFactor[i][s];
+            const rResP = residuals.paidRatio[i][s];
+            if (isNum(fResP) && isNum(rResP)) {
+                numP += rResP * fResP;
+                denP += rResP * rResP;
+            }
+            const fResI = residuals.incurredFactor[i][s];
+            const rResI = residuals.incurredRatio[i][s];
+            if (isNum(fResI) && isNum(rResI)) {
+                numI += rResI * fResI;
+                denI += rResI * rResI;
+            }
+        }
+    }
+    const lambdaFor = (num, den, label) => {
+        if (den > 0)
+            return num / den;
+        warnings.push(`No usable ${label} residual variation; lambda^${label === "paid" ? "P" : "I"} set to 0 (the projection collapses to the separate chain ladder)`);
+        return 0;
+    };
+    const lambdaPaid = lambdaFor(numP, denP, "paid");
+    const lambdaIncurred = lambdaFor(numI, denI, "incurred");
+    // Simultaneous cell-by-cell projection, and the SCL comparison projection.
+    const projectedPaid = new Array(n).fill(null);
+    const projectedIncurred = new Array(n).fill(null);
+    const rows = [];
+    const totals = { paidUltimate: 0, incurredUltimate: 0, sclPaidUltimate: 0, sclIncurredUltimate: 0 };
+    const droppedCorrectionColumns = new Set();
+    for (let i = 0; i < n; i++) {
+        const lastP = lastObservedIndex(paid.values[i]);
+        const lastI = lastObservedIndex(incurred.values[i]);
+        if (lastP < 0 || lastI < 0) {
+            warnings.push(`Origin ${paid.origins[i]} has no observed ${lastP < 0 ? "paid" : "incurred"} values; excluded from results`);
+            continue;
+        }
+        if (lastP !== lastI) {
+            warnings.push(`Origin ${paid.origins[i]}: paid and incurred diagonals end at different ages (${paid.ages[lastP]} vs ${paid.ages[lastI]}); the joint projection starts at the earlier age and observed cells are kept as given`);
+        }
+        const start = Math.min(lastP, lastI);
+        const mclP = paid.values[i].map((v) => (isNum(v) ? v : null));
+        const mclI = incurred.values[i].map((v) => (isNum(v) ? v : null));
+        for (let s = start; s < K - 1; s++) {
+            const p = mclP[s];
+            const inc = mclI[s];
+            // Multiplied-out recursion (Sec 3.2.1): no division by p or inc, so
+            // zero paid stays projectable, driven by the incurred side.
+            let nextP = p * paidEst.f[s];
+            let nextI = inc * incurredEst.f[s];
+            const q = qRatios[s];
+            const rP = rhoPaid[s];
+            const rI = rhoIncurred[s];
+            if (isNum(q) && q > 0 && isNum(rP) && rP > 0 && isNum(rI) && rI > 0) {
+                nextP += lambdaPaid * (Math.sqrt(sigma2Paid[s]) / rP) * (inc - p / q);
+                nextI += lambdaIncurred * (Math.sqrt(sigma2Incurred[s]) / rI) * (p - inc * q);
+            }
+            else if (!droppedCorrectionColumns.has(s)) {
+                droppedCorrectionColumns.add(s);
+                warnings.push(`No usable (P/I) ratio parameters at age ${paid.ages[s]}; the MCL correction is dropped for that step (falls back to the chain-ladder factor)`);
+            }
+            // Never overwrite an observation (only possible on ragged diagonals).
+            const observedP = mclP[s + 1] ?? null;
+            const observedI = mclI[s + 1] ?? null;
+            mclP[s + 1] = isNum(observedP) ? observedP : nextP;
+            mclI[s + 1] = isNum(observedI) ? observedI : nextI;
+        }
+        projectedPaid[i] = mclP;
+        projectedIncurred[i] = mclI;
+        // Separate chain ladder from each triangle's own diagonal.
+        let sclP = paid.values[i][lastP];
+        for (let s = lastP; s < K - 1; s++)
+            sclP *= paidEst.f[s];
+        let sclI = incurred.values[i][lastI];
+        for (let s = lastI; s < K - 1; s++)
+            sclI *= incurredEst.f[s];
+        const paidUltimate = mclP[K - 1];
+        const incurredUltimate = mclI[K - 1];
+        rows.push({
+            origin: paid.origins[i],
+            paidLatest: paid.values[i][lastP],
+            incurredLatest: incurred.values[i][lastI],
+            paidUltimate,
+            incurredUltimate,
+            sclPaidUltimate: sclP,
+            sclIncurredUltimate: sclI,
+            finalRatio: incurredUltimate > 0 ? paidUltimate / incurredUltimate : null,
+            sclFinalRatio: sclI > 0 ? sclP / sclI : null,
+        });
+        totals.paidUltimate += paidUltimate;
+        totals.incurredUltimate += incurredUltimate;
+        totals.sclPaidUltimate += sclP;
+        totals.sclIncurredUltimate += sclI;
+    }
+    return {
+        method: "munichChainLadder",
+        paidFactors: paidEst.f,
+        incurredFactors: incurredEst.f,
+        sigmaPaid: sigma2Paid.map((v) => Math.sqrt(v)),
+        sigmaIncurred: sigma2Incurred.map((v) => Math.sqrt(v)),
+        qRatios,
+        rhoPaid,
+        rhoIncurred,
+        lambdaPaid,
+        lambdaIncurred,
+        residuals,
+        projectedPaid,
+        projectedIncurred,
+        rows,
+        totals,
+        warnings,
+    };
+}
+//# sourceMappingURL=munichChainLadder.js.map

package/dist/munichChainLadder.js.map

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package/dist/odpBootstrap.d.ts

@@ -0,0 +1,65 @@
+import type { Triangle } from "./types.js";
+import { type StochasticResult } from "./stochastic.js";
+/**
+ * Over-dispersed Poisson (ODP) bootstrap of the chain ladder.
+ *
+ * Ground truth (England & Verrall 1999/2002; Shapland, CAS Monograph No. 4):
+ * - The cross-classified ODP GLM's fitted values reproduce the all-year
+ *   volume-weighted chain ladder EXACTLY. In practice the fitted past
+ *   incrementals come from the backwards recursion: anchor each row's
+ *   latest observed cumulative, divide back through the volume-weighted
+ *   factors, and difference.
+ * - Unscaled Pearson residuals r = (q - m) / sqrt(m) on incrementals; the
+ *   scale parameter is phi = sum(r^2) / (n - p) with n = observed
+ *   incrementals and p = 2I - 1 parameters for an I-origin triangle.
+ * - Resampling: draw residuals with replacement onto the fitted past
+ *   (q* = m + r sqrt(m)), cumulate, refit volume-weighted factors, project
+ *   each future incremental, and add process variance by sampling
+ *   Gamma(mean m_f, variance phi m_f). Residuals are inflated by
+ *   sqrt(n / (n - p)) first (the standard small-sample bias adjustment) —
+ *   controllable via options.
+ * - Structural zero residuals (cells the fit reproduces exactly by
+ *   construction, e.g. the corners) are excluded from the resampling pool.
+ *
+ * The GLM-mean == chain-ladder identity is the method's own validation
+ * hook: `odpFit(tri).reserveByOrigin` must tie to the volume-weighted
+ * chain ladder to floating-point precision, and the test suite pins it.
+ */
+export interface OdpFit {
+    /** Volume-weighted all-year factors, one per development interval. */
+    factors: number[];
+    /** Fitted past incrementals m_ij (null where unobserved). */
+    fittedIncrementals: (number | null)[][];
+    /** Unscaled Pearson residuals (null where unobserved or structurally zero). */
+    residuals: (number | null)[][];
+    /** Future incremental means per cell (null where already observed). */
+    futureMeans: (number | null)[][];
+    /** Expected unpaid per origin (== volume-weighted chain ladder reserve). */
+    reserveByOrigin: {
+        origin: string;
+        reserve: number;
+    }[];
+    phi: number;
+    n: number;
+    p: number;
+    /** Residuals actually in the resampling pool (structural zeros excluded). */
+    poolSize: number;
+    warnings: string[];
+}
+/** Fits the ODP cross-classified model via the chain-ladder equivalence. */
+export declare function odpFit(tri: Triangle): OdpFit;
+export interface OdpBootstrapOptions {
+    nSims: number;
+    seed: number;
+    /** Inflate residuals by sqrt(n/(n-p)) before resampling (default true). */
+    biasAdjust?: boolean;
+    /** Add ODP process variance via gamma sampling (default true). */
+    processVariance?: boolean;
+}
+export interface OdpBootstrapResult extends StochasticResult {
+    method: "odpBootstrap";
+    fit: OdpFit;
+}
+/** The ODP bootstrap. Same seed + same triangle = same result, bit for bit. */
+export declare function runOdpBootstrap(tri: Triangle, options: OdpBootstrapOptions): OdpBootstrapResult;
+//# sourceMappingURL=odpBootstrap.d.ts.map

package/dist/odpBootstrap.d.ts.map

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package/dist/odpBootstrap.js

@@ -0,0 +1,243 @@
+import { ReservingError } from "./types.js";
+import { isNum, lastObservedIndex } from "./util.js";
+import { cumulativeToIncremental } from "./triangleAlgebra.js";
+import { createRng, summarizeSample, } from "./stochastic.js";
+/** Volume-weighted all-year factors (the ODP GLM's implied development). */
+function volumeWeightedFactors(tri) {
+    const K = tri.ages.length;
+    const out = [];
+    for (let j = 0; j < K - 1; j++) {
+        let num = 0;
+        let den = 0;
+        for (let i = 0; i < tri.origins.length; i++) {
+            const c0 = tri.values[i][j] ?? null;
+            const c1 = tri.values[i][j + 1] ?? null;
+            if (isNum(c0) && isNum(c1) && c0 > 0) {
+                num += c1;
+                den += c0;
+            }
+        }
+        if (den <= 0) {
+            throw new ReservingError("NO_FACTOR", `Development column ${tri.ages[j]}-${tri.ages[j + 1]} has no usable factors for the ODP fit`);
+        }
+        out.push(num / den);
+    }
+    return out;
+}
+/** Fits the ODP cross-classified model via the chain-ladder equivalence. */
+export function odpFit(tri) {
+    const warnings = [];
+    const I = tri.origins.length;
+    const K = tri.ages.length;
+    if (I < 3 || K < 3) {
+        throw new ReservingError("TOO_SMALL", "The ODP bootstrap needs at least a 3x3 triangle");
+    }
+    const factors = volumeWeightedFactors(tri);
+    const incr = cumulativeToIncremental(tri);
+    // Backwards recursion for fitted past cumulatives, anchored at each row's
+    // latest observed diagonal.
+    const fittedCum = tri.origins.map(() => new Array(K).fill(null));
+    const latestIdx = [];
+    for (let i = 0; i < I; i++) {
+        const d = lastObservedIndex(tri.values[i]);
+        latestIdx.push(d);
+        if (d < 0) {
+            warnings.push(`Origin ${tri.origins[i]} has no observed cells; excluded from the fit`);
+            continue;
+        }
+        const anchor = tri.values[i][d];
+        fittedCum[i][d] = anchor;
+        for (let j = d - 1; j >= 0; j--) {
+            fittedCum[i][j] = fittedCum[i][j + 1] / factors[j];
+        }
+    }
+    // Fitted past incrementals.
+    const fittedIncrementals = fittedCum.map((row, i) => {
+        const d = latestIdx[i];
+        return row.map((v, j) => {
+            if (j > d || !isNum(v))
+                return null;
+            if (j === 0)
+                return v;
+            return v - row[j - 1];
+        });
+    });
+    // Pearson residuals; structural zeros (|q - m| ~ 0 at machine precision
+    // where the fit reproduces the cell by construction) leave the pool.
+    const residuals = tri.origins.map(() => new Array(K).fill(null));
+    let n = 0;
+    let sumSq = 0;
+    let pool = 0;
+    let negativeFitted = 0;
+    for (let i = 0; i < I; i++) {
+        for (let j = 0; j <= latestIdx[i]; j++) {
+            const q = incr.values[i][j] ?? null;
+            const m = fittedIncrementals[i][j] ?? null;
+            if (!isNum(q) || !isNum(m))
+                continue;
+            n++;
+            if (m <= 0) {
+                negativeFitted++;
+                continue;
+            }
+            const r = (q - m) / Math.sqrt(m);
+            sumSq += r * r;
+            if (Math.abs(r) > 1e-10) {
+                residuals[i][j] = r;
+                pool++;
+            }
+            else {
+                residuals[i][j] = 0; // structural zero: reported, not resampled
+            }
+        }
+    }
+    if (negativeFitted > 0) {
+        warnings.push(`${negativeFitted} fitted incremental(s) are non-positive; their residuals are undefined and excluded (see Shapland on negative incrementals)`);
+    }
+    const p = 2 * I - 1;
+    if (n <= p) {
+        throw new ReservingError("TOO_SMALL", `The ODP fit has ${n} observations for ${p} parameters; no degrees of freedom remain`);
+    }
+    const phi = sumSq / (n - p);
+    // Future incremental means from the fitted projection.
+    const futureMeans = tri.origins.map(() => new Array(K).fill(null));
+    const reserveByOrigin = [];
+    for (let i = 0; i < I; i++) {
+        const d = latestIdx[i];
+        if (d < 0)
+            continue;
+        let cum = tri.values[i][d];
+        let reserve = 0;
+        for (let j = d + 1; j < K; j++) {
+            const next = cum * factors[j - 1];
+            const m = next - cum;
+            futureMeans[i][j] = m;
+            reserve += m;
+            cum = next;
+        }
+        reserveByOrigin.push({ origin: tri.origins[i], reserve });
+    }
+    return {
+        factors,
+        fittedIncrementals,
+        residuals,
+        futureMeans,
+        reserveByOrigin,
+        phi,
+        n,
+        p,
+        poolSize: pool,
+        warnings,
+    };
+}
+/** The ODP bootstrap. Same seed + same triangle = same result, bit for bit. */
+export function runOdpBootstrap(tri, options) {
+    const { nSims, seed } = options;
+    if (!Number.isInteger(nSims) || nSims < 100) {
+        throw new ReservingError("TOO_SMALL", "The bootstrap needs an integer nSims >= 100");
+    }
+    const biasAdjust = options.biasAdjust ?? true;
+    const processVariance = options.processVariance ?? true;
+    const fit = odpFit(tri);
+    const warnings = [...fit.warnings];
+    const I = tri.origins.length;
+    const K = tri.ages.length;
+    const rng = createRng(seed);
+    // Residual pool (bias-adjusted), flattened.
+    const inflate = biasAdjust ? Math.sqrt(fit.n / (fit.n - fit.p)) : 1;
+    const pool = [];
+    for (const row of fit.residuals) {
+        for (const r of row) {
+            if (isNum(r) && Math.abs(r) > 1e-10)
+                pool.push(r * inflate);
+        }
+    }
+    if (pool.length < 10) {
+        throw new ReservingError("TOO_SMALL", "Fewer than 10 usable residuals; bootstrap unreliable");
+    }
+    const latestIdx = tri.values.map((row) => lastObservedIndex(row));
+    let negativeFutureMeans = 0;
+    const totals = new Array(nSims).fill(0);
+    const perOrigin = tri.origins.map(() => new Array(nSims).fill(0));
+    for (let b = 0; b < nSims; b++) {
+        // 1. Pseudo past incrementals -> pseudo cumulative triangle.
+        const pseudoCum = tri.origins.map(() => new Array(K).fill(null));
+        for (let i = 0; i < I; i++) {
+            let running = 0;
+            for (let j = 0; j <= latestIdx[i]; j++) {
+                const m = fit.fittedIncrementals[i][j];
+                if (!isNum(m) || m <= 0) {
+                    // Cells without a usable fitted value keep their mean contribution.
+                    running += isNum(m) ? m : 0;
+                }
+                else {
+                    const r = pool[Math.floor(rng.next() * pool.length)];
+                    running += m + r * Math.sqrt(m);
+                }
+                pseudoCum[i][j] = running;
+            }
+        }
+        const pseudo = {
+            kind: tri.kind,
+            origins: tri.origins,
+            ages: tri.ages,
+            values: pseudoCum,
+        };
+        // 2. Refit and project; 3. process variance on each future incremental.
+        let factors;
+        try {
+            factors = volumeWeightedFactors(pseudo);
+        }
+        catch {
+            // A pathological resample (non-positive column volume) is discarded by
+            // reusing the fitted factors; counted and warned once at the end.
+            factors = fit.factors;
+            negativeFutureMeans++;
+        }
+        for (let i = 0; i < I; i++) {
+            const d = latestIdx[i];
+            if (d < 0)
+                continue;
+            let cum = pseudoCum[i][d];
+            let reserve = 0;
+            for (let j = d + 1; j < K; j++) {
+                const next = cum * factors[j - 1];
+                let m = next - cum;
+                if (processVariance) {
+                    if (m > 0) {
+                        // Gamma with mean m, variance phi m.
+                        m = rng.gamma(m / fit.phi) * fit.phi;
+                    }
+                    else if (m < 0) {
+                        negativeFutureMeans++;
+                    }
+                }
+                reserve += m;
+                // The projection chain advances on the mean path; process noise is
+                // per-cell around the mean (England & Verrall 2002, Appendix 3).
+                cum = next;
+            }
+            perOrigin[i][b] = reserve;
+            totals[b] += reserve;
+        }
+    }
+    if (negativeFutureMeans > 0) {
+        warnings.push(`${negativeFutureMeans} simulated future incremental(s)/resample(s) had non-positive means; added deterministically without process variance (documented simplification for downward development)`);
+    }
+    const byOrigin = tri.origins
+        .map((origin, i) => ({ origin, samples: perOrigin[i] }))
+        .filter((e) => latestIdx[tri.origins.indexOf(e.origin)] >= 0 && e.samples.some((v) => v !== 0))
+        .map((e) => ({ origin: e.origin, summary: summarizeSample(e.samples) }));
+    return {
+        method: "odpBootstrap",
+        quantity: "unpaid",
+        seed,
+        nSims,
+        total: summarizeSample(totals),
+        byOrigin,
+        totalSamples: [...totals].sort((a, b) => a - b),
+        fit,
+        warnings,
+    };
+}
+//# sourceMappingURL=odpBootstrap.js.map

package/dist/odpBootstrap.js.map

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package/dist/onlevel.d.ts

@@ -0,0 +1,39 @@
+/**
+ * Parallelogram-method premium on-leveling (Werner & Modlin ch. 5).
+ *
+ * Assumptions, stated plainly: policies carry an ANNUAL term, are written
+ * uniformly through time, and premium earns evenly over the policy term. A
+ * rate change applies to policies WRITTEN on or after its effective date.
+ * Under those assumptions the share of a calendar period's EARNED premium
+ * sitting at each historical rate level is a piece of parallelogram
+ * geometry, computed here exactly (piecewise-linear integration, no grids).
+ *
+ * The on-level factor for a period = current cumulative rate level divided
+ * by the average rate level earned in that period.
+ */
+export interface RateChange {
+    /** ISO date the change takes effect (applies to policies written on/after it). */
+    effectiveDate: string;
+    /** Rate change, e.g. 0.05 = +5%. */
+    change: number;
+}
+export interface OnLevelRow {
+    origin: string;
+    /** Average relative rate level earned in the period (1 = initial level). */
+    averageRateLevel: number;
+    /** currentLevel / averageRateLevel. */
+    onLevelFactor: number;
+}
+export interface OnLevelResult {
+    rows: OnLevelRow[];
+    /** Cumulative rate level after all changes (1 = initial level). */
+    currentLevel: number;
+    warnings: string[];
+}
+/**
+ * On-level factors per origin period from a rate-change history. Changes
+ * effective before all data simply set the base level; an empty history
+ * yields factors of exactly 1.
+ */
+export declare function parallelogramOnLevel(origins: string[], history: RateChange[]): OnLevelResult;
+//# sourceMappingURL=onlevel.d.ts.map

package/dist/onlevel.d.ts.map

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