@actuarial-ts/core 0.1.0

package/dist/discounting.js

@@ -0,0 +1,210 @@
+import { ReservingError } from "./types.js";
+import { isNum, safeRatio } from "./util.js";
+/**
+ * Expected future incremental payments per origin, derived from a chain
+ * ladder result: the increment for development interval (ages[j], ages[j+1]]
+ * is ultimate x (percentDeveloped[j+1] - percentDeveloped[j]), and the tail
+ * cash implied by a tail factor > 1 (ultimate x (1 - percentDeveloped at the
+ * last age)) is compressed into a single interval of the same width as the
+ * last observed development step, immediately after the last age (warned; a
+ * single-age triangle uses a 12-month tail interval). Each row's cashflow
+ * amounts sum to its unpaid by construction.
+ *
+ * `ages` must be the development ages the chain ladder ran on (the result
+ * does not carry them). Negative increments (percent developed not monotone,
+ * i.e. an LDF below 1) are kept and warned - never dropped or fabricated
+ * away.
+ */
+export function payoutPatternFromChainLadder(cl, ages) {
+    const K = ages.length;
+    if (K === 0 || cl.cdfs.length !== K) {
+        throw new ReservingError("SHAPE", `Expected the development ages the chain ladder ran on (${cl.cdfs.length} CDFs), got ${K} ages`);
+    }
+    for (let j = 0; j < K; j++) {
+        const a = ages[j];
+        if (!isNum(a) || a <= 0 || (j > 0 && a <= ages[j - 1])) {
+            throw new ReservingError("SHAPE", "Development ages must be finite, positive, and ascending");
+        }
+    }
+    const warnings = [];
+    const pct = cl.percentDeveloped;
+    const lastStep = K >= 2 ? ages[K - 1] - ages[K - 2] : 12;
+    const negativeColumns = new Set();
+    let tailWarned = false;
+    const rows = [];
+    for (const row of cl.rows) {
+        const k = ages.indexOf(row.latestAge);
+        if (k < 0) {
+            throw new ReservingError("SHAPE", `Origin ${row.origin}: latest age ${row.latestAge} is not among the supplied ages; pass the same ages the chain ladder ran on`);
+        }
+        const cashflows = [];
+        for (let j = k; j < K - 1; j++) {
+            const amount = row.ultimate * (pct[j + 1] - pct[j]);
+            if (amount < 0 && !negativeColumns.has(j)) {
+                negativeColumns.add(j);
+                warnings.push(`Development interval ${ages[j]}-${ages[j + 1]} months has a negative expected payment (percent developed is not monotone there); negative cashflows are kept, never dropped`);
+            }
+            cashflows.push({
+                fromMonths: ages[j] - ages[k],
+                toMonths: ages[j + 1] - ages[k],
+                amount,
+            });
+        }
+        const tailAmount = row.ultimate * (1 - pct[K - 1]);
+        if (Math.abs(tailAmount) > 1e-9 * Math.max(1, Math.abs(row.ultimate))) {
+            if (!tailWarned) {
+                tailWarned = true;
+                warnings.push(`Tail development beyond ${ages[K - 1]} months is compressed into a single ${lastStep}-month payment interval immediately after the last age; supply explicit cashflows if the tail is long`);
+            }
+            cashflows.push({
+                fromMonths: ages[K - 1] - ages[k],
+                toMonths: ages[K - 1] - ages[k] + lastStep,
+                amount: tailAmount,
+            });
+        }
+        rows.push({ origin: row.origin, latestAge: row.latestAge, unpaid: row.unpaid, cashflows });
+    }
+    // Off-diagonal guard: cashflow timing measures every row from its OWN
+    // latest observed age, which is only calendar-correct when all rows sit on
+    // one valuation diagonal. A stale origin (data feed stopped early) has a
+    // latest age at or below a YOUNGER origin's — its calendar-past
+    // development would be discounted as future. Rows clamped at the final age
+    // column are legitimate (fully-developed old origins on truncated-wide
+    // grids), so equality at the last age never flags. Warn, never re-time.
+    const maxAge = ages[K - 1];
+    for (let i = 0; i < rows.length; i++) {
+        const r = rows[i];
+        if (r.latestAge >= maxAge)
+            continue;
+        if (!r.cashflows.some((c) => Math.abs(c.amount) > 1e-9))
+            continue;
+        const shadowedBy = rows.slice(i + 1).find((later) => later.latestAge >= r.latestAge);
+        if (shadowedBy) {
+            warnings.push(`Origin ${r.origin} appears stale (latest age ${r.latestAge} months, at or below younger origin ${shadowedBy.origin}'s ${shadowedBy.latestAge}); its cashflow timing assumes its latest cell sits AT the valuation date, so calendar-past development may be discounted as future`);
+        }
+    }
+    return { rows, warnings };
+}
+const ISO_DATE = /^\d{4}-(\d{2})-(\d{2})$/;
+function validateProvenance(provenance) {
+    if (provenance === undefined ||
+        typeof provenance.source !== "string" ||
+        provenance.source.trim() === "") {
+        throw new ReservingError("NO_PROVENANCE", "Rate provenance is required: ASOP 20 requires disclosing the basis of the discount rates (source) and the date they were determined (asOfDate)");
+    }
+    const match = typeof provenance.asOfDate === "string" ? ISO_DATE.exec(provenance.asOfDate) : null;
+    const m = match ? Number(match[1]) : 0;
+    const d = match ? Number(match[2]) : 0;
+    if (!match || m < 1 || m > 12 || d < 1 || d > 31) {
+        throw new ReservingError("BAD_DATE", `Rate provenance asOfDate must be an ISO date (yyyy-mm-dd), got "${provenance.asOfDate}"`);
+    }
+    return provenance;
+}
+function validateRates(rates) {
+    if (rates.kind === "flat") {
+        if (!isNum(rates.annualRate) || rates.annualRate <= -1) {
+            throw new ReservingError("BAD_RATE", `Flat annual discount rate must be a finite number greater than -100%, got ${rates.annualRate}`);
+        }
+        return;
+    }
+    if (rates.spotByYear.length === 0) {
+        throw new ReservingError("BAD_RATE", "A spot curve needs at least one annual rate");
+    }
+    rates.spotByYear.forEach((r, k) => {
+        if (!isNum(r) || r <= -1) {
+            throw new ReservingError("BAD_RATE", `Spot rate for year ${k + 1} must be a finite number greater than -100%, got ${r}`);
+        }
+    });
+}
+/**
+ * Discounts expected future payments and reports nominal and discounted
+ * unpaid side by side, per origin and in total. See the module doc for the
+ * timing convention, curve lookup, and the ASOP 20 provenance/risk-margin
+ * rules this function enforces.
+ */
+export function discountUnpaid(input) {
+    const hasPattern = input.pattern !== undefined;
+    const hasCashflows = input.cashflows !== undefined;
+    if (hasPattern === hasCashflows) {
+        throw new ReservingError("BAD_CASHFLOWS", "Provide exactly one cashflow source: a payout pattern OR explicit per-origin cashflows");
+    }
+    validateRates(input.rates);
+    const provenance = validateProvenance(input.provenance);
+    if (input.riskMargin !== undefined && (!isNum(input.riskMargin) || input.riskMargin < 0)) {
+        throw new ReservingError("BAD_MARGIN", `An explicit risk margin must be a finite, non-negative amount, got ${input.riskMargin}`);
+    }
+    const sources = hasPattern
+        ? input.pattern.rows.map((r) => ({ origin: r.origin, cashflows: r.cashflows }))
+        : input.cashflows;
+    if (sources.length === 0) {
+        throw new ReservingError("NO_DATA", "No origins to discount");
+    }
+    const warnings = [];
+    const spot = input.rates.kind === "curve" ? input.rates.spotByYear : null;
+    let horizonWarned = false;
+    const negativeOrigins = [];
+    const rows = sources.map((source) => {
+        let nominal = 0;
+        let discounted = 0;
+        let hasNegative = false;
+        const details = source.cashflows.map((cf) => {
+            if (!isNum(cf.fromMonths) ||
+                cf.fromMonths < 0 ||
+                !isNum(cf.toMonths) ||
+                cf.toMonths < cf.fromMonths ||
+                !isNum(cf.amount)) {
+                throw new ReservingError("BAD_CASHFLOWS", `Origin ${source.origin}: cashflows need finite amounts and 0 <= fromMonths <= toMonths`);
+            }
+            if (cf.amount < 0)
+                hasNegative = true;
+            const timeYears = input.convention === "end-period"
+                ? cf.toMonths / 12
+                : (cf.fromMonths + cf.toMonths) / 24;
+            let rate;
+            if (spot === null) {
+                rate = input.rates.annualRate;
+            }
+            else {
+                if (timeYears > spot.length && !horizonWarned) {
+                    horizonWarned = true;
+                    warnings.push(`Cashflows beyond the ${spot.length}-year spot curve horizon are discounted at the last spot rate (${spot[spot.length - 1]}); extend the curve to refine`);
+                }
+                rate = spot[Math.min(Math.max(Math.ceil(timeYears), 1), spot.length) - 1];
+            }
+            const discountFactor = (1 + rate) ** -timeYears;
+            const pv = cf.amount * discountFactor;
+            nominal += cf.amount;
+            discounted += pv;
+            return { timeYears, amount: cf.amount, rate, discountFactor, discounted: pv };
+        });
+        if (hasNegative)
+            negativeOrigins.push(source.origin);
+        return {
+            origin: source.origin,
+            nominal,
+            discounted,
+            discount: nominal - discounted,
+            effectiveDiscountFactor: safeRatio(discounted, nominal),
+            cashflows: details,
+        };
+    });
+    if (negativeOrigins.length > 0) {
+        warnings.push(`Negative expected cashflows for origin(s) ${negativeOrigins.join(", ")}; discounted as-is (negative flows reduce the discounted unpaid)`);
+    }
+    const totals = rows.reduce((acc, r) => ({
+        nominal: acc.nominal + r.nominal,
+        discounted: acc.discounted + r.discounted,
+        discount: acc.discount + r.discount,
+    }), { nominal: 0, discounted: 0, discount: 0 });
+    return {
+        method: "discountUnpaid",
+        convention: input.convention,
+        rates: input.rates,
+        provenance,
+        rows,
+        totals: { ...totals, effectiveDiscountFactor: safeRatio(totals.discounted, totals.nominal) },
+        riskMargin: input.riskMargin ?? null,
+        warnings,
+    };
+}
+//# sourceMappingURL=discounting.js.map

package/dist/discounting.js.map

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package/dist/elrMethods.d.ts

@@ -0,0 +1,104 @@
+/**
+ * Expected-loss-ratio methods (Friedland ch. 8 and 10).
+ *
+ * Cape Cod (Stanard-Buhlmann) derives its ELR mechanically from the data:
+ * ELR* = sum(adjusted reported) / sum(adjusted used-up premium), where the
+ * per-origin adjustment factors bring losses and premium to a common (target)
+ * cost and rate level. Expected unreported for each origin then comes from
+ * the ELR restated to THAT origin's own level.
+ *
+ * The Expected Claims method applies a selected ELR (at target level) the
+ * same way, with no reliance on the origin's own emerged losses.
+ */
+export interface ElrMethodRow {
+    origin: string;
+    /** Reported (or paid) losses on the latest diagonal, the method's basis. */
+    reported: number;
+    /** Cumulative development factor to ultimate for this origin's age. */
+    cdf: number;
+    /** Earned premium for the origin (raw). */
+    premium: number;
+    /**
+     * Factor bringing this origin's LOSSES to the target cost level
+     * (e.g. (1+sevTrend)^(target-year) x uncap adjustment). Default 1.
+     */
+    lossAdj?: number;
+    /**
+     * Factor bringing this origin's PREMIUM to the target rate/cost level
+     * (on-level factor x premium trend). Default 1.
+     */
+    premiumAdj?: number;
+}
+export interface CapeCodRow {
+    origin: string;
+    reported: number;
+    cdf: number;
+    premium: number;
+    usedUpPremium: number;
+    /**
+     * The ELR governing THIS origin at the target level. With decay = 1 it is
+     * the single pooled Cape Cod ELR (same for every row); with decay < 1 it
+     * is the origin's own decay-weighted average (Gluck 1997).
+     */
+    elrAtTargetLevel: number;
+    /** elrAtTargetLevel restated to this origin's own level. */
+    elrAtOriginLevel: number;
+    expectedUltimate: number;
+    ultimate: number;
+    ibnrToReported: number;
+}
+export interface CapeCodResult {
+    method: "capeCod";
+    /** The mechanical ELR at the TARGET (adjusted) level. */
+    elrAtTargetLevel: number;
+    rows: CapeCodRow[];
+    totals: {
+        reported: number;
+        ultimate: number;
+        usedUpPremium: number;
+    };
+    warnings: string[];
+}
+/**
+ * Cape Cod: ELR* = sum(reported x lossAdj) / sum(premium x premiumAdj / cdf).
+ * Ultimate_i = reported_i + expectedUltimate_i x (1 - 1/cdf_i), with
+ * expectedUltimate_i = ELR* x premium_i x premiumAdj_i / lossAdj_i (the
+ * target-level ELR restated to origin i's own level, times its premium).
+ *
+ * Generalized Cape Cod (Gluck 1997, PCAS LXXXIV, eq. 6.1): with a decay
+ * factor D in [0, 1], each origin gets its OWN target-level ELR — the
+ * weighted average over all origins with weights usedUp_j x D^|i-j|
+ * (distance in origin-row steps). D = 1 is the standard Cape Cod (single
+ * pooled ELR); D = 0 makes every year stand alone, reproducing the pure
+ * development ultimate. Gluck's practical guidance: D between 0.50 and
+ * 1.00, with 0.75 as a customary default; lower D suits large stable books
+ * (trend error dominates), higher D suits small erratic ones (development
+ * error dominates).
+ */
+export declare function runCapeCod(rows: ElrMethodRow[], opts?: {
+    baseIsPurePremium?: boolean;
+    decay?: number;
+}): CapeCodResult;
+export interface ExpectedClaimsRow {
+    origin: string;
+    premium: number;
+    elrAtOriginLevel: number;
+    ultimate: number;
+}
+export interface ExpectedClaimsResult {
+    method: "expectedClaims";
+    /** The selected ELR at the target level the caller supplied. */
+    selectedElrAtTargetLevel: number;
+    rows: ExpectedClaimsRow[];
+    totals: {
+        ultimate: number;
+    };
+    warnings: string[];
+}
+/**
+ * Expected Claims: ultimate_i = selectedELR (target level) restated to the
+ * origin's level (x premiumAdj_i / lossAdj_i) x premium_i. Pure a-priori -
+ * the origin's own emerged losses never enter.
+ */
+export declare function runExpectedClaims(rows: ElrMethodRow[], selectedElrAtTargetLevel: number): ExpectedClaimsResult;
+//# sourceMappingURL=elrMethods.d.ts.map

package/dist/elrMethods.d.ts.map

@@ -0,0 +1 @@
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package/dist/elrMethods.js

@@ -0,0 +1,151 @@
+import { ReservingError } from "./types.js";
+import { isNum } from "./util.js";
+function validateRows(rows) {
+    if (rows.length === 0) {
+        throw new ReservingError("NO_DATA", "ELR methods need at least one origin row");
+    }
+    for (const r of rows) {
+        // CDFs below 1 are legitimate on incurred bases (case run-off develops
+        // reported incurred DOWNWARD); the methods then post an expected
+        // take-down rather than a provision. Only non-positive CDFs are garbage.
+        if (!isNum(r.cdf) || r.cdf <= 0) {
+            throw new ReservingError("BAD_CDF", `Origin ${r.origin}: the CDF to ultimate must be positive (got ${r.cdf})`);
+        }
+        if (!isNum(r.premium) || r.premium <= 0) {
+            throw new ReservingError("BAD_PREMIUM", `Origin ${r.origin}: the exposure base (earned premium or exposure units) must be positive`);
+        }
+        if (!isNum(r.reported) || r.reported < 0) {
+            throw new ReservingError("BAD_LOSSES", `Origin ${r.origin}: reported must be >= 0`);
+        }
+        const lossAdj = r.lossAdj ?? 1;
+        const premiumAdj = r.premiumAdj ?? 1;
+        if (!isNum(lossAdj) || lossAdj <= 0 || !isNum(premiumAdj) || premiumAdj <= 0) {
+            throw new ReservingError("BAD_ADJ", `Origin ${r.origin}: adjustment factors must be positive`);
+        }
+    }
+}
+/**
+ * Cape Cod: ELR* = sum(reported x lossAdj) / sum(premium x premiumAdj / cdf).
+ * Ultimate_i = reported_i + expectedUltimate_i x (1 - 1/cdf_i), with
+ * expectedUltimate_i = ELR* x premium_i x premiumAdj_i / lossAdj_i (the
+ * target-level ELR restated to origin i's own level, times its premium).
+ *
+ * Generalized Cape Cod (Gluck 1997, PCAS LXXXIV, eq. 6.1): with a decay
+ * factor D in [0, 1], each origin gets its OWN target-level ELR — the
+ * weighted average over all origins with weights usedUp_j x D^|i-j|
+ * (distance in origin-row steps). D = 1 is the standard Cape Cod (single
+ * pooled ELR); D = 0 makes every year stand alone, reproducing the pure
+ * development ultimate. Gluck's practical guidance: D between 0.50 and
+ * 1.00, with 0.75 as a customary default; lower D suits large stable books
+ * (trend error dominates), higher D suits small erratic ones (development
+ * error dominates).
+ */
+export function runCapeCod(rows, opts = {}) {
+    validateRows(rows);
+    const warnings = [];
+    const decay = opts.decay ?? 1;
+    if (!isNum(decay) || decay < 0 || decay > 1) {
+        throw new ReservingError("BAD_ADJ", `The decay factor must be between 0 and 1 (got ${decay})`);
+    }
+    const losses = rows.map((r) => r.reported * (r.lossAdj ?? 1));
+    const usedUps = rows.map((r) => (r.premium * (r.premiumAdj ?? 1)) / r.cdf);
+    let lossSum = 0;
+    let usedUpSum = 0;
+    for (let j = 0; j < rows.length; j++) {
+        lossSum += losses[j];
+        usedUpSum += usedUps[j];
+    }
+    if (!(usedUpSum > 0)) {
+        throw new ReservingError("BAD_PREMIUM", "Used-up premium is not positive");
+    }
+    const pooledElr = lossSum / usedUpSum;
+    // Per-origin target-level ELR: pooled when D = 1 (same float, same code
+    // path — the published Cape Cod behavior must stay byte-identical), the
+    // Gluck decay-weighted average otherwise. 0^0 = 1 in JS, so D = 0 cleanly
+    // reduces to "own year only".
+    const elrByRow = rows.map((_, i) => {
+        if (decay === 1)
+            return pooledElr;
+        let num = 0;
+        let den = 0;
+        for (let j = 0; j < rows.length; j++) {
+            const w = decay ** Math.abs(i - j);
+            num += losses[j] * w;
+            den += usedUps[j] * w;
+        }
+        if (!(den > 0)) {
+            throw new ReservingError("BAD_PREMIUM", `Origin ${rows[i].origin}: decayed used-up premium is not positive`);
+        }
+        return num / den;
+    });
+    if (rows.some((r) => r.cdf < 1)) {
+        warnings.push("Some origins have CDFs below 1 (expected downward development): their Cape Cod provision is an expected take-down, standard for incurred bases with case redundancy");
+    }
+    // A pure premium (losses per exposure unit) is a dollar amount, not a ratio,
+    // so the "ELR looks too high" sanity check only applies to the loss-ratio base.
+    if (!opts.baseIsPurePremium && pooledElr > 2) {
+        warnings.push(`Cape Cod mechanical ELR is ${(pooledElr * 100).toFixed(0)}% - check that premium and losses are on comparable levels`);
+    }
+    const out = rows.map((r, i) => {
+        const lossAdj = r.lossAdj ?? 1;
+        const premiumAdj = r.premiumAdj ?? 1;
+        const usedUp = (r.premium * premiumAdj) / r.cdf;
+        const elrAtTargetLevel = elrByRow[i];
+        const elrAtOriginLevel = (elrAtTargetLevel * premiumAdj) / lossAdj;
+        const expectedUltimate = elrAtOriginLevel * r.premium;
+        const ultimate = r.reported + expectedUltimate * (1 - 1 / r.cdf);
+        return {
+            origin: r.origin,
+            reported: r.reported,
+            cdf: r.cdf,
+            premium: r.premium,
+            usedUpPremium: usedUp,
+            elrAtTargetLevel,
+            elrAtOriginLevel,
+            expectedUltimate,
+            ultimate,
+            ibnrToReported: ultimate - r.reported,
+        };
+    });
+    return {
+        method: "capeCod",
+        // With decay < 1 there is no single ELR; the scalar is the pooled (D=1)
+        // reference value. Per-row elrAtTargetLevel drives the ultimates.
+        elrAtTargetLevel: pooledElr,
+        rows: out,
+        totals: {
+            reported: out.reduce((a, r) => a + r.reported, 0),
+            ultimate: out.reduce((a, r) => a + r.ultimate, 0),
+            usedUpPremium: out.reduce((a, r) => a + r.usedUpPremium, 0),
+        },
+        warnings,
+    };
+}
+/**
+ * Expected Claims: ultimate_i = selectedELR (target level) restated to the
+ * origin's level (x premiumAdj_i / lossAdj_i) x premium_i. Pure a-priori -
+ * the origin's own emerged losses never enter.
+ */
+export function runExpectedClaims(rows, selectedElrAtTargetLevel) {
+    validateRows(rows);
+    if (!isNum(selectedElrAtTargetLevel) || selectedElrAtTargetLevel <= 0) {
+        throw new ReservingError("BAD_ELR", "The selected ELR must be a positive number");
+    }
+    const out = rows.map((r) => {
+        const elrAtOriginLevel = (selectedElrAtTargetLevel * (r.premiumAdj ?? 1)) / (r.lossAdj ?? 1);
+        return {
+            origin: r.origin,
+            premium: r.premium,
+            elrAtOriginLevel,
+            ultimate: elrAtOriginLevel * r.premium,
+        };
+    });
+    return {
+        method: "expectedClaims",
+        selectedElrAtTargetLevel,
+        rows: out,
+        totals: { ultimate: out.reduce((a, r) => a + r.ultimate, 0) },
+        warnings: [],
+    };
+}
+//# sourceMappingURL=elrMethods.js.map

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package/dist/factors.d.ts

@@ -0,0 +1,19 @@
+import type { AverageSpec, DevelopmentFactors, Triangle } from "./types.js";
+/**
+ * Age-to-age (link ratio) development factors and the averages menu.
+ *
+ * Ground truth:
+ * - f[i][j] = C[i][j+1] / C[i][j] on cumulative data.
+ * - The volume-weighted average for a column is sum(numerators) / sum(denominators)
+ *   over exactly the rows where BOTH cells exist -- not the mean of ratios.
+ * - Division by a missing, zero, or negative denominator = no factor (null).
+ */
+export declare const DEFAULT_AVERAGES: AverageSpec[];
+export declare function computeDevelopmentFactors(tri: Triangle, averageSpecs?: AverageSpec[]): DevelopmentFactors;
+/**
+ * Per-column coefficient of variation of the individual age-to-age factors:
+ * the stability metric the capped-vs-unlimited layer comparison is judged on.
+ * null where a column has fewer than two observed factors.
+ */
+export declare function factorVolatility(dev: DevelopmentFactors): (number | null)[];
+//# sourceMappingURL=factors.d.ts.map

package/dist/factors.d.ts.map

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package/dist/factors.js

@@ -0,0 +1,136 @@
+import { isNum, safeRatio } from "./util.js";
+/**
+ * Age-to-age (link ratio) development factors and the averages menu.
+ *
+ * Ground truth:
+ * - f[i][j] = C[i][j+1] / C[i][j] on cumulative data.
+ * - The volume-weighted average for a column is sum(numerators) / sum(denominators)
+ *   over exactly the rows where BOTH cells exist -- not the mean of ratios.
+ * - Division by a missing, zero, or negative denominator = no factor (null).
+ */
+export const DEFAULT_AVERAGES = [
+    { key: "all-wtd", label: "All-year volume-weighted", kind: "weighted" },
+    { key: "all-str", label: "All-year straight", kind: "straight" },
+    { key: "5-wtd", label: "5-year volume-weighted", kind: "weighted", years: 5 },
+    { key: "5-str", label: "5-year straight", kind: "straight", years: 5 },
+    { key: "3-wtd", label: "3-year volume-weighted", kind: "weighted", years: 3 },
+    { key: "3-str", label: "3-year straight", kind: "straight", years: 3 },
+    { key: "med-5x1", label: "Medial 5-year (excl. hi/lo)", kind: "medial", years: 5 },
+    { key: "geo-all", label: "All-year geometric", kind: "geometric" },
+];
+/** Valid (both cells present, positive denominator) pairs for column j, in origin order. */
+function columnPairs(tri, j) {
+    const pairs = [];
+    for (let i = 0; i < tri.origins.length; i++) {
+        const den = tri.values[i][j] ?? null;
+        const num = tri.values[i][j + 1] ?? null;
+        const factor = safeRatio(num, den);
+        if (factor !== null && isNum(num) && isNum(den)) {
+            pairs.push({ rowIndex: i, numerator: num, denominator: den, factor });
+        }
+    }
+    return pairs;
+}
+function averageForColumn(pairs, spec) {
+    // An "n-year" average covers the latest n ORIGIN PERIODS that can carry a
+    // factor in this column (ending at the last row with a valid factor) -- not
+    // the last n valid factors. With an interior missing factor the window must
+    // not silently reach further back in time.
+    let window = pairs;
+    if (spec.years !== undefined && pairs.length > 0) {
+        const lastRow = pairs[pairs.length - 1].rowIndex;
+        window = pairs.filter((p) => p.rowIndex > lastRow - spec.years);
+    }
+    if (window.length === 0)
+        return null;
+    switch (spec.kind) {
+        case "straight": {
+            let s = 0;
+            for (const p of window)
+                s += p.factor;
+            return s / window.length;
+        }
+        case "weighted": {
+            let num = 0;
+            let den = 0;
+            for (const p of window) {
+                num += p.numerator;
+                den += p.denominator;
+            }
+            return den > 0 ? num / den : null;
+        }
+        case "medial": {
+            if (window.length < 3) {
+                // Not enough points to exclude hi/lo; fall back to a straight average.
+                let s = 0;
+                for (const p of window)
+                    s += p.factor;
+                return s / window.length;
+            }
+            const sorted = window.map((p) => p.factor).sort((a, b) => a - b);
+            const inner = sorted.slice(1, sorted.length - 1);
+            let s = 0;
+            for (const f of inner)
+                s += f;
+            return s / inner.length;
+        }
+        case "geometric": {
+            let logSum = 0;
+            for (const p of window) {
+                if (p.factor <= 0)
+                    return null; // geometric mean undefined
+                logSum += Math.log(p.factor);
+            }
+            return Math.exp(logSum / window.length);
+        }
+    }
+}
+export function computeDevelopmentFactors(tri, averageSpecs = DEFAULT_AVERAGES) {
+    const nCols = Math.max(0, tri.ages.length - 1);
+    const individual = tri.origins.map((_, i) => {
+        const row = [];
+        for (let j = 0; j < nCols; j++) {
+            row.push(safeRatio(tri.values[i][j + 1] ?? null, tri.values[i][j] ?? null));
+        }
+        return row;
+    });
+    const pairsByColumn = [];
+    for (let j = 0; j < nCols; j++)
+        pairsByColumn.push(columnPairs(tri, j));
+    const averages = averageSpecs.map((spec) => ({
+        spec,
+        values: pairsByColumn.map((pairs) => averageForColumn(pairs, spec)),
+    }));
+    return {
+        fromAges: tri.ages.slice(0, nCols),
+        toAges: tri.ages.slice(1),
+        individual,
+        averages,
+    };
+}
+/**
+ * Per-column coefficient of variation of the individual age-to-age factors:
+ * the stability metric the capped-vs-unlimited layer comparison is judged on.
+ * null where a column has fewer than two observed factors.
+ */
+export function factorVolatility(dev) {
+    const nCols = dev.fromAges.length;
+    const out = new Array(nCols).fill(null);
+    for (let j = 0; j < nCols; j++) {
+        const values = [];
+        for (const row of dev.individual) {
+            const v = row[j];
+            if (v !== null && v !== undefined && Number.isFinite(v))
+                values.push(v);
+        }
+        if (values.length < 2)
+            continue;
+        const mean = values.reduce((a, v) => a + v, 0) / values.length;
+        if (mean === 0)
+            continue;
+        const variance = values.reduce((a, v) => a + (v - mean) ** 2, 0) / (values.length - 1);
+        out[j] = Math.sqrt(variance) / Math.abs(mean);
+    }
+    return out;
+}
+//# sourceMappingURL=factors.js.map