@actuarial-ts/core 0.1.0

package/dist/berquist.js

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+import { ReservingError } from "./types.js";
+import { isNum, ols, safeRatio } from "./util.js";
+/**
+ * Berquist-Sherman adjustments (Berquist & Sherman 1977; Friedland ch. 13).
+ *
+ * Case-reserve adequacy: restate historical average case reserves (case
+ * reserves / open counts, by cell) to the current adequacy level by
+ * de-trending the latest diagonal backwards at an annual severity trend,
+ * then rebuild adjusted incurred = paid + restated average case x open counts.
+ *
+ * Settlement-rate: compute disposal rates (closed counts / ultimate counts),
+ * take the current settlement pattern from the latest diagonal, and restate
+ * historical paid losses by interpolating paid at the disposal-rate-equivalent
+ * closed-count level -- the textbook interpolation on (closed count, paid)
+ * points within each origin row, not a scalar ratio shortcut.
+ */
+function assertSameShape(a, b, what) {
+    if (a.origins.length !== b.origins.length ||
+        a.ages.length !== b.ages.length ||
+        a.origins.some((o, i) => o !== b.origins[i]) ||
+        a.ages.some((g, j) => g !== b.ages[j])) {
+        throw new ReservingError("SHAPE", `${what} triangles must share origins and ages`);
+    }
+}
+/** Last observed row index in a column; -1 when the column is empty. */
+function lastObservedRowInColumn(tri, j) {
+    for (let i = tri.origins.length - 1; i >= 0; i--) {
+        if (isNum(tri.values[i][j] ?? null))
+            return i;
+    }
+    return -1;
+}
+export function berquistCaseAdequacy(paid, incurred, openCounts, options = {}) {
+    assertSameShape(paid, incurred, "Paid and incurred");
+    assertSameShape(paid, openCounts, "Paid and open-count");
+    const nOrigins = paid.origins.length;
+    const nAges = paid.ages.length;
+    const warnings = [];
+    const periodYears = (paid.ages[0] ?? 12) / 12;
+    // Average open case reserve per open claim, by cell.
+    const averageCaseReserves = [];
+    for (let i = 0; i < nOrigins; i++) {
+        const row = [];
+        for (let j = 0; j < nAges; j++) {
+            const inc = incurred.values[i][j] ?? null;
+            const pd = paid.values[i][j] ?? null;
+            const open = openCounts.values[i][j] ?? null;
+            const caseAmt = isNum(inc) && isNum(pd) ? inc - pd : null;
+            row.push(safeRatio(caseAmt, open));
+        }
+        averageCaseReserves.push(row);
+    }
+    // Severity trend: user override, else fitted from ln(average case) regressed
+    // on origin index within each column, combined as a point-weighted average.
+    let severityTrend;
+    let trendSource;
+    if (options.severityTrend !== undefined) {
+        severityTrend = options.severityTrend;
+        trendSource = "user";
+    }
+    else {
+        let weighted = 0;
+        let weight = 0;
+        for (let j = 0; j < nAges; j++) {
+            const xs = [];
+            const ys = [];
+            for (let i = 0; i < nOrigins; i++) {
+                const v = averageCaseReserves[i][j] ?? null;
+                if (isNum(v) && v > 0) {
+                    xs.push(i);
+                    ys.push(Math.log(v));
+                }
+            }
+            if (xs.length >= 3) {
+                const fit = ols(xs, ys);
+                if (fit) {
+                    const annualTrend = Math.exp(fit.slope / periodYears) - 1;
+                    weighted += annualTrend * fit.n;
+                    weight += fit.n;
+                }
+            }
+        }
+        if (weight > 0) {
+            severityTrend = weighted / weight;
+            trendSource = "fitted";
+        }
+        else {
+            severityTrend = 0;
+            trendSource = "fitted";
+            warnings.push("Could not fit a severity trend from the data (too few open-claim cells); used 0% -- supply a trend explicitly");
+        }
+    }
+    if (severityTrend <= -1) {
+        throw new ReservingError("BAD_TREND", "Severity trend must be greater than -100%");
+    }
+    // Restate: de-trend each column's latest-diagonal average case backwards.
+    const restated = averageCaseReserves.map((r) => r.map(() => null));
+    for (let j = 0; j < nAges; j++) {
+        const diagRow = lastObservedRowInColumn(openCounts, j);
+        if (diagRow < 0)
+            continue;
+        const diagAvg = averageCaseReserves[diagRow][j] ?? null;
+        for (let i = 0; i <= diagRow; i++) {
+            if (!isNum(openCounts.values[i][j] ?? null))
+                continue;
+            if (!isNum(diagAvg)) {
+                // No open claims on the diagonal for this maturity; keep the actual value.
+                restated[i][j] = averageCaseReserves[i][j] ?? null;
+                continue;
+            }
+            const yearsBack = (diagRow - i) * periodYears;
+            restated[i][j] = diagAvg / Math.pow(1 + severityTrend, yearsBack);
+        }
+    }
+    // Adjusted incurred = paid + restated average case x open counts.
+    const adjustedValues = [];
+    let fallbackCells = 0;
+    for (let i = 0; i < nOrigins; i++) {
+        const row = [];
+        for (let j = 0; j < nAges; j++) {
+            const pd = paid.values[i][j] ?? null;
+            const open = openCounts.values[i][j] ?? null;
+            if (!isNum(pd) || !isNum(open)) {
+                row.push(null);
+                continue;
+            }
+            if (open === 0) {
+                row.push(pd);
+                continue;
+            }
+            const avg = restated[i][j] ?? null;
+            if (!isNum(avg)) {
+                row.push(incurred.values[i][j] ?? null);
+                fallbackCells++;
+                continue;
+            }
+            row.push(pd + avg * open);
+        }
+        adjustedValues.push(row);
+    }
+    if (fallbackCells > 0) {
+        warnings.push(`${fallbackCells} cell(s) kept their unadjusted incurred value because no diagonal average case reserve was available at that maturity`);
+    }
+    return {
+        averageCaseReserves,
+        severityTrend,
+        trendSource,
+        restatedAverageCaseReserves: restated,
+        adjustedIncurred: {
+            kind: "incurred",
+            origins: [...paid.origins],
+            ages: [...paid.ages],
+            values: adjustedValues,
+        },
+        warnings,
+    };
+}
+function interpolate(points, x, mode, warnings, cellLabel) {
+    if (points.length === 0)
+        return null;
+    // Exact hit keeps the actual value.
+    for (const p of points) {
+        if (Math.abs(p.x - x) < 1e-9)
+            return p.y;
+    }
+    let lower = null;
+    let upper = null;
+    for (const p of points) {
+        if (p.x < x && (!lower || p.x > lower.x))
+            lower = p;
+        if (p.x > x && (!upper || p.x < upper.x))
+            upper = p;
+    }
+    if (lower && upper) {
+        return interpolateSegment(lower, upper, x, mode);
+    }
+    if (!lower && upper) {
+        // Below every observed point: anchor at the origin (0 closed, 0 paid).
+        return interpolateSegment({ x: 0, y: 0 }, upper, x, mode);
+    }
+    if (lower && !upper) {
+        // Above every observed point: extrapolate from the last segment.
+        const below = points.filter((p) => p.x < lower.x);
+        const prev = below.length > 0 ? below[below.length - 1] : { x: 0, y: 0 };
+        warnings.push(`Adjusted closed counts at ${cellLabel} exceed every observed count in that origin row; paid was extrapolated beyond the data`);
+        return interpolateSegment(prev, lower, x, mode);
+    }
+    return null;
+}
+function interpolateSegment(p1, p2, x, mode) {
+    if (p2.x === p1.x)
+        return p1.y;
+    if (mode === "exponential" && p1.y > 0 && p2.y > 0) {
+        // y = a * e^(b x) through both points (log-linear in paid).
+        const b = Math.log(p2.y / p1.y) / (p2.x - p1.x);
+        const a = p1.y * Math.exp(-b * p1.x);
+        return a * Math.exp(b * x);
+    }
+    // Linear (also the fallback when a zero paid value makes exponential undefined).
+    return p1.y + ((p2.y - p1.y) * (x - p1.x)) / (p2.x - p1.x);
+}
+export function berquistSettlement(paid, closedCounts, options) {
+    assertSameShape(paid, closedCounts, "Paid and closed-count");
+    const { ultimateCounts } = options;
+    const interpolation = options.interpolation ?? "exponential";
+    const nOrigins = paid.origins.length;
+    const nAges = paid.ages.length;
+    if (ultimateCounts.length !== nOrigins) {
+        throw new ReservingError("SHAPE", `Expected ${nOrigins} ultimate claim counts (one per origin), got ${ultimateCounts.length}`);
+    }
+    const warnings = [];
+    // Disposal rates = closed counts / ultimate counts.
+    const disposalRates = [];
+    for (let i = 0; i < nOrigins; i++) {
+        const ult = ultimateCounts[i];
+        const row = [];
+        for (let j = 0; j < nAges; j++) {
+            row.push(safeRatio(closedCounts.values[i][j] ?? null, ult > 0 ? ult : null));
+        }
+        disposalRates.push(row);
+    }
+    // Current settlement pattern: disposal rates along the latest diagonal.
+    const selectedDisposalRates = [];
+    for (let j = 0; j < nAges; j++) {
+        const diagRow = lastObservedRowInColumn(closedCounts, j);
+        selectedDisposalRates.push(diagRow >= 0 ? (disposalRates[diagRow][j] ?? null) : null);
+    }
+    // Restated closed counts at the current settlement pattern.
+    const adjustedClosedCounts = [];
+    for (let i = 0; i < nOrigins; i++) {
+        const ult = ultimateCounts[i];
+        const row = [];
+        for (let j = 0; j < nAges; j++) {
+            const observed = isNum(closedCounts.values[i][j] ?? null);
+            const sel = selectedDisposalRates[j] ?? null;
+            row.push(observed && isNum(sel) && ult > 0 ? sel * ult : null);
+        }
+        adjustedClosedCounts.push(row);
+    }
+    // Interpolate adjusted paid within each origin row on (closed, paid) points.
+    const adjustedValues = [];
+    for (let i = 0; i < nOrigins; i++) {
+        const points = [];
+        for (let j = 0; j < nAges; j++) {
+            const c = closedCounts.values[i][j] ?? null;
+            const p = paid.values[i][j] ?? null;
+            if (isNum(c) && isNum(p))
+                points.push({ x: c, y: p });
+        }
+        points.sort((a, b) => a.x - b.x);
+        // Collapse duplicate closed counts, keeping the latest evaluation's paid
+        // (points sort stably by closed count, so for equal counts the later
+        // development age comes last; taking its value also handles the rare
+        // decreasing-paid case, e.g. recoveries).
+        const dedup = [];
+        for (const p of points) {
+            const last = dedup[dedup.length - 1];
+            if (last && Math.abs(last.x - p.x) < 1e-9)
+                last.y = p.y;
+            else
+                dedup.push({ ...p });
+        }
+        const row = [];
+        for (let j = 0; j < nAges; j++) {
+            const target = adjustedClosedCounts[i][j] ?? null;
+            const actualPaid = paid.values[i][j] ?? null;
+            if (!isNum(target) || !isNum(actualPaid)) {
+                row.push(actualPaid);
+                continue;
+            }
+            const label = `${paid.origins[i]} @ ${paid.ages[j]}mo`;
+            const y = interpolate(dedup, target, interpolation, warnings, label);
+            row.push(isNum(y) ? Math.max(0, y) : actualPaid);
+        }
+        adjustedValues.push(row);
+    }
+    return {
+        disposalRates,
+        selectedDisposalRates,
+        ultimateCounts: [...ultimateCounts],
+        adjustedClosedCounts,
+        interpolation,
+        adjustedPaid: {
+            kind: "paid",
+            origins: [...paid.origins],
+            ages: [...paid.ages],
+            values: adjustedValues,
+        },
+        warnings,
+    };
+}
+//# sourceMappingURL=berquist.js.map

package/dist/berquist.js.map

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package/dist/bf.d.ts

@@ -0,0 +1,23 @@
+import type { BornhuetterFergusonResult, ChainLadderResult, ExposureRecord, Triangle } from "./types.js";
+/**
+ * Bornhuetter-Ferguson method.
+ *
+ * Ground truth:
+ * - Expected ultimate = a-priori loss ratio x earned premium.
+ * - BF ultimate = actual to date + expected ultimate x (1 - 1/CDF).
+ *
+ * A-priori selection: by default, derived from the chain ladder ultimates of
+ * mature origin periods (percent developed >= maturityThreshold), as the
+ * premium-weighted loss ratio across those periods. The user (or the advisor)
+ * can override with an explicit loss ratio, globally or per origin.
+ */
+export interface BfOptions {
+    /** Global a-priori loss ratio override. */
+    aprioriLossRatio?: number;
+    /** Per-origin a-priori overrides (take precedence over the global value). */
+    aprioriByOrigin?: Record<string, number>;
+    /** Percent-developed cutoff for "mature" periods used to derive the default a-priori. */
+    maturityThreshold?: number;
+}
+export declare function runBornhuetterFerguson(tri: Triangle, chainLadder: ChainLadderResult, exposures: ExposureRecord[], options?: BfOptions): BornhuetterFergusonResult;
+//# sourceMappingURL=bf.d.ts.map

package/dist/bf.d.ts.map

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package/dist/bf.js

@@ -0,0 +1,83 @@
+import { ReservingError } from "./types.js";
+import { isNum, lastObservedIndex } from "./util.js";
+export function runBornhuetterFerguson(tri, chainLadder, exposures, options = {}) {
+    const warnings = [];
+    const maturityThreshold = options.maturityThreshold ?? 0.9;
+    const premiumByOrigin = new Map(exposures.map((e) => [e.origin, e.earnedPremium]));
+    // Default a-priori: premium-weighted CL loss ratio across mature periods.
+    let derivedApriori = null;
+    {
+        let lossSum = 0;
+        let premSum = 0;
+        for (const row of chainLadder.rows) {
+            const prem = premiumByOrigin.get(row.origin);
+            if (!isNum(prem ?? null) || prem <= 0)
+                continue;
+            if (row.percentDeveloped >= maturityThreshold) {
+                lossSum += row.ultimate;
+                premSum += prem;
+            }
+        }
+        if (premSum > 0)
+            derivedApriori = lossSum / premSum;
+    }
+    if (derivedApriori === null && options.aprioriLossRatio === undefined) {
+        // Fall back to all periods when nothing is mature enough.
+        let lossSum = 0;
+        let premSum = 0;
+        for (const row of chainLadder.rows) {
+            const prem = premiumByOrigin.get(row.origin);
+            if (!isNum(prem ?? null) || prem <= 0)
+                continue;
+            lossSum += row.ultimate;
+            premSum += prem;
+        }
+        if (premSum > 0) {
+            derivedApriori = lossSum / premSum;
+            warnings.push("No origin period is mature enough to anchor the a-priori; derived it from all periods' chain ladder ultimates instead");
+        }
+    }
+    const clByOrigin = new Map(chainLadder.rows.map((r) => [r.origin, r]));
+    const rows = [];
+    for (let i = 0; i < tri.origins.length; i++) {
+        const origin = tri.origins[i];
+        const cl = clByOrigin.get(origin);
+        if (!cl)
+            continue;
+        const latestIdx = lastObservedIndex(tri.values[i]);
+        const latestValue = latestIdx >= 0 ? tri.values[i][latestIdx] : 0;
+        const prem = premiumByOrigin.get(origin) ?? null;
+        if (!isNum(prem) || prem <= 0) {
+            warnings.push(`Origin ${origin} has no usable earned premium; excluded from BF`);
+            continue;
+        }
+        const apriori = options.aprioriByOrigin?.[origin] ?? options.aprioriLossRatio ?? derivedApriori;
+        if (!isNum(apriori ?? null)) {
+            throw new ReservingError("NO_APRIORI", "Cannot derive an a-priori loss ratio (no exposure data matched the triangle origins) and no override was supplied");
+        }
+        const expectedUltimate = apriori * prem;
+        const expectedUnreported = expectedUltimate * (1 - 1 / cl.cdf);
+        const ultimate = latestValue + expectedUnreported;
+        rows.push({
+            origin,
+            latestValue,
+            cdf: cl.cdf,
+            aprioriLossRatio: apriori,
+            earnedPremium: prem,
+            expectedUltimate,
+            expectedUnreported,
+            ultimate,
+            unpaid: ultimate - latestValue,
+        });
+    }
+    if (rows.length === 0) {
+        throw new ReservingError("NO_BF_ROWS", "Bornhuetter-Ferguson produced no rows; check that exposure origins match the triangle origins");
+    }
+    const totals = rows.reduce((acc, r) => ({
+        latest: acc.latest + r.latestValue,
+        ultimate: acc.ultimate + r.ultimate,
+        unpaid: acc.unpaid + r.unpaid,
+    }), { latest: 0, ultimate: 0, unpaid: 0 });
+    return { method: "bornhuetterFerguson", basis: tri.kind, rows, totals, warnings };
+}
+//# sourceMappingURL=bf.js.map

package/dist/bf.js.map

@@ -0,0 +1 @@
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package/dist/capping.d.ts

@@ -0,0 +1,96 @@
+import type { ClaimSnapshot } from "./types.js";
+/**
+ * Claim-level loss capping: the foundation of developing a reliable layer.
+ *
+ * Large losses are volatile and distort development patterns; capping every
+ * claim at a per-occurrence limit and developing the capped ("limited")
+ * triangles gives stable factors. The excess layer is restored later via
+ * increased-limits factors, applied to the developed capped ultimates.
+ *
+ * The cap can be INDEXED: stated at a base-year cost level and moved by an
+ * annual rate so the layer stays constant in real terms across origin years
+ * (a flat $250k cap in 2016 is a deeper real layer than in 2025). indexRate 0
+ * reproduces the flat-cap convention.
+ */
+export interface CapOptions {
+    /** Per-occurrence cap, stated at the baseYear cost level. */
+    cap: number;
+    /** Annual index rate moving the cap across accident years (0 = flat cap). */
+    indexRate?: number;
+    /**
+     * Accident year at whose cost level `cap` is stated. Defaults to the latest
+     * accident year present in the data.
+     */
+    baseYear?: number;
+}
+/**
+ * The default base year for a cap index: the latest accident year with a
+ * snapshot evaluated on or before asOfDate. capClaims and
+ * claimSizeDiagnostics MUST resolve this identically, or the applied caps
+ * diverge from what the exhibits report; services should resolve it once via
+ * this helper and pass baseYear explicitly to both.
+ */
+export declare function latestAccidentYear(claims: ClaimSnapshot[], asOfDate?: string): number;
+/** The effective cap for one accident year under the index. */
+export declare function effectiveCap(options: Required<CapOptions>, year: number): number;
+/**
+ * Caps every snapshot at the (indexed) per-occurrence limit for its accident
+ * year: capped incurred = min(reported incurred, cap_y); capped paid =
+ * min(paid, cap_y); capped case = capped incurred - capped paid (never
+ * negative by construction). Claim counts and statuses are untouched - the
+ * cap limits dollars, not claims.
+ */
+export declare function capClaims(claims: ClaimSnapshot[], options: CapOptions): ClaimSnapshot[];
+export interface ClaimSizeYearRow {
+    year: number;
+    claimCount: number;
+    /** Reported incurred at each claim's latest evaluation. */
+    totalIncurred: number;
+    maxClaim: number;
+    percentiles: {
+        p: number;
+        value: number;
+    }[];
+}
+export interface CapCandidateYearCell {
+    year: number;
+    /** The candidate cap at this year's cost level (indexed). */
+    effectiveCap: number;
+    /** Claims whose reported incurred pierces the effective cap. */
+    pierceCount: number;
+    pierceShare: number;
+    /** Dollars above the cap as a share of total reported incurred. */
+    excessShare: number;
+}
+export interface CapCandidate {
+    /** Candidate cap stated at the base-year cost level. */
+    cap: number;
+    byYear: CapCandidateYearCell[];
+    totalPierceCount: number;
+    totalPierceShare: number;
+    totalExcessShare: number;
+}
+export interface ClaimSizeDiagnostics {
+    years: ClaimSizeYearRow[];
+    candidates: CapCandidate[];
+    baseYear: number;
+    indexRate: number;
+    /** Claims with a positive reported incurred at their latest evaluation. */
+    nonZeroClaimCount: number;
+}
+export interface ClaimSizeDiagnosticsOptions {
+    /** Only snapshots evaluated on or before this ISO date are considered. */
+    asOfDate?: string;
+    /** Candidate caps stated at the base-year level; sensible defaults derived if omitted. */
+    candidateCaps?: number[];
+    /** Caps merged into the derived defaults (e.g. the currently-set cap). */
+    extraCaps?: number[];
+    indexRate?: number;
+    baseYear?: number;
+}
+/**
+ * Latest-evaluation claim-size distribution by accident year plus pierce and
+ * excess-share statistics for a set of candidate caps (indexed to each year).
+ */
+export declare function claimSizeDiagnostics(claims: ClaimSnapshot[], options?: ClaimSizeDiagnosticsOptions): ClaimSizeDiagnostics;
+//# sourceMappingURL=capping.d.ts.map

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