CaseOutstanding

class chainladder.CaseOutstanding(paid_to_incurred=None, paid_n_periods=-1, case_n_periods=-1, groupby=None)

A determinisic method based on outstanding case reserves.

The CaseOutstanding method is a deterministic approach that develops patterns of incremental payments as a percent of previous period case reserves as well as patterns for case reserves as a percent of previous period case reserves. Although the patterns produces by the approach approximate incremental payments and case outstanding, they are converted into comparable multiplicative patterns for usage with the various IBNR methods.

Added in version 0.8.0.

Parameters:

paid_to_incurred: tuple or list of tuples

A tuple representing the paid and incurred columns of the triangles such as ('paid', 'incurred')

paid_n_periods: integer, optional (default=-1)

number of origin periods to be used in the paid pattern averages. For all origin periods, set paid_n_periods=-1

case_n_periods: integer, optional (default=-1)

number of origin periods to be used in the case pattern averages. For all origin periods, set paid_n_periods=-1

Attributes:

ldf_: Triangle

The estimated (multiplicative) loss development patterns.

cdf_: Triangle

The estimated (multiplicative) cumulative development patterns.

case_to_prior_case_: Triangle

The case to prior case ratios used for fitting the estimator

case_ldf_:

The selected case to prior case ratios of the fitted estimator

paid_to_prior_case_: Triangle

The paid to prior case ratios used for fitting the estimator

paid_ldf_:

The selected paid to prior case ratios of the fitted estimator

fit(X, y=None, sample_weight=None)

Fit the model with X.

Parameters:

XTriangle

Set of LDFs to which the munich adjustment will be applied.

yIgnored

sample_weightIgnored

Returns:

selfobject

Returns the instance itself.

transform(X)

If X and self are of different shapes, align self to X, else return self.

Parameters:

XTriangle

The triangle to be transformed

Returns:

X_newNew triangle with transformed attributes.

Inherited Methods

CaseOutstanding.fit_transform	Fit to data, then transform it.
CaseOutstanding.get_metadata_routing	Get metadata routing of this object.
CaseOutstanding.get_params	Get parameters for this estimator.
CaseOutstanding.pipe
CaseOutstanding.set_backend	Converts triangle array_backend.
CaseOutstanding.set_output	Set output container.
CaseOutstanding.set_params	Set the parameters of this estimator.
CaseOutstanding.to_json	Serializes triangle object to json format
CaseOutstanding.to_pickle	Serializes triangle object to pickle.