@actuarial-ts/core 0.1.0

package/dist/ulae.js

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+import { ReservingError } from "./types.js";
+import { isNum } from "./util.js";
+/**
+ * Weight presets from the paper. The GENERALIZED method is any caller-chosen
+ * triple (there is no handbook of u-values; the paper develops them by
+ * interviewing claims personnel), so it deliberately has no preset entry.
+ */
+export const ULAE_WEIGHT_PRESETS = {
+    /**
+     * Kittel's refined method: 50% opening / 50% closing, with the caller
+     * supplying R = reported losses and C = paid losses per Kittel's
+     * assumptions (no partial payments or reopenings, no future development).
+     * W = M / (50% x (paid + reported)).
+     */
+    kittel: { weights: { u1: 0.5, u2: 0, u3: 0.5 }, basis: "weighted" },
+    /**
+     * Classical paid-to-paid: the same 50/50 lifecycle assumption plus the
+     * steady-state identity R = P = C, which collapses the basis to paid
+     * losses: W = M / P. Reserve = W* x (IBNR + 50% x case reserves).
+     */
+    classicalPaidToPaid: { weights: { u1: 0.5, u2: 0, u3: 0.5 }, basis: "paid" },
+};
+const WEIGHT_SUM_TOLERANCE = 1e-6;
+function validateWeights(weights) {
+    const { u1, u2, u3 } = weights;
+    for (const [name, value] of [
+        ["u1", u1],
+        ["u2", u2],
+        ["u3", u3],
+    ]) {
+        if (!isNum(value) || value < 0 || value > 1) {
+            throw new ReservingError("BAD_WEIGHTS", `ULAE weight ${name} must be a finite number within [0, 1], got ${value}`);
+        }
+    }
+    if (Math.abs(u1 + u2 + u3 - 1) > WEIGHT_SUM_TOLERANCE) {
+        throw new ReservingError("BAD_WEIGHTS", `ULAE weights must sum to 1 (u1 + u2 + u3 = ${u1 + u2 + u3})`);
+    }
+}
+function requireNonNegative(value, name) {
+    if (!isNum(value) || value < 0) {
+        throw new ReservingError("BAD_LOSSES", `${name} must be a finite, non-negative number, got ${value}`);
+    }
+}
+/**
+ * Calendar-period ULAE ratios W = M / B (the paper's Exhibits B-F machinery).
+ * Pass opts.basis = "paid" for the classical paid-to-paid collapse.
+ */
+export function ulaeRatios(periods, weights, opts = {}) {
+    validateWeights(weights);
+    if (periods.length === 0) {
+        throw new ReservingError("NO_DATA", "ULAE ratios need at least one calendar period");
+    }
+    const basisKind = opts.basis ?? "weighted";
+    const warnings = [];
+    const rows = [];
+    let totalM = 0;
+    let totalB = 0;
+    for (const period of periods) {
+        requireNonNegative(period.ulaePaid, `Period ${period.label}: ulaePaid`);
+        requireNonNegative(period.reportedUltimate, `Period ${period.label}: reportedUltimate`);
+        requireNonNegative(period.paid, `Period ${period.label}: paid`);
+        requireNonNegative(period.closedUltimate, `Period ${period.label}: closedUltimate`);
+        const basis = basisKind === "paid"
+            ? period.paid
+            : weights.u1 * period.reportedUltimate +
+                weights.u2 * period.paid +
+                weights.u3 * period.closedUltimate;
+        const ratio = basis > 0 ? period.ulaePaid / basis : null;
+        if (ratio === null) {
+            warnings.push(`Period ${period.label} has a non-positive loss basis; its ULAE ratio is not computable`);
+        }
+        rows.push({ label: period.label, ulaePaid: period.ulaePaid, basis, ratio });
+        totalM += period.ulaePaid;
+        totalB += basis;
+    }
+    return {
+        weights,
+        basis: basisKind,
+        rows,
+        totals: { ulaePaid: totalM, basis: totalB, ratio: totalB > 0 ? totalM / totalB : null },
+        warnings,
+    };
+}
+/**
+ * The paper's three reserve forms (pp. 113-115), analogous to expected-loss /
+ * Bornhuetter-Ferguson / development loss reserving:
+ *
+ * - "expected":            unpaid = W* L - M(t)
+ * - "bornhuetterFerguson": unpaid = W* [u1 (L - R(t)) + u2 (L - P(t)) + u3 (L - C(t))]
+ *                          = W* (L - B(t))  -- the paper's recommended default
+ * - "development":         unpaid = M(t) (L / B(t) - 1)
+ *
+ * With Kittel's weights (50/0/50) and C(t) = P(t) the B-F form reduces to
+ * W* x (IBNR + 50% x case reserves) - the Kittel identity.
+ */
+export function ulaeReserve(input) {
+    validateWeights(input.weights);
+    if (!isNum(input.selectedW) || input.selectedW < 0) {
+        throw new ReservingError("BAD_RATIO", `Selected ULAE ratio W* must be a finite, non-negative number, got ${input.selectedW}`);
+    }
+    requireNonNegative(input.ultimateLosses, "ultimateLosses");
+    const { u1, u2, u3 } = input.weights;
+    const warnings = [];
+    // A measure is needed when its weight is positive (B-F and development
+    // forms); an omitted-but-unweighted measure is treated as 0 in B(t).
+    const measure = (value, weight, name, needed) => {
+        if (value === undefined) {
+            if (needed && weight > 0) {
+                throw new ReservingError("NO_DATA", `${name} is required when its ULAE weight is positive (${input.form} form)`);
+            }
+            return 0;
+        }
+        requireNonNegative(value, name);
+        return value;
+    };
+    const needsBasis = input.form !== "expected";
+    const R = measure(input.reportedToDate, u1, "reportedToDate", needsBasis);
+    const P = measure(input.paidToDate, u2, "paidToDate", needsBasis);
+    const C = measure(input.closedToDate, u3, "closedToDate", needsBasis);
+    const haveBasis = (u1 === 0 || input.reportedToDate !== undefined) &&
+        (u2 === 0 || input.paidToDate !== undefined) &&
+        (u3 === 0 || input.closedToDate !== undefined);
+    const basisToDate = haveBasis ? u1 * R + u2 * P + u3 * C : null;
+    const requireM = () => {
+        if (input.ulaePaidToDate === undefined) {
+            throw new ReservingError("NO_DATA", `ulaePaidToDate is required for the ${input.form} ULAE reserve form`);
+        }
+        requireNonNegative(input.ulaePaidToDate, "ulaePaidToDate");
+        return input.ulaePaidToDate;
+    };
+    let unpaidUlae;
+    let components = null;
+    switch (input.form) {
+        case "expected": {
+            const M = requireM();
+            unpaidUlae = input.selectedW * input.ultimateLosses - M;
+            if (unpaidUlae < 0) {
+                warnings.push("ULAE paid to date exceeds W* x ultimate losses; the expected-form reserve is negative");
+            }
+            break;
+        }
+        case "bornhuetterFerguson": {
+            const L = input.ultimateLosses;
+            components = {
+                opening: input.selectedW * u1 * (L - R),
+                maintaining: input.selectedW * u2 * (L - P),
+                closing: input.selectedW * u3 * (L - C),
+            };
+            unpaidUlae = components.opening + components.maintaining + components.closing;
+            break;
+        }
+        case "development": {
+            const M = requireM();
+            if (basisToDate === null || basisToDate <= 0) {
+                throw new ReservingError("NO_DATA", "The development ULAE reserve form needs a positive loss basis to date (B = u1 R + u2 P + u3 C)");
+            }
+            unpaidUlae = M * (input.ultimateLosses / basisToDate - 1);
+            warnings.push("The development form is overly responsive to random ULAE emergence (Conger-Nolibos); the Bornhuetter-Ferguson form is the paper's recommended default");
+            break;
+        }
+    }
+    return { form: input.form, unpaidUlae, basisToDate, components, warnings };
+}
+//# sourceMappingURL=ulae.js.map

package/dist/ulae.js.map

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package/dist/util.d.ts

@@ -0,0 +1,24 @@
+/** Shared numeric helpers. All null-safe by construction. */
+/** True when v is a usable finite number. */
+export declare function isNum(v: number | null | undefined): v is number;
+/**
+ * Safe ratio: returns null when either side is missing or the denominator
+ * is missing, zero, or negative ("no factor", never an exception).
+ */
+export declare function safeRatio(num: number | null, den: number | null): number | null;
+/** Ordinary least squares of y on x. Returns null when fewer than 2 points. */
+export declare function ols(x: number[], y: number[]): {
+    intercept: number;
+    slope: number;
+    rSquared: number;
+    n: number;
+} | null;
+/** Index of the last non-null cell in a row; -1 when the row is empty. */
+export declare function lastObservedIndex(row: (number | null)[]): number;
+/**
+ * Index of the last cell observed in BOTH rows (paired-triangle diagonals);
+ * -1 when no cell is jointly observed. Interior holes are respected: the
+ * search walks left until both sides are numbers.
+ */
+export declare function lastJointObservedIndex(a: (number | null)[], b: (number | null)[]): number;
+//# sourceMappingURL=util.d.ts.map

package/dist/util.d.ts.map

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package/dist/util.js

@@ -0,0 +1,66 @@
+/** Shared numeric helpers. All null-safe by construction. */
+/** True when v is a usable finite number. */
+export function isNum(v) {
+    return typeof v === "number" && Number.isFinite(v);
+}
+/**
+ * Safe ratio: returns null when either side is missing or the denominator
+ * is missing, zero, or negative ("no factor", never an exception).
+ */
+export function safeRatio(num, den) {
+    if (!isNum(num) || !isNum(den) || den <= 0)
+        return null;
+    return num / den;
+}
+/** Ordinary least squares of y on x. Returns null when fewer than 2 points. */
+export function ols(x, y) {
+    const n = Math.min(x.length, y.length);
+    if (n < 2)
+        return null;
+    let sx = 0;
+    let sy = 0;
+    for (let i = 0; i < n; i++) {
+        sx += x[i];
+        sy += y[i];
+    }
+    const mx = sx / n;
+    const my = sy / n;
+    let sxx = 0;
+    let sxy = 0;
+    let syy = 0;
+    for (let i = 0; i < n; i++) {
+        const dx = x[i] - mx;
+        const dy = y[i] - my;
+        sxx += dx * dx;
+        sxy += dx * dy;
+        syy += dy * dy;
+    }
+    if (sxx === 0)
+        return null;
+    const slope = sxy / sxx;
+    const intercept = my - slope * mx;
+    // R^2 = 1 - SSE/SST; when SST is 0 the fit is a perfect horizontal line.
+    const rSquared = syy === 0 ? 1 : 1 - (syy - (sxy * sxy) / sxx) / syy;
+    return { intercept, slope, rSquared, n };
+}
+/** Index of the last non-null cell in a row; -1 when the row is empty. */
+export function lastObservedIndex(row) {
+    for (let j = row.length - 1; j >= 0; j--) {
+        if (isNum(row[j] ?? null))
+            return j;
+    }
+    return -1;
+}
+/**
+ * Index of the last cell observed in BOTH rows (paired-triangle diagonals);
+ * -1 when no cell is jointly observed. Interior holes are respected: the
+ * search walks left until both sides are numbers.
+ */
+export function lastJointObservedIndex(a, b) {
+    for (let j = Math.min(a.length, b.length) - 1; j >= 0; j--) {
+        if (isNum(a[j] ?? null) && isNum(b[j] ?? null))
+            return j;
+    }
+    return -1;
+}
+//# sourceMappingURL=util.js.map

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package/package.json

@@ -0,0 +1,66 @@
+{
+  "name": "@actuarial-ts/core",
+  "version": "0.1.0",
+  "description": "Pure, zero-dependency P&C loss reserving engine for TypeScript: triangles, chain ladder, Mack, Bornhuetter-Ferguson, Benktander, Cape Cod (Gluck decay), Munich chain ladder, Clark growth curves, frequency-severity, Berquist-Sherman, ULAE, discounting, tails, capping/ILF, trend/on-level, diagnostics, and a seeded stochastic layer (ODP bootstrap, Merz-Wuthrich one-year risk) \u2014 validated against published actuarial literature.",
+  "license": "Apache-2.0",
+  "type": "module",
+  "main": "./dist/index.js",
+  "types": "./dist/index.d.ts",
+  "exports": {
+    ".": {
+      "types": "./dist/index.d.ts",
+      "default": "./dist/index.js"
+    },
+    "./package.json": "./package.json"
+  },
+  "files": [
+    "dist",
+    "README.md",
+    "LICENSE",
+    "NOTICE"
+  ],
+  "sideEffects": false,
+  "engines": {
+    "node": ">=20"
+  },
+  "repository": {
+    "type": "git",
+    "url": "git+https://github.com/yerromnitsuj/actng.git",
+    "directory": "packages/core"
+  },
+  "keywords": [
+    "actuarial",
+    "reserving",
+    "chain-ladder",
+    "mack",
+    "bornhuetter-ferguson",
+    "cape-cod",
+    "berquist-sherman",
+    "loss-development",
+    "triangle",
+    "ibnr",
+    "insurance",
+    "property-casualty",
+    "odp-bootstrap",
+    "merz-wuthrich",
+    "munich-chain-ladder",
+    "clark",
+    "stochastic-reserving",
+    "ulae",
+    "discounting"
+  ],
+  "scripts": {
+    "build": "tsc -p tsconfig.build.json",
+    "test": "vitest run",
+    "test:watch": "vitest",
+    "typecheck": "tsc --noEmit",
+    "prepack": "tsc -p tsconfig.build.json"
+  },
+  "devDependencies": {
+    "typescript": "^5.7.3",
+    "vitest": "^3.0.5"
+  },
+  "publishConfig": {
+    "access": "public"
+  }
+}