chainladder.ValuationCorrelation

class chainladder.ValuationCorrelation(triangle: Triangle, p_critical: float = 0.1, total: bool = True)

Mack (1997) test for calendar year effect.A calendar period has impact across developments if the probability of the number of small (or large) development factors, Z, in that period occurring randomly is less than p_critical

Parameters:

triangle: Triangle

Triangle on which to test whether the calendar effects violate independence requirements of the chainladder method.

p_critical: float (default=0.10)

Value between 0 and 1 representing the confidence level for the test. 0.1 implies 90% confidence.

total: boolean

Whether to calculate valuation correlation in total across all years (True) consistent with Mack 1993 or for each year separately (False) consistent with Mack 1997.

Attributes:

zTriangle or DataFrame

Z values for each Valuation Period

z_criticalTriangle or DataFrame

Boolean value for whether correlation is too high based on p_critical confidence level.

z_expectationTriangle or DataFrame

The expected value of Z.

z_varianceTriangle or DataFrame

The variance value of Z.