TailClark

class chainladder.TailClark(growth='loglogistic', truncation_age=None, attachment_age=None, projection_period=12)

Allows for extraploation of LDFs to form a tail factor.

Added in version 0.6.4.

Parameters:

growth: {‘loglogistic’, ‘weibull’}

The growth function to be used in curve fitting development patterns. Options are ‘loglogistic’ and ‘weibull’

truncation_age: int

The age at which you wish to stop extrapolating development

attachment_age: int (default=None)

The age at which to attach the fitted curve. If None, then the latest age is used. Measures of variability from original ldf_ are retained when being used in conjunction with the MackChainladder method.

projection_period: int

The number of months beyond the latest available development age the ldf_ and cdf_ vectors should extend.

Attributes:

ldf_:

ldf with tail applied.

cdf_:

cdf with tail applied.

tail_: DataFrame

Point estimate of tail at latest maturity available in the Triangle.

theta_: DataFrame

Estimates of the theta parameter of the growth curve.

omega_: DataFrame

Estimates of the omega parameter of the growth curve.

elr_: DataFrame

The Expected Loss Ratio parameter. This only exists when a sample_weight is provided to the Estimator.

scale_: DataFrame

The scale parameter of the model.

norm_resid_: Triangle

The “Normalized” Residuals of the model according to Clark.

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

Fit the model with X.

Parameters:

X: Triangle-like

Set of LDFs to which the tail will be applied.

y: Ignored

sample_weightTriangle-like

Exposure vector used to invoke the Cape Cod method.

Returns:

self: object

Returns the instance itself.

transform(X)

Transform X.

Parameters:

X: Triangle

Triangle must contain the ldf_ development attribute.

Returns:

X_new: Triangle

New Triangle with tail factor applied to its development attributes.

Inherited Methods

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