@actuarial-ts/core 0.1.0

package/dist/capping.js

@@ -0,0 +1,207 @@
+import { ReservingError } from "./types.js";
+import { isNum } from "./util.js";
+function accidentYear(snap) {
+    return Number(snap.accidentDate.slice(0, 4));
+}
+/**
+ * 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 function latestAccidentYear(claims, asOfDate) {
+    const asOf = asOfDate ?? "9999-12-31";
+    let year = -Infinity;
+    for (const snap of claims) {
+        if (snap.evaluationDate > asOf)
+            continue;
+        year = Math.max(year, accidentYear(snap));
+    }
+    if (!Number.isFinite(year)) {
+        throw new ReservingError("NO_CLAIMS", "No claim snapshots on or before the analysis date; cannot resolve a cap base year");
+    }
+    return year;
+}
+/** The effective cap for one accident year under the index. */
+export function effectiveCap(options, year) {
+    return options.cap * Math.pow(1 + options.indexRate, year - options.baseYear);
+}
+function resolveOptions(claims, options) {
+    if (!isNum(options.cap) || options.cap <= 0) {
+        throw new ReservingError("BAD_CAP", "The per-occurrence cap must be a positive number");
+    }
+    const indexRate = options.indexRate ?? 0;
+    if (!isNum(indexRate) || indexRate <= -1) {
+        throw new ReservingError("BAD_CAP", "The cap index rate must be a number greater than -100%");
+    }
+    let baseYear = options.baseYear ?? null;
+    if (baseYear === null) {
+        baseYear = -Infinity;
+        for (const snap of claims)
+            baseYear = Math.max(baseYear, accidentYear(snap));
+    }
+    if (!isNum(baseYear) || !Number.isFinite(baseYear)) {
+        throw new ReservingError("BAD_CAP", "Could not resolve a base year for the cap index");
+    }
+    return { cap: options.cap, indexRate, baseYear };
+}
+/**
+ * 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 function capClaims(claims, options) {
+    const resolved = resolveOptions(claims, options);
+    return claims.map((snap) => {
+        const capY = effectiveCap(resolved, accidentYear(snap));
+        const incurred = snap.paidToDate + snap.caseReserve;
+        const cappedIncurred = Math.min(incurred, capY);
+        const cappedPaid = Math.min(snap.paidToDate, capY);
+        if (cappedIncurred === incurred && cappedPaid === snap.paidToDate)
+            return snap;
+        return {
+            ...snap,
+            paidToDate: cappedPaid,
+            caseReserve: cappedIncurred - cappedPaid,
+        };
+    });
+}
+const PERCENTILES = [0.5, 0.75, 0.9, 0.95, 0.99];
+// Crude empirical convention (ceil-rank, no interpolation) is deliberate:
+// candidate caps get rounded to 1-2 significant digits right after, so the
+// interpolated refinement in stochastic.ts's percentileOfSorted buys nothing.
+function percentile(sorted, p) {
+    if (sorted.length === 0)
+        return 0;
+    const idx = Math.min(sorted.length - 1, Math.max(0, Math.ceil(p * sorted.length) - 1));
+    return sorted[idx];
+}
+/** Round to 1-2 significant digits for readable candidate caps. */
+function roundCandidate(value) {
+    if (value <= 0)
+        return 0;
+    const magnitude = Math.pow(10, Math.floor(Math.log10(value)));
+    const scaled = value / magnitude;
+    const nice = scaled < 1.5 ? 1 : scaled < 3.5 ? 2.5 : scaled < 7.5 ? 5 : 10;
+    return nice * magnitude;
+}
+/**
+ * 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 function claimSizeDiagnostics(claims, options = {}) {
+    if (claims.length === 0) {
+        throw new ReservingError("NO_CLAIMS", "Cannot analyze claim sizes with no claims");
+    }
+    const asOf = options.asOfDate ?? "9999-12-31";
+    // Latest evaluation per claim on or before the analysis date.
+    const latest = new Map();
+    for (const snap of claims) {
+        if (snap.evaluationDate > asOf)
+            continue;
+        const prev = latest.get(snap.claimId);
+        if (!prev || snap.evaluationDate > prev.evaluationDate)
+            latest.set(snap.claimId, snap);
+    }
+    const byYear = new Map();
+    for (const snap of latest.values()) {
+        const year = accidentYear(snap);
+        const incurred = snap.paidToDate + snap.caseReserve;
+        let arr = byYear.get(year);
+        if (!arr)
+            byYear.set(year, (arr = []));
+        arr.push(incurred);
+    }
+    const years = [...byYear.keys()].sort((a, b) => a - b);
+    const indexRate = options.indexRate ?? 0;
+    const baseYear = options.baseYear ?? years[years.length - 1];
+    const yearRows = years.map((year) => {
+        const sorted = [...byYear.get(year)].sort((a, b) => a - b);
+        return {
+            year,
+            claimCount: sorted.length,
+            totalIncurred: sorted.reduce((a, v) => a + v, 0),
+            maxClaim: sorted[sorted.length - 1] ?? 0,
+            percentiles: PERCENTILES.map((p) => ({ p, value: percentile(sorted, p) })),
+        };
+    });
+    // Candidate caps: provided, or derived from the pooled distribution so the
+    // menu spans "caps almost nothing" to "caps only the extreme tail".
+    // Candidates are STATED at the base-year cost level, so each claim's
+    // incurred is deflated to that level before taking percentiles - otherwise
+    // a nominal anchor re-indexed forward overshoots the whole distribution
+    // and every derived candidate reads near-zero pierce.
+    let candidateCaps = options.candidateCaps;
+    if (!candidateCaps || candidateCaps.length === 0) {
+        const pooled = [...latest.values()]
+            .map((s) => {
+            const incurred = s.paidToDate + s.caseReserve;
+            return incurred / Math.pow(1 + indexRate, accidentYear(s) - baseYear);
+        })
+            .filter((v) => v > 0)
+            .sort((a, b) => a - b);
+        const anchors = [0.75, 0.9, 0.95, 0.99].map((p) => percentile(pooled, p));
+        const uniq = new Set();
+        for (const a of anchors) {
+            const rounded = roundCandidate(a);
+            if (rounded > 0)
+                uniq.add(rounded);
+        }
+        for (const extra of options.extraCaps ?? []) {
+            if (extra > 0)
+                uniq.add(extra);
+        }
+        candidateCaps = [...uniq].sort((a, b) => a - b);
+    }
+    const resolved = { cap: 1, indexRate, baseYear };
+    const candidates = candidateCaps.map((cap) => {
+        let totalPierce = 0;
+        let totalClaims = 0;
+        let totalExcess = 0;
+        let totalIncurred = 0;
+        const cells = years.map((year) => {
+            const capY = cap * Math.pow(1 + resolved.indexRate, year - resolved.baseYear);
+            const values = byYear.get(year);
+            let pierce = 0;
+            let excess = 0;
+            let incurred = 0;
+            for (const v of values) {
+                incurred += v;
+                if (v > capY) {
+                    pierce++;
+                    excess += v - capY;
+                }
+            }
+            totalPierce += pierce;
+            totalClaims += values.length;
+            totalExcess += excess;
+            totalIncurred += incurred;
+            return {
+                year,
+                effectiveCap: capY,
+                pierceCount: pierce,
+                pierceShare: values.length > 0 ? pierce / values.length : 0,
+                excessShare: incurred > 0 ? excess / incurred : 0,
+            };
+        });
+        return {
+            cap,
+            byYear: cells,
+            totalPierceCount: totalPierce,
+            totalPierceShare: totalClaims > 0 ? totalPierce / totalClaims : 0,
+            totalExcessShare: totalIncurred > 0 ? totalExcess / totalIncurred : 0,
+        };
+    });
+    return {
+        years: yearRows,
+        candidates,
+        baseYear,
+        indexRate,
+        nonZeroClaimCount: [...latest.values()].filter((s) => s.paidToDate + s.caseReserve > 0)
+            .length,
+    };
+}
+//# sourceMappingURL=capping.js.map

package/dist/capping.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"capping.js","sourceRoot":"","sources":["../src/capping.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AAC5C,OAAO,EAAE,KAAK,EAAE,MAAM,WAAW,CAAC;AA4BlC,SAAS,YAAY,CAAC,IAAmB;IACvC,OAAO,MAAM,CAAC,IAAI,CAAC,YAAY,CAAC,KAAK,CAAC,CAAC,EAAE,CAAC,CAAC,CAAC,CAAC;AAC/C,CAAC;AAED;;;;;;GAMG;AACH,MAAM,UAAU,kBAAkB,CAAC,MAAuB,EAAE,QAAiB;IAC3E,MAAM,IAAI,GAAG,QAAQ,IAAI,YAAY,CAAC;IACtC,IAAI,IAAI,GAAG,CAAC,QAAQ,CAAC;IACrB,KAAK,MAAM,IAAI,IAAI,MAAM,EAAE,CAAC;QAC1B,IAAI,IAAI,CAAC,cAAc,GAAG,IAAI;YAAE,SAAS;QACzC,IAAI,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,EAAE,YAAY,CAAC,IAAI,CAAC,CAAC,CAAC;IAC5C,CAAC;IACD,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,IAAI,CAAC,EAAE,CAAC;QAC3B,MAAM,IAAI,cAAc,CACtB,WAAW,EACX,mFAAmF,CACpF,CAAC;IACJ,CAAC;IACD,OAAO,IAAI,CAAC;AACd,CAAC;AAED,+DAA+D;AAC/D,MAAM,UAAU,YAAY,CAAC,OAA6B,EAAE,IAAY;IACtE,OAAO,OAAO,CAAC,GAAG,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,OAAO,CAAC,SAAS,EAAE,IAAI,GAAG,OAAO,CAAC,QAAQ,CAAC,CAAC;AAChF,CAAC;AAED,SAAS,cAAc,CAAC,MAAuB,EAAE,OAAmB;IAClE,IAAI,CAAC,KAAK,CAAC,OAAO,CAAC,GAAG,CAAC,IAAI,OAAO,CAAC,GAAG,IAAI,CAAC,EAAE,CAAC;QAC5C,MAAM,IAAI,cAAc,CAAC,SAAS,EAAE,kDAAkD,CAAC,CAAC;IAC1F,CAAC;IACD,MAAM,SAAS,GAAG,OAAO,CAAC,SAAS,IAAI,CAAC,CAAC;IACzC,IAAI,CAAC,KAAK,CAAC,SAAS,CAAC,IAAI,SAAS,IAAI,CAAC,CAAC,EAAE,CAAC;QACzC,MAAM,IAAI,cAAc,CAAC,SAAS,EAAE,wDAAwD,CAAC,CAAC;IAChG,CAAC;IACD,IAAI,QAAQ,GAAG,OAAO,CAAC,QAAQ,IAAI,IAAI,CAAC;IACxC,IAAI,QAAQ,KAAK,IAAI,EAAE,CAAC;QACtB,QAAQ,GAAG,CAAC,QAAQ,CAAC;QACrB,KAAK,MAAM,IAAI,IAAI,MAAM;YAAE,QAAQ,GAAG,IAAI,CAAC,GAAG,CAAC,QAAQ,EAAE,YAAY,CAAC,IAAI,CAAC,CAAC,CAAC;IAC/E,CAAC;IACD,IAAI,CAAC,KAAK,CAAC,QAAQ,CAAC,IAAI,CAAC,MAAM,CAAC,QAAQ,CAAC,QAAQ,CAAC,EAAE,CAAC;QACnD,MAAM,IAAI,cAAc,CAAC,SAAS,EAAE,iDAAiD,CAAC,CAAC;IACzF,CAAC;IACD,OAAO,EAAE,GAAG,EAAE,OAAO,CAAC,GAAG,EAAE,SAAS,EAAE,QAAQ,EAAE,CAAC;AACnD,CAAC;AAED;;;;;;GAMG;AACH,MAAM,UAAU,SAAS,CAAC,MAAuB,EAAE,OAAmB;IACpE,MAAM,QAAQ,GAAG,cAAc,CAAC,MAAM,EAAE,OAAO,CAAC,CAAC;IACjD,OAAO,MAAM,CAAC,GAAG,CAAC,CAAC,IAAI,EAAE,EAAE;QACzB,MAAM,IAAI,GAAG,YAAY,CAAC,QAAQ,EAAE,YAAY,CAAC,IAAI,CAAC,CAAC,CAAC;QACxD,MAAM,QAAQ,GAAG,IAAI,CAAC,UAAU,GAAG,IAAI,CAAC,WAAW,CAAC;QACpD,MAAM,cAAc,GAAG,IAAI,CAAC,GAAG,CAAC,QAAQ,EAAE,IAAI,CAAC,CAAC;QAChD,MAAM,UAAU,GAAG,IAAI,CAAC,GAAG,CAAC,IAAI,CAAC,UAAU,EAAE,IAAI,CAAC,CAAC;QACnD,IAAI,cAAc,KAAK,QAAQ,IAAI,UAAU,KAAK,IAAI,CAAC,UAAU;YAAE,OAAO,IAAI,CAAC;QAC/E,OAAO;YACL,GAAG,IAAI;YACP,UAAU,EAAE,UAAU;YACtB,WAAW,EAAE,cAAc,GAAG,UAAU;SACzC,CAAC;IACJ,CAAC,CAAC,CAAC;AACL,CAAC;AAsDD,MAAM,WAAW,GAAG,CAAC,GAAG,EAAE,IAAI,EAAE,GAAG,EAAE,IAAI,EAAE,IAAI,CAAC,CAAC;AAEjD,0EAA0E;AAC1E,2EAA2E;AAC3E,8EAA8E;AAC9E,SAAS,UAAU,CAAC,MAAgB,EAAE,CAAS;IAC7C,IAAI,MAAM,CAAC,MAAM,KAAK,CAAC;QAAE,OAAO,CAAC,CAAC;IAClC,MAAM,GAAG,GAAG,IAAI,CAAC,GAAG,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,EAAE,IAAI,CAAC,GAAG,CAAC,CAAC,EAAE,IAAI,CAAC,IAAI,CAAC,CAAC,GAAG,MAAM,CAAC,MAAM,CAAC,GAAG,CAAC,CAAC,CAAC,CAAC;IACvF,OAAO,MAAM,CAAC,GAAG,CAAE,CAAC;AACtB,CAAC;AAED,mEAAmE;AACnE,SAAS,cAAc,CAAC,KAAa;IACnC,IAAI,KAAK,IAAI,CAAC;QAAE,OAAO,CAAC,CAAC;IACzB,MAAM,SAAS,GAAG,IAAI,CAAC,GAAG,CAAC,EAAE,EAAE,IAAI,CAAC,KAAK,CAAC,IAAI,CAAC,KAAK,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;IAC9D,MAAM,MAAM,GAAG,KAAK,GAAG,SAAS,CAAC;IACjC,MAAM,IAAI,GAAG,MAAM,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,MAAM,GAAG,GAAG,CAAC,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,MAAM,GAAG,GAAG,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,CAAC,EAAE,CAAC;IAC3E,OAAO,IAAI,GAAG,SAAS,CAAC;AAC1B,CAAC;AAED;;;GAGG;AACH,MAAM,UAAU,oBAAoB,CAClC,MAAuB,EACvB,UAAuC,EAAE;IAEzC,IAAI,MAAM,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACxB,MAAM,IAAI,cAAc,CAAC,WAAW,EAAE,2CAA2C,CAAC,CAAC;IACrF,CAAC;IACD,MAAM,IAAI,GAAG,OAAO,CAAC,QAAQ,IAAI,YAAY,CAAC;IAC9C,8DAA8D;IAC9D,MAAM,MAAM,GAAG,IAAI,GAAG,EAAyB,CAAC;IAChD,KAAK,MAAM,IAAI,IAAI,MAAM,EAAE,CAAC;QAC1B,IAAI,IAAI,CAAC,cAAc,GAAG,IAAI;YAAE,SAAS;QACzC,MAAM,IAAI,GAAG,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC;QACtC,IAAI,CAAC,IAAI,IAAI,IAAI,CAAC,cAAc,GAAG,IAAI,CAAC,cAAc;YAAE,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,OAAO,EAAE,IAAI,CAAC,CAAC;IACzF,CAAC;IAED,MAAM,MAAM,GAAG,IAAI,GAAG,EAAoB,CAAC;IAC3C,KAAK,MAAM,IAAI,IAAI,MAAM,CAAC,MAAM,EAAE,EAAE,CAAC;QACnC,MAAM,IAAI,GAAG,YAAY,CAAC,IAAI,CAAC,CAAC;QAChC,MAAM,QAAQ,GAAG,IAAI,CAAC,UAAU,GAAG,IAAI,CAAC,WAAW,CAAC;QACpD,IAAI,GAAG,GAAG,MAAM,CAAC,GAAG,CAAC,IAAI,CAAC,CAAC;QAC3B,IAAI,CAAC,GAAG;YAAE,MAAM,CAAC,GAAG,CAAC,IAAI,EAAE,CAAC,GAAG,GAAG,EAAE,CAAC,CAAC,CAAC;QACvC,GAAG,CAAC,IAAI,CAAC,QAAQ,CAAC,CAAC;IACrB,CAAC;IACD,MAAM,KAAK,GAAG,CAAC,GAAG,MAAM,CAAC,IAAI,EAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IACvD,MAAM,SAAS,GAAG,OAAO,CAAC,SAAS,IAAI,CAAC,CAAC;IACzC,MAAM,QAAQ,GAAG,OAAO,CAAC,QAAQ,IAAI,KAAK,CAAC,KAAK,CAAC,MAAM,GAAG,CAAC,CAAE,CAAC;IAE9D,MAAM,QAAQ,GAAuB,KAAK,CAAC,GAAG,CAAC,CAAC,IAAI,EAAE,EAAE;QACtD,MAAM,MAAM,GAAG,CAAC,GAAG,MAAM,CAAC,GAAG,CAAC,IAAI,CAAE,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;QAC5D,OAAO;YACL,IAAI;YACJ,UAAU,EAAE,MAAM,CAAC,MAAM;YACzB,aAAa,EAAE,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC;YAChD,QAAQ,EAAE,MAAM,CAAC,MAAM,CAAC,MAAM,GAAG,CAAC,CAAC,IAAI,CAAC;YACxC,WAAW,EAAE,WAAW,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,EAAE,CAAC,EAAE,KAAK,EAAE,UAAU,CAAC,MAAM,EAAE,CAAC,CAAC,EAAE,CAAC,CAAC;SAC3E,CAAC;IACJ,CAAC,CAAC,CAAC;IAEH,2EAA2E;IAC3E,oEAAoE;IACpE,qEAAqE;IACrE,2EAA2E;IAC3E,wEAAwE;IACxE,sDAAsD;IACtD,IAAI,aAAa,GAAG,OAAO,CAAC,aAAa,CAAC;IAC1C,IAAI,CAAC,aAAa,IAAI,aAAa,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACjD,MAAM,MAAM,GAAG,CAAC,GAAG,MAAM,CAAC,MAAM,EAAE,CAAC;aAChC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE;YACT,MAAM,QAAQ,GAAG,CAAC,CAAC,UAAU,GAAG,CAAC,CAAC,WAAW,CAAC;YAC9C,OAAO,QAAQ,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,SAAS,EAAE,YAAY,CAAC,CAAC,CAAC,GAAG,QAAQ,CAAC,CAAC;QACxE,CAAC,CAAC;aACD,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC;aACpB,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;QACzB,MAAM,OAAO,GAAG,CAAC,IAAI,EAAE,GAAG,EAAE,IAAI,EAAE,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,UAAU,CAAC,MAAM,EAAE,CAAC,CAAC,CAAC,CAAC;QAC1E,MAAM,IAAI,GAAG,IAAI,GAAG,EAAU,CAAC;QAC/B,KAAK,MAAM,CAAC,IAAI,OAAO,EAAE,CAAC;YACxB,MAAM,OAAO,GAAG,cAAc,CAAC,CAAC,CAAC,CAAC;YAClC,IAAI,OAAO,GAAG,CAAC;gBAAE,IAAI,CAAC,GAAG,CAAC,OAAO,CAAC,CAAC;QACrC,CAAC;QACD,KAAK,MAAM,KAAK,IAAI,OAAO,CAAC,SAAS,IAAI,EAAE,EAAE,CAAC;YAC5C,IAAI,KAAK,GAAG,CAAC;gBAAE,IAAI,CAAC,GAAG,CAAC,KAAK,CAAC,CAAC;QACjC,CAAC;QACD,aAAa,GAAG,CAAC,GAAG,IAAI,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IAClD,CAAC;IAED,MAAM,QAAQ,GAAyB,EAAE,GAAG,EAAE,CAAC,EAAE,SAAS,EAAE,QAAQ,EAAE,CAAC;IACvE,MAAM,UAAU,GAAmB,aAAa,CAAC,GAAG,CAAC,CAAC,GAAG,EAAE,EAAE;QAC3D,IAAI,WAAW,GAAG,CAAC,CAAC;QACpB,IAAI,WAAW,GAAG,CAAC,CAAC;QACpB,IAAI,WAAW,GAAG,CAAC,CAAC;QACpB,IAAI,aAAa,GAAG,CAAC,CAAC;QACtB,MAAM,KAAK,GAA2B,KAAK,CAAC,GAAG,CAAC,CAAC,IAAI,EAAE,EAAE;YACvD,MAAM,IAAI,GAAG,GAAG,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,GAAG,QAAQ,CAAC,SAAS,EAAE,IAAI,GAAG,QAAQ,CAAC,QAAQ,CAAC,CAAC;YAC9E,MAAM,MAAM,GAAG,MAAM,CAAC,GAAG,CAAC,IAAI,CAAE,CAAC;YACjC,IAAI,MAAM,GAAG,CAAC,CAAC;YACf,IAAI,MAAM,GAAG,CAAC,CAAC;YACf,IAAI,QAAQ,GAAG,CAAC,CAAC;YACjB,KAAK,MAAM,CAAC,IAAI,MAAM,EAAE,CAAC;gBACvB,QAAQ,IAAI,CAAC,CAAC;gBACd,IAAI,CAAC,GAAG,IAAI,EAAE,CAAC;oBACb,MAAM,EAAE,CAAC;oBACT,MAAM,IAAI,CAAC,GAAG,IAAI,CAAC;gBACrB,CAAC;YACH,CAAC;YACD,WAAW,IAAI,MAAM,CAAC;YACtB,WAAW,IAAI,MAAM,CAAC,MAAM,CAAC;YAC7B,WAAW,IAAI,MAAM,CAAC;YACtB,aAAa,IAAI,QAAQ,CAAC;YAC1B,OAAO;gBACL,IAAI;gBACJ,YAAY,EAAE,IAAI;gBAClB,WAAW,EAAE,MAAM;gBACnB,WAAW,EAAE,MAAM,CAAC,MAAM,GAAG,CAAC,CAAC,CAAC,CAAC,MAAM,GAAG,MAAM,CAAC,MAAM,CAAC,CAAC,CAAC,CAAC;gBAC3D,WAAW,EAAE,QAAQ,GAAG,CAAC,CAAC,CAAC,CAAC,MAAM,GAAG,QAAQ,CAAC,CAAC,CAAC,CAAC;aAClD,CAAC;QACJ,CAAC,CAAC,CAAC;QACH,OAAO;YACL,GAAG;YACH,MAAM,EAAE,KAAK;YACb,gBAAgB,EAAE,WAAW;YAC7B,gBAAgB,EAAE,WAAW,GAAG,CAAC,CAAC,CAAC,CAAC,WAAW,GAAG,WAAW,CAAC,CAAC,CAAC,CAAC;YACjE,gBAAgB,EAAE,aAAa,GAAG,CAAC,CAAC,CAAC,CAAC,WAAW,GAAG,aAAa,CAAC,CAAC,CAAC,CAAC;SACtE,CAAC;IACJ,CAAC,CAAC,CAAC;IAEH,OAAO;QACL,KAAK,EAAE,QAAQ;QACf,UAAU;QACV,QAAQ;QACR,SAAS;QACT,iBAAiB,EAAE,CAAC,GAAG,MAAM,CAAC,MAAM,EAAE,CAAC,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,CAAC,UAAU,GAAG,CAAC,CAAC,WAAW,GAAG,CAAC,CAAC;aACpF,MAAM;KACV,CAAC;AACJ,CAAC"}

package/dist/caseOutstanding.d.ts

@@ -0,0 +1,80 @@
+import type { Triangle } from "./types.js";
+/**
+ * Case-outstanding development technique (Friedland, "Estimating Unpaid
+ * Claims Using Basic Techniques", ch. 12): for books where the case reserves
+ * are the only reliable triangle (classic self-insured situation), unpaid
+ * claims are projected from the run-off of the case outstanding itself.
+ *
+ * Ground truth:
+ * - Two historical ratio triangles drive the review:
+ *   caseRatios[i][j]      = case[i][j+1] / case[i][j]   (case run-off), and
+ *   paidOnPriorCase[i][j] = (paid[i][j+1] - paid[i][j]) / case[i][j]
+ *   (incremental paid in the interval as a ratio of the case reserve held at
+ *   its start - "paid on prior case").
+ * - The CALLER selects both patterns (this module never picks factors). The
+ *   projection walks each origin's latest case forward: payments in the next
+ *   interval = case x paidOnCaseSelection, next case = case x caseSelection.
+ * - Case remaining at the last development age pays out at `tailPaidOnCase`
+ *   times its face value (default 1: paid in full, the conventional
+ *   assumption; a warning notes when the default was relied on).
+ * - unpaid = the sum of the projected future payments including the tail
+ *   payout - the reserve IS the projected paid stream, an identity the
+ *   self-consistency test enforces.
+ *
+ * Selection coercions (loud, never silent):
+ * - missing case selection -> 1.000 (case carried forward), warned;
+ * - negative case selection -> 0.000 (case cannot go negative), warned;
+ * - missing paid-on-case selection -> 0.000 (no payment projected), warned;
+ * - negative paid-on-case selection -> kept (projects net recoveries), warned;
+ * - ALL selections missing across both arrays -> NO_SELECTIONS.
+ */
+export interface CaseOutstandingOptions {
+    /** Selected case run-off ratios (next case / current case), one per interval. */
+    caseSelections: (number | null)[];
+    /** Selected incremental-paid-to-prior-case ratios, one per interval. */
+    paidOnCaseSelections: (number | null)[];
+    /**
+     * Payments after the last age as a ratio of the case remaining there.
+     * Default 1 (remaining case pays out in full).
+     */
+    tailPaidOnCase?: number;
+}
+export interface CaseOutstandingRow {
+    origin: string;
+    /** Age (months) of the latest cell observed in BOTH triangles. */
+    latestAge: number;
+    paidToDate: number;
+    /** Case outstanding at the latest age (the projection's seed). */
+    caseOutstanding: number;
+    /**
+     * Projected future incremental paid: futurePaid[m] pays in the interval
+     * ending at the (m+1)-th age after latestAge; the LAST element is the tail
+     * payout of the case remaining at the final development age.
+     */
+    futurePaid: number[];
+    /** Projected case outstanding at each later age (parallel run-off path). */
+    projectedCase: number[];
+    /** Sum of futurePaid (the reserve). */
+    unpaid: number;
+    /** paidToDate + unpaid. */
+    ultimate: number;
+}
+export interface CaseOutstandingResult {
+    method: "caseOutstanding";
+    /** Historical case run-off ratios, [origin][interval]; null where not computable. */
+    caseRatios: (number | null)[][];
+    /** Historical incremental paid / prior case, [origin][interval]. */
+    paidOnPriorCase: (number | null)[][];
+    /** The tail payout ratio the projection used. */
+    tailPaidOnCase: number;
+    rows: CaseOutstandingRow[];
+    totals: {
+        paidToDate: number;
+        caseOutstanding: number;
+        unpaid: number;
+        ultimate: number;
+    };
+    warnings: string[];
+}
+export declare function runCaseOutstanding(paid: Triangle, caseOutstanding: Triangle, options: CaseOutstandingOptions): CaseOutstandingResult;
+//# sourceMappingURL=caseOutstanding.d.ts.map

package/dist/caseOutstanding.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"caseOutstanding.d.ts","sourceRoot":"","sources":["../src/caseOutstanding.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,QAAQ,EAAE,MAAM,YAAY,CAAC;AAI3C;;;;;;;;;;;;;;;;;;;;;;;;;;;;GA4BG;AAEH,MAAM,WAAW,sBAAsB;IACrC,iFAAiF;IACjF,cAAc,EAAE,CAAC,MAAM,GAAG,IAAI,CAAC,EAAE,CAAC;IAClC,wEAAwE;IACxE,oBAAoB,EAAE,CAAC,MAAM,GAAG,IAAI,CAAC,EAAE,CAAC;IACxC;;;OAGG;IACH,cAAc,CAAC,EAAE,MAAM,CAAC;CACzB;AAED,MAAM,WAAW,kBAAkB;IACjC,MAAM,EAAE,MAAM,CAAC;IACf,kEAAkE;IAClE,SAAS,EAAE,MAAM,CAAC;IAClB,UAAU,EAAE,MAAM,CAAC;IACnB,kEAAkE;IAClE,eAAe,EAAE,MAAM,CAAC;IACxB;;;;OAIG;IACH,UAAU,EAAE,MAAM,EAAE,CAAC;IACrB,4EAA4E;IAC5E,aAAa,EAAE,MAAM,EAAE,CAAC;IACxB,uCAAuC;IACvC,MAAM,EAAE,MAAM,CAAC;IACf,2BAA2B;IAC3B,QAAQ,EAAE,MAAM,CAAC;CAClB;AAED,MAAM,WAAW,qBAAqB;IACpC,MAAM,EAAE,iBAAiB,CAAC;IAC1B,qFAAqF;IACrF,UAAU,EAAE,CAAC,MAAM,GAAG,IAAI,CAAC,EAAE,EAAE,CAAC;IAChC,oEAAoE;IACpE,eAAe,EAAE,CAAC,MAAM,GAAG,IAAI,CAAC,EAAE,EAAE,CAAC;IACrC,iDAAiD;IACjD,cAAc,EAAE,MAAM,CAAC;IACvB,IAAI,EAAE,kBAAkB,EAAE,CAAC;IAC3B,MAAM,EAAE;QAAE,UAAU,EAAE,MAAM,CAAC;QAAC,eAAe,EAAE,MAAM,CAAC;QAAC,MAAM,EAAE,MAAM,CAAC;QAAC,QAAQ,EAAE,MAAM,CAAA;KAAE,CAAC;IAC1F,QAAQ,EAAE,MAAM,EAAE,CAAC;CACpB;AAcD,wBAAgB,kBAAkB,CAChC,IAAI,EAAE,QAAQ,EACd,eAAe,EAAE,QAAQ,EACzB,OAAO,EAAE,sBAAsB,GAC9B,qBAAqB,CA6KvB"}

package/dist/caseOutstanding.js

@@ -0,0 +1,147 @@
+import { ReservingError } from "./types.js";
+import { isNum, lastJointObservedIndex, lastObservedIndex, safeRatio } from "./util.js";
+function assertSameShape(a, b) {
+    const sameOrigins = a.origins.length === b.origins.length && a.origins.every((o, i) => o === b.origins[i]);
+    const sameAges = a.ages.length === b.ages.length && a.ages.every((v, j) => v === b.ages[j]);
+    if (!sameOrigins || !sameAges) {
+        throw new ReservingError("SHAPE", "The paid and case-outstanding triangles must share identical origins and development ages");
+    }
+}
+export function runCaseOutstanding(paid, caseOutstanding, options) {
+    assertSameShape(paid, caseOutstanding);
+    const nOrigins = paid.origins.length;
+    const nAges = paid.ages.length;
+    const nIntervals = nAges - 1;
+    for (const [name, selections] of [
+        ["caseSelections", options.caseSelections],
+        ["paidOnCaseSelections", options.paidOnCaseSelections],
+    ]) {
+        if (selections.length !== nIntervals) {
+            throw new ReservingError("SELECTION_SHAPE", `Expected ${nIntervals} ${name} (one per development interval), got ${selections.length}`);
+        }
+    }
+    const tailPaidOnCase = options.tailPaidOnCase ?? 1;
+    if (!isNum(tailPaidOnCase) || tailPaidOnCase < 0) {
+        throw new ReservingError("BAD_TAIL", `tailPaidOnCase must be a finite, non-negative ratio, got ${options.tailPaidOnCase}`);
+    }
+    const anySelected = options.caseSelections.some((s) => isNum(s)) ||
+        options.paidOnCaseSelections.some((s) => isNum(s));
+    if (nIntervals > 0 && !anySelected) {
+        throw new ReservingError("NO_SELECTIONS", "No case run-off or paid-on-case ratios are selected for any interval; select patterns before running the analysis");
+    }
+    const warnings = [];
+    // Effective selections with the documented coercions, warned per interval.
+    const effectiveCase = options.caseSelections.map((s, j) => {
+        const label = `${paid.ages[j]}-${paid.ages[j + 1]} months`;
+        if (!isNum(s)) {
+            warnings.push(`Missing case run-off selection for ${label}; treated as 1.000 (case carried forward)`);
+            return 1;
+        }
+        if (s < 0) {
+            warnings.push(`Negative case run-off selection for ${label} would project negative case; treated as 0.000`);
+            return 0;
+        }
+        return s;
+    });
+    const effectivePaid = options.paidOnCaseSelections.map((s, j) => {
+        const label = `${paid.ages[j]}-${paid.ages[j + 1]} months`;
+        if (!isNum(s)) {
+            warnings.push(`Missing paid-on-case selection for ${label}; treated as 0.000 (no payment projected)`);
+            return 0;
+        }
+        if (s < 0) {
+            warnings.push(`Negative paid-on-case selection for ${label} projects net recoveries; kept as given`);
+        }
+        return s;
+    });
+    // Historical ratio triangles (null-safe: prior case must be positive, and
+    // an incremental paid needs both cumulative cells observed).
+    const caseRatios = [];
+    const paidOnPriorCase = [];
+    for (let i = 0; i < nOrigins; i++) {
+        const cRow = [];
+        const pRow = [];
+        for (let j = 0; j < nIntervals; j++) {
+            const casePrior = caseOutstanding.values[i][j] ?? null;
+            const caseNext = caseOutstanding.values[i][j + 1] ?? null;
+            const paidPrior = paid.values[i][j] ?? null;
+            const paidNext = paid.values[i][j + 1] ?? null;
+            cRow.push(safeRatio(caseNext, casePrior));
+            pRow.push(isNum(paidPrior) && isNum(paidNext)
+                ? safeRatio(paidNext - paidPrior, casePrior)
+                : null);
+        }
+        caseRatios.push(cRow);
+        paidOnPriorCase.push(pRow);
+    }
+    const rows = [];
+    let tailDefaultRelevant = false;
+    for (let i = 0; i < nOrigins; i++) {
+        const paidRow = paid.values[i];
+        const caseRow = caseOutstanding.values[i];
+        const lastPaid = lastObservedIndex(paidRow);
+        const lastCase = lastObservedIndex(caseRow);
+        const k = lastJointObservedIndex(paidRow, caseRow);
+        if (k < 0) {
+            warnings.push(`Origin ${paid.origins[i]} has no age with both paid and case outstanding observed; excluded from results`);
+            continue;
+        }
+        if (lastPaid !== lastCase) {
+            warnings.push(`Origin ${paid.origins[i]}: paid and case diagonals end at different ages (${paid.ages[lastPaid]} vs ${paid.ages[lastCase]}); projected from the latest jointly observed age ${paid.ages[k]}`);
+        }
+        const paidToDate = paidRow[k];
+        const seedCase = caseRow[k];
+        if (seedCase < 0) {
+            warnings.push(`Origin ${paid.origins[i]}: case outstanding at the seed age is negative (${seedCase}); the projection carries the sign through, so review whether net recoveries are genuinely expected`);
+        }
+        const futurePaid = [];
+        const projectedCase = [];
+        let current = seedCase;
+        let warnedNegativeProjection = seedCase < 0;
+        for (let j = k; j < nIntervals; j++) {
+            futurePaid.push(current * effectivePaid[j]);
+            current *= effectiveCase[j];
+            projectedCase.push(current);
+            if (current < 0 && !warnedNegativeProjection) {
+                warnedNegativeProjection = true;
+                warnings.push(`Origin ${paid.origins[i]}: projected case outstanding turns negative (${current}) at age ${paid.ages[j + 1] ?? "tail"}; downstream reserves inherit the sign`);
+            }
+        }
+        if (current !== 0 && options.tailPaidOnCase === undefined)
+            tailDefaultRelevant = true;
+        futurePaid.push(current * tailPaidOnCase);
+        const unpaid = futurePaid.reduce((a, v) => a + v, 0);
+        rows.push({
+            origin: paid.origins[i],
+            latestAge: paid.ages[k],
+            paidToDate,
+            caseOutstanding: seedCase,
+            futurePaid,
+            projectedCase,
+            unpaid,
+            ultimate: paidToDate + unpaid,
+        });
+    }
+    if (rows.length === 0) {
+        throw new ReservingError("NO_DATA", "No origin period has both paid and case outstanding observed at any age");
+    }
+    if (tailDefaultRelevant) {
+        warnings.push(`Case outstanding remaining at ${paid.ages[nAges - 1]} months is assumed paid in full (tailPaidOnCase defaulted to 1); supply tailPaidOnCase to select otherwise`);
+    }
+    const totals = rows.reduce((acc, r) => ({
+        paidToDate: acc.paidToDate + r.paidToDate,
+        caseOutstanding: acc.caseOutstanding + r.caseOutstanding,
+        unpaid: acc.unpaid + r.unpaid,
+        ultimate: acc.ultimate + r.ultimate,
+    }), { paidToDate: 0, caseOutstanding: 0, unpaid: 0, ultimate: 0 });
+    return {
+        method: "caseOutstanding",
+        caseRatios,
+        paidOnPriorCase,
+        tailPaidOnCase,
+        rows,
+        totals,
+        warnings,
+    };
+}
+//# sourceMappingURL=caseOutstanding.js.map

package/dist/caseOutstanding.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"caseOutstanding.js","sourceRoot":"","sources":["../src/caseOutstanding.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AAC5C,OAAO,EAAE,KAAK,EAAE,sBAAsB,EAAE,iBAAiB,EAAE,SAAS,EAAE,MAAM,WAAW,CAAC;AA8ExF,SAAS,eAAe,CAAC,CAAW,EAAE,CAAW;IAC/C,MAAM,WAAW,GACf,CAAC,CAAC,OAAO,CAAC,MAAM,KAAK,CAAC,CAAC,OAAO,CAAC,MAAM,IAAI,CAAC,CAAC,OAAO,CAAC,KAAK,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,KAAK,CAAC,CAAC,OAAO,CAAC,CAAC,CAAC,CAAC,CAAC;IACzF,MAAM,QAAQ,GAAG,CAAC,CAAC,IAAI,CAAC,MAAM,KAAK,CAAC,CAAC,IAAI,CAAC,MAAM,IAAI,CAAC,CAAC,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC,CAAC,CAAC,CAAC,CAAC;IAC5F,IAAI,CAAC,WAAW,IAAI,CAAC,QAAQ,EAAE,CAAC;QAC9B,MAAM,IAAI,cAAc,CACtB,OAAO,EACP,2FAA2F,CAC5F,CAAC;IACJ,CAAC;AACH,CAAC;AAED,MAAM,UAAU,kBAAkB,CAChC,IAAc,EACd,eAAyB,EACzB,OAA+B;IAE/B,eAAe,CAAC,IAAI,EAAE,eAAe,CAAC,CAAC;IACvC,MAAM,QAAQ,GAAG,IAAI,CAAC,OAAO,CAAC,MAAM,CAAC;IACrC,MAAM,KAAK,GAAG,IAAI,CAAC,IAAI,CAAC,MAAM,CAAC;IAC/B,MAAM,UAAU,GAAG,KAAK,GAAG,CAAC,CAAC;IAC7B,KAAK,MAAM,CAAC,IAAI,EAAE,UAAU,CAAC,IAAI;QAC/B,CAAC,gBAAgB,EAAE,OAAO,CAAC,cAAc,CAAC;QAC1C,CAAC,sBAAsB,EAAE,OAAO,CAAC,oBAAoB,CAAC;KAC9C,EAAE,CAAC;QACX,IAAI,UAAU,CAAC,MAAM,KAAK,UAAU,EAAE,CAAC;YACrC,MAAM,IAAI,cAAc,CACtB,iBAAiB,EACjB,YAAY,UAAU,IAAI,IAAI,wCAAwC,UAAU,CAAC,MAAM,EAAE,CAC1F,CAAC;QACJ,CAAC;IACH,CAAC;IACD,MAAM,cAAc,GAAG,OAAO,CAAC,cAAc,IAAI,CAAC,CAAC;IACnD,IAAI,CAAC,KAAK,CAAC,cAAc,CAAC,IAAI,cAAc,GAAG,CAAC,EAAE,CAAC;QACjD,MAAM,IAAI,cAAc,CACtB,UAAU,EACV,4DAA4D,OAAO,CAAC,cAAc,EAAE,CACrF,CAAC;IACJ,CAAC;IACD,MAAM,WAAW,GACf,OAAO,CAAC,cAAc,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC;QAC5C,OAAO,CAAC,oBAAoB,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC;IACrD,IAAI,UAAU,GAAG,CAAC,IAAI,CAAC,WAAW,EAAE,CAAC;QACnC,MAAM,IAAI,cAAc,CACtB,eAAe,EACf,mHAAmH,CACpH,CAAC;IACJ,CAAC;IAED,MAAM,QAAQ,GAAa,EAAE,CAAC;IAE9B,2EAA2E;IAC3E,MAAM,aAAa,GAAa,OAAO,CAAC,cAAc,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE;QAClE,MAAM,KAAK,GAAG,GAAG,IAAI,CAAC,IAAI,CAAC,CAAC,CAAC,IAAI,IAAI,CAAC,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,SAAS,CAAC;QAC3D,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,EAAE,CAAC;YACd,QAAQ,CAAC,IAAI,CAAC,sCAAsC,KAAK,2CAA2C,CAAC,CAAC;YACtG,OAAO,CAAC,CAAC;QACX,CAAC;QACD,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC;YACV,QAAQ,CAAC,IAAI,CACX,uCAAuC,KAAK,gDAAgD,CAC7F,CAAC;YACF,OAAO,CAAC,CAAC;QACX,CAAC;QACD,OAAO,CAAC,CAAC;IACX,CAAC,CAAC,CAAC;IACH,MAAM,aAAa,GAAa,OAAO,CAAC,oBAAoB,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE;QACxE,MAAM,KAAK,GAAG,GAAG,IAAI,CAAC,IAAI,CAAC,CAAC,CAAC,IAAI,IAAI,CAAC,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,SAAS,CAAC;QAC3D,IAAI,CAAC,KAAK,CAAC,CAAC,CAAC,EAAE,CAAC;YACd,QAAQ,CAAC,IAAI,CAAC,sCAAsC,KAAK,2CAA2C,CAAC,CAAC;YACtG,OAAO,CAAC,CAAC;QACX,CAAC;QACD,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC;YACV,QAAQ,CAAC,IAAI,CAAC,uCAAuC,KAAK,yCAAyC,CAAC,CAAC;QACvG,CAAC;QACD,OAAO,CAAC,CAAC;IACX,CAAC,CAAC,CAAC;IAEH,0EAA0E;IAC1E,6DAA6D;IAC7D,MAAM,UAAU,GAAwB,EAAE,CAAC;IAC3C,MAAM,eAAe,GAAwB,EAAE,CAAC;IAChD,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,QAAQ,EAAE,CAAC,EAAE,EAAE,CAAC;QAClC,MAAM,IAAI,GAAsB,EAAE,CAAC;QACnC,MAAM,IAAI,GAAsB,EAAE,CAAC;QACnC,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,UAAU,EAAE,CAAC,EAAE,EAAE,CAAC;YACpC,MAAM,SAAS,GAAG,eAAe,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC,CAAC,CAAC,IAAI,IAAI,CAAC;YACxD,MAAM,QAAQ,GAAG,eAAe,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC,CAAC,GAAG,CAAC,CAAC,IAAI,IAAI,CAAC;YAC3D,MAAM,SAAS,GAAG,IAAI,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC,CAAC,CAAC,IAAI,IAAI,CAAC;YAC7C,MAAM,QAAQ,GAAG,IAAI,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC,CAAC,GAAG,CAAC,CAAC,IAAI,IAAI,CAAC;YAChD,IAAI,CAAC,IAAI,CAAC,SAAS,CAAC,QAAQ,EAAE,SAAS,CAAC,CAAC,CAAC;YAC1C,IAAI,CAAC,IAAI,CACP,KAAK,CAAC,SAAS,CAAC,IAAI,KAAK,CAAC,QAAQ,CAAC;gBACjC,CAAC,CAAC,SAAS,CAAC,QAAQ,GAAG,SAAS,EAAE,SAAS,CAAC;gBAC5C,CAAC,CAAC,IAAI,CACT,CAAC;QACJ,CAAC;QACD,UAAU,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;QACtB,eAAe,CAAC,IAAI,CAAC,IAAI,CAAC,CAAC;IAC7B,CAAC;IAED,MAAM,IAAI,GAAyB,EAAE,CAAC;IACtC,IAAI,mBAAmB,GAAG,KAAK,CAAC;IAChC,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,QAAQ,EAAE,CAAC,EAAE,EAAE,CAAC;QAClC,MAAM,OAAO,GAAG,IAAI,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC;QAChC,MAAM,OAAO,GAAG,eAAe,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC;QAC3C,MAAM,QAAQ,GAAG,iBAAiB,CAAC,OAAO,CAAC,CAAC;QAC5C,MAAM,QAAQ,GAAG,iBAAiB,CAAC,OAAO,CAAC,CAAC;QAC5C,MAAM,CAAC,GAAG,sBAAsB,CAAC,OAAO,EAAE,OAAO,CAAC,CAAC;QACnD,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC;YACV,QAAQ,CAAC,IAAI,CACX,UAAU,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,iFAAiF,CAC3G,CAAC;YACF,SAAS;QACX,CAAC;QACD,IAAI,QAAQ,KAAK,QAAQ,EAAE,CAAC;YAC1B,QAAQ,CAAC,IAAI,CACX,UAAU,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,oDAAoD,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC,OAAO,IAAI,CAAC,IAAI,CAAC,QAAQ,CAAC,qDAAqD,IAAI,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,CAC9L,CAAC;QACJ,CAAC;QAED,MAAM,UAAU,GAAG,OAAO,CAAC,CAAC,CAAE,CAAC;QAC/B,MAAM,QAAQ,GAAG,OAAO,CAAC,CAAC,CAAE,CAAC;QAC7B,IAAI,QAAQ,GAAG,CAAC,EAAE,CAAC;YACjB,QAAQ,CAAC,IAAI,CACX,UAAU,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,mDAAmD,QAAQ,qGAAqG,CAC1L,CAAC;QACJ,CAAC;QACD,MAAM,UAAU,GAAa,EAAE,CAAC;QAChC,MAAM,aAAa,GAAa,EAAE,CAAC;QACnC,IAAI,OAAO,GAAG,QAAQ,CAAC;QACvB,IAAI,wBAAwB,GAAG,QAAQ,GAAG,CAAC,CAAC;QAC5C,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,UAAU,EAAE,CAAC,EAAE,EAAE,CAAC;YACpC,UAAU,CAAC,IAAI,CAAC,OAAO,GAAG,aAAa,CAAC,CAAC,CAAE,CAAC,CAAC;YAC7C,OAAO,IAAI,aAAa,CAAC,CAAC,CAAE,CAAC;YAC7B,aAAa,CAAC,IAAI,CAAC,OAAO,CAAC,CAAC;YAC5B,IAAI,OAAO,GAAG,CAAC,IAAI,CAAC,wBAAwB,EAAE,CAAC;gBAC7C,wBAAwB,GAAG,IAAI,CAAC;gBAChC,QAAQ,CAAC,IAAI,CACX,UAAU,IAAI,CAAC,OAAO,CAAC,CAAC,CAAC,gDAAgD,OAAO,YAAY,IAAI,CAAC,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,IAAI,MAAM,wCAAwC,CAC/J,CAAC;YACJ,CAAC;QACH,CAAC;QACD,IAAI,OAAO,KAAK,CAAC,IAAI,OAAO,CAAC,cAAc,KAAK,SAAS;YAAE,mBAAmB,GAAG,IAAI,CAAC;QACtF,UAAU,CAAC,IAAI,CAAC,OAAO,GAAG,cAAc,CAAC,CAAC;QAE1C,MAAM,MAAM,GAAG,UAAU,CAAC,MAAM,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,EAAE,CAAC,CAAC,CAAC;QACrD,IAAI,CAAC,IAAI,CAAC;YACR,MAAM,EAAE,IAAI,CAAC,OAAO,CAAC,CAAC,CAAE;YACxB,SAAS,EAAE,IAAI,CAAC,IAAI,CAAC,CAAC,CAAE;YACxB,UAAU;YACV,eAAe,EAAE,QAAQ;YACzB,UAAU;YACV,aAAa;YACb,MAAM;YACN,QAAQ,EAAE,UAAU,GAAG,MAAM;SAC9B,CAAC,CAAC;IACL,CAAC;IACD,IAAI,IAAI,CAAC,MAAM,KAAK,CAAC,EAAE,CAAC;QACtB,MAAM,IAAI,cAAc,CACtB,SAAS,EACT,yEAAyE,CAC1E,CAAC;IACJ,CAAC;IACD,IAAI,mBAAmB,EAAE,CAAC;QACxB,QAAQ,CAAC,IAAI,CACX,iCAAiC,IAAI,CAAC,IAAI,CAAC,KAAK,GAAG,CAAC,CAAC,4GAA4G,CAClK,CAAC;IACJ,CAAC;IAED,MAAM,MAAM,GAAG,IAAI,CAAC,MAAM,CACxB,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC;QACX,UAAU,EAAE,GAAG,CAAC,UAAU,GAAG,CAAC,CAAC,UAAU;QACzC,eAAe,EAAE,GAAG,CAAC,eAAe,GAAG,CAAC,CAAC,eAAe;QACxD,MAAM,EAAE,GAAG,CAAC,MAAM,GAAG,CAAC,CAAC,MAAM;QAC7B,QAAQ,EAAE,GAAG,CAAC,QAAQ,GAAG,CAAC,CAAC,QAAQ;KACpC,CAAC,EACF,EAAE,UAAU,EAAE,CAAC,EAAE,eAAe,EAAE,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,QAAQ,EAAE,CAAC,EAAE,CAC9D,CAAC;IAEF,OAAO;QACL,MAAM,EAAE,iBAAiB;QACzB,UAAU;QACV,eAAe;QACf,cAAc;QACd,IAAI;QACJ,MAAM;QACN,QAAQ;KACT,CAAC;AACJ,CAAC"}

package/dist/chainladder.d.ts

@@ -0,0 +1,15 @@
+import type { ChainLadderResult, LdfSelections, Triangle } from "./types.js";
+/**
+ * Chain Ladder (development) method.
+ *
+ * Ground truth:
+ * - CDFs are computed right to left: CDF at the last observed age = tail
+ *   factor; CDF_j = LDF_j x CDF_{j+1}.
+ * - Percent developed = 1 / CDF.
+ * - Ultimate = latest diagonal value x CDF at its age.
+ * - IBNR (incurred basis) / unpaid (paid basis) = ultimate - current.
+ * - Missing LDF selections: warn loudly and treat as 1.0; refuse to run when
+ *   ALL selections are missing.
+ */
+export declare function runChainLadder(tri: Triangle, selections: LdfSelections): ChainLadderResult;
+//# sourceMappingURL=chainladder.d.ts.map

package/dist/chainladder.d.ts.map

@@ -0,0 +1 @@
+{"version":3,"file":"chainladder.d.ts","sourceRoot":"","sources":["../src/chainladder.ts"],"names":[],"mappings":"AAAA,OAAO,KAAK,EAAE,iBAAiB,EAAkB,aAAa,EAAE,QAAQ,EAAE,MAAM,YAAY,CAAC;AAI7F;;;;;;;;;;;GAWG;AACH,wBAAgB,cAAc,CAAC,GAAG,EAAE,QAAQ,EAAE,UAAU,EAAE,aAAa,GAAG,iBAAiB,CAoF1F"}

package/dist/chainladder.js

@@ -0,0 +1,81 @@
+import { ReservingError } from "./types.js";
+import { isNum, lastObservedIndex } from "./util.js";
+/**
+ * Chain Ladder (development) method.
+ *
+ * Ground truth:
+ * - CDFs are computed right to left: CDF at the last observed age = tail
+ *   factor; CDF_j = LDF_j x CDF_{j+1}.
+ * - Percent developed = 1 / CDF.
+ * - Ultimate = latest diagonal value x CDF at its age.
+ * - IBNR (incurred basis) / unpaid (paid basis) = ultimate - current.
+ * - Missing LDF selections: warn loudly and treat as 1.0; refuse to run when
+ *   ALL selections are missing.
+ */
+export function runChainLadder(tri, selections) {
+    const nAges = tri.ages.length;
+    const nLdfs = nAges - 1;
+    if (selections.selected.length !== nLdfs) {
+        throw new ReservingError("SELECTION_SHAPE", `Expected ${nLdfs} LDF selections (one per development interval), got ${selections.selected.length}`);
+    }
+    if (!isNum(selections.tailFactor) || selections.tailFactor <= 0) {
+        throw new ReservingError("BAD_TAIL", "Tail factor must be a positive number");
+    }
+    const warnings = [];
+    const anySelected = selections.selected.some((s) => isNum(s));
+    if (nLdfs > 0 && !anySelected) {
+        throw new ReservingError("NO_SELECTIONS", "No LDFs are selected for any development interval; select factors before running the analysis");
+    }
+    const effective = selections.selected.map((s, j) => {
+        if (isNum(s)) {
+            if (s <= 0) {
+                warnings.push(`Selected LDF for ${tri.ages[j]}-${tri.ages[j + 1]} months is not positive; treated as 1.000`);
+                return 1;
+            }
+            return s;
+        }
+        warnings.push(`Missing LDF selection for ${tri.ages[j]}-${tri.ages[j + 1]} months; treated as 1.000`);
+        return 1;
+    });
+    // Right-to-left cumulative development factors; cdfs[j] develops age[j] to ultimate.
+    const cdfs = new Array(nAges).fill(selections.tailFactor);
+    for (let j = nAges - 2; j >= 0; j--) {
+        cdfs[j] = effective[j] * cdfs[j + 1];
+    }
+    const percentDeveloped = cdfs.map((c) => 1 / c);
+    const rows = [];
+    for (let i = 0; i < tri.origins.length; i++) {
+        const latestIdx = lastObservedIndex(tri.values[i]);
+        if (latestIdx < 0) {
+            warnings.push(`Origin ${tri.origins[i]} has no observed values; excluded from results`);
+            continue;
+        }
+        const latestValue = tri.values[i][latestIdx];
+        const cdf = cdfs[latestIdx];
+        const ultimate = latestValue * cdf;
+        rows.push({
+            origin: tri.origins[i],
+            latestAge: tri.ages[latestIdx],
+            latestValue,
+            cdf,
+            percentDeveloped: 1 / cdf,
+            ultimate,
+            unpaid: ultimate - latestValue,
+        });
+    }
+    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: "chainLadder",
+        basis: tri.kind,
+        cdfs,
+        percentDeveloped,
+        rows,
+        totals,
+        warnings,
+    };
+}
+//# sourceMappingURL=chainladder.js.map

package/dist/chainladder.js.map

@@ -0,0 +1 @@
+{"version":3,"file":"chainladder.js","sourceRoot":"","sources":["../src/chainladder.ts"],"names":[],"mappings":"AACA,OAAO,EAAE,cAAc,EAAE,MAAM,YAAY,CAAC;AAC5C,OAAO,EAAE,KAAK,EAAE,iBAAiB,EAAE,MAAM,WAAW,CAAC;AAErD;;;;;;;;;;;GAWG;AACH,MAAM,UAAU,cAAc,CAAC,GAAa,EAAE,UAAyB;IACrE,MAAM,KAAK,GAAG,GAAG,CAAC,IAAI,CAAC,MAAM,CAAC;IAC9B,MAAM,KAAK,GAAG,KAAK,GAAG,CAAC,CAAC;IACxB,IAAI,UAAU,CAAC,QAAQ,CAAC,MAAM,KAAK,KAAK,EAAE,CAAC;QACzC,MAAM,IAAI,cAAc,CACtB,iBAAiB,EACjB,YAAY,KAAK,uDAAuD,UAAU,CAAC,QAAQ,CAAC,MAAM,EAAE,CACrG,CAAC;IACJ,CAAC;IACD,IAAI,CAAC,KAAK,CAAC,UAAU,CAAC,UAAU,CAAC,IAAI,UAAU,CAAC,UAAU,IAAI,CAAC,EAAE,CAAC;QAChE,MAAM,IAAI,cAAc,CAAC,UAAU,EAAE,uCAAuC,CAAC,CAAC;IAChF,CAAC;IAED,MAAM,QAAQ,GAAa,EAAE,CAAC;IAC9B,MAAM,WAAW,GAAG,UAAU,CAAC,QAAQ,CAAC,IAAI,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,KAAK,CAAC,CAAC,CAAC,CAAC,CAAC;IAC9D,IAAI,KAAK,GAAG,CAAC,IAAI,CAAC,WAAW,EAAE,CAAC;QAC9B,MAAM,IAAI,cAAc,CACtB,eAAe,EACf,+FAA+F,CAChG,CAAC;IACJ,CAAC;IAED,MAAM,SAAS,GAAa,UAAU,CAAC,QAAQ,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,CAAC,EAAE,EAAE;QAC3D,IAAI,KAAK,CAAC,CAAC,CAAC,EAAE,CAAC;YACb,IAAI,CAAC,IAAI,CAAC,EAAE,CAAC;gBACX,QAAQ,CAAC,IAAI,CACX,oBAAoB,GAAG,CAAC,IAAI,CAAC,CAAC,CAAC,IAAI,GAAG,CAAC,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,2CAA2C,CAC9F,CAAC;gBACF,OAAO,CAAC,CAAC;YACX,CAAC;YACD,OAAO,CAAC,CAAC;QACX,CAAC;QACD,QAAQ,CAAC,IAAI,CACX,6BAA6B,GAAG,CAAC,IAAI,CAAC,CAAC,CAAC,IAAI,GAAG,CAAC,IAAI,CAAC,CAAC,GAAG,CAAC,CAAC,2BAA2B,CACvF,CAAC;QACF,OAAO,CAAC,CAAC;IACX,CAAC,CAAC,CAAC;IAEH,qFAAqF;IACrF,MAAM,IAAI,GAAa,IAAI,KAAK,CAAC,KAAK,CAAC,CAAC,IAAI,CAAC,UAAU,CAAC,UAAU,CAAC,CAAC;IACpE,KAAK,IAAI,CAAC,GAAG,KAAK,GAAG,CAAC,EAAE,CAAC,IAAI,CAAC,EAAE,CAAC,EAAE,EAAE,CAAC;QACpC,IAAI,CAAC,CAAC,CAAC,GAAG,SAAS,CAAC,CAAC,CAAE,GAAG,IAAI,CAAC,CAAC,GAAG,CAAC,CAAE,CAAC;IACzC,CAAC;IACD,MAAM,gBAAgB,GAAG,IAAI,CAAC,GAAG,CAAC,CAAC,CAAC,EAAE,EAAE,CAAC,CAAC,GAAG,CAAC,CAAC,CAAC;IAEhD,MAAM,IAAI,GAAqB,EAAE,CAAC;IAClC,KAAK,IAAI,CAAC,GAAG,CAAC,EAAE,CAAC,GAAG,GAAG,CAAC,OAAO,CAAC,MAAM,EAAE,CAAC,EAAE,EAAE,CAAC;QAC5C,MAAM,SAAS,GAAG,iBAAiB,CAAC,GAAG,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC,CAAC;QACpD,IAAI,SAAS,GAAG,CAAC,EAAE,CAAC;YAClB,QAAQ,CAAC,IAAI,CAAC,UAAU,GAAG,CAAC,OAAO,CAAC,CAAC,CAAC,gDAAgD,CAAC,CAAC;YACxF,SAAS;QACX,CAAC;QACD,MAAM,WAAW,GAAG,GAAG,CAAC,MAAM,CAAC,CAAC,CAAE,CAAC,SAAS,CAAE,CAAC;QAC/C,MAAM,GAAG,GAAG,IAAI,CAAC,SAAS,CAAE,CAAC;QAC7B,MAAM,QAAQ,GAAG,WAAW,GAAG,GAAG,CAAC;QACnC,IAAI,CAAC,IAAI,CAAC;YACR,MAAM,EAAE,GAAG,CAAC,OAAO,CAAC,CAAC,CAAE;YACvB,SAAS,EAAE,GAAG,CAAC,IAAI,CAAC,SAAS,CAAE;YAC/B,WAAW;YACX,GAAG;YACH,gBAAgB,EAAE,CAAC,GAAG,GAAG;YACzB,QAAQ;YACR,MAAM,EAAE,QAAQ,GAAG,WAAW;SAC/B,CAAC,CAAC;IACL,CAAC;IAED,MAAM,MAAM,GAAG,IAAI,CAAC,MAAM,CACxB,CAAC,GAAG,EAAE,CAAC,EAAE,EAAE,CAAC,CAAC;QACX,MAAM,EAAE,GAAG,CAAC,MAAM,GAAG,CAAC,CAAC,WAAW;QAClC,QAAQ,EAAE,GAAG,CAAC,QAAQ,GAAG,CAAC,CAAC,QAAQ;QACnC,MAAM,EAAE,GAAG,CAAC,MAAM,GAAG,CAAC,CAAC,MAAM;KAC9B,CAAC,EACF,EAAE,MAAM,EAAE,CAAC,EAAE,QAAQ,EAAE,CAAC,EAAE,MAAM,EAAE,CAAC,EAAE,CACtC,CAAC;IAEF,OAAO;QACL,MAAM,EAAE,aAAa;QACrB,KAAK,EAAE,GAAG,CAAC,IAAI;QACf,IAAI;QACJ,gBAAgB;QAChB,IAAI;QACJ,MAAM;QACN,QAAQ;KACT,CAAC;AACJ,CAAC"}