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henrydingliu merged 5 commits into from
Sep 2, 2026
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Chapter 11 #1272

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51ad443
ruff fix
henrydingliu Sep 2, 2026
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ruff fix
henrydingliu Sep 2, 2026
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Merge branch 'chapter_11_parking' into chapter_11
henrydingliu Sep 2, 2026
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ruff fix
henrydingliu Sep 2, 2026
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Merge branch 'chapter_11_parking' into chapter_11
henrydingliu Sep 2, 2026
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4 changes: 2 additions & 2 deletions chainladder/utils/tests/test_utilities.py
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Expand Up @@ -189,8 +189,8 @@ def test_model_diagnostics_groupby(prism, atol):
est = cl.Chainladder().fit(dev.transform(prism["Incurred"]))
lhs = cl.model_diagnostics(est, groupby=['Line'])
rhs = cl.model_diagnostics(cl.Chainladder().fit(dev.transform(prism["Incurred"].groupby('Line').sum())))
assert np.allclose(lhs['Ultimate'].values, rhs['Ultimate'].values,atol=atol, equal_nan=True)
assert np.allclose(np.nan_to_num(lhs['IBNR'].values), np.nan_to_num(rhs['IBNR'].values),atol=atol, equal_nan=True)
assert np.allclose(lhs['Ultimate'].values, rhs['Ultimate'].values, atol=atol, equal_nan=True)
assert np.allclose(np.nan_to_num(lhs['IBNR'].values), np.nan_to_num(rhs['IBNR'].values), atol=atol, equal_nan=True)


def test_concat_immutability(raa):
Expand Down
151 changes: 80 additions & 71 deletions docs/friedland/chapter_11.ipynb
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{

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"cells": [
{
"cell_type": "markdown",
Expand Down Expand Up @@ -52,18 +52,17 @@
" date_format: str = \"{:%Y}\",\n",
"):\n",
" return (\n",
" exh_df.reset_index()\n",
" exh_df\n",
" .reset_index()\n",
" .rename(columns={\"origin\": \"Accident Year\"})\n",
" .style.hide(axis=\"index\")\n",
" .set_properties(**{\"text-align\": \"right\"})\n",
" .format(\n",
" {\n",
" \"Accident Year\": date_format,\n",
" **{x: \"{:,.0f}\" for x in value_cols},\n",
" **{x: \"{:,.3f}\" for x in factor_cols},\n",
" **other_formats,\n",
" }\n",
" )\n",
" .format({\n",
" \"Accident Year\": date_format,\n",
" **{x: \"{:,.0f}\" for x in value_cols},\n",
" **{x: \"{:,.3f}\" for x in factor_cols},\n",
" **other_formats,\n",
" })\n",
" )\n",
"\n",
"\n",
Expand Down Expand Up @@ -376,12 +375,14 @@
"outputs": [],
"source": [
"e1_ccc_df = (\n",
" cl.model_diagnostics(e1_ccc_cl)\n",
" cl\n",
" .model_diagnostics(e1_ccc_cl)\n",
" .to_frame(keepdims=True, implicit_axis=True)\n",
" .set_index(\"origin\")\n",
")\n",
"e1_rcc_df = (\n",
" cl.model_diagnostics(e1_rcc_cl)\n",
" cl\n",
" .model_diagnostics(e1_rcc_cl)\n",
" .to_frame(keepdims=True, implicit_axis=True)\n",
" .set_index(\"origin\")\n",
")\n",
Expand Down Expand Up @@ -571,7 +572,8 @@
"outputs": [],
"source": [
"e1_rsev_ult_df = (\n",
" cl.model_diagnostics(e1_rsev_cl)\n",
" cl\n",
" .model_diagnostics(e1_rsev_cl)\n",
" .to_frame(keepdims=True, implicit_axis=True)\n",
" .set_index(\"origin\")\n",
")\n",
Expand Down Expand Up @@ -632,8 +634,10 @@
},
"outputs": [],
"source": [
"e1_s8 = summary_exh(e1_tri['Reported Claims']/1000,e1_tri['Paid Claims']/1000,e1_ult)\n",
"format_exh(e1_s8,e1_s8.columns,[],{},\"{:%Y%m}\")"
"e1_s8 = summary_exh(\n",
" e1_tri[\"Reported Claims\"] / 1000, e1_tri[\"Paid Claims\"] / 1000, e1_ult\n",
")\n",
"format_exh(e1_s8, e1_s8.columns, [], {}, \"{:%Y%m}\")"
]
},
{
Expand Down Expand Up @@ -825,19 +829,19 @@
},
"outputs": [],
"source": [
"print('PART 1 - Data Triangle')\n",
"nb_display(e2_tri['Closed Claim Counts'])\n",
"print('PART 2 - Age-to-Age Factors')\n",
"nb_display(e2_tri['Closed Claim Counts'].age_to_age.round(3))\n",
"print('PART 3 - Average Age-to-Age Factor')\n",
"print(\"PART 1 - Data Triangle\")\n",
"nb_display(e2_tri[\"Closed Claim Counts\"])\n",
"print(\"PART 2 - Age-to-Age Factors\")\n",
"nb_display(e2_tri[\"Closed Claim Counts\"].age_to_age.round(3))\n",
"print(\"PART 3 - Average Age-to-Age Factor\")\n",
"nb_display(combine_ldf(e2_ccc_devs).round(3).to_frame().rename_axis(\"\"))\n",
"print('PART 4 - Selected Age-to-Age Factors')\n",
"print('Selected')\n",
"print(\"PART 4 - Selected Age-to-Age Factors\")\n",
"print(\"Selected\")\n",
"nb_display(e2_ccc_selected.ldf_)\n",
"print('CDF to Ultimate')\n",
"print(\"CDF to Ultimate\")\n",
"nb_display(e2_ccc_selected.cdf_.round(3))\n",
"print('Percent Closed')\n",
"nb_display(1/e2_ccc_selected.cdf_.round(3))"
"print(\"Percent Closed\")\n",
"nb_display(1 / e2_ccc_selected.cdf_.round(3))"
]
},
{
Expand Down Expand Up @@ -926,12 +930,14 @@
"outputs": [],
"source": [
"e2_ccc_df = (\n",
" cl.model_diagnostics(e2_ccc_cl)\n",
" cl\n",
" .model_diagnostics(e2_ccc_cl)\n",
" .to_frame(keepdims=True, implicit_axis=True)\n",
" .set_index(\"origin\")\n",
")\n",
"e2_rcc_df = (\n",
" cl.model_diagnostics(e2_rcc_cl)\n",
" cl\n",
" .model_diagnostics(e2_rcc_cl)\n",
" .to_frame(keepdims=True, implicit_axis=True)\n",
" .set_index(\"origin\")\n",
")\n",
Expand Down Expand Up @@ -1085,7 +1091,8 @@
"outputs": [],
"source": [
"e2_rsev_df = (\n",
" cl.model_diagnostics(e2_rsev_cl)\n",
" cl\n",
" .model_diagnostics(e2_rsev_cl)\n",
" .to_frame(keepdims=True, implicit_axis=True)\n",
" .set_index(\"origin\")\n",
")\n",
Expand Down Expand Up @@ -1270,7 +1277,7 @@
"e3_sevavg_assumptions[\"latest_3\"] = {\"n_periods\": 3}\n",
"\n",
"# developing closed claim counts\n",
"# There is a typo in the text. We will use a tail of 1.002 to match the 84-ult factor'\n",
"# There is a typo in the text. We will use a tail of 1.002 to match the 84-ult factor\n",
"e3_ccc_devs = average_dev(e3_tri[\"Closed Claim Counts\"], e3_cnt_assumptions)\n",
"e3_ccc_selected = cl.TailConstant(tail=1.002, projection_period=0).fit_transform(\n",
" e3_ccc_devs[\"volume_5\"]\n",
Expand Down Expand Up @@ -1686,16 +1693,16 @@
},
"outputs": [],
"source": [
"print('PART 1 - Data Triangle')\n",
"print(\"PART 1 - Data Triangle\")\n",
"nb_display(e3_rsev)\n",
"print('PART 2 - Age-to-Age Factors')\n",
"print(\"PART 2 - Age-to-Age Factors\")\n",
"nb_display(e3_rsev.age_to_age.round(3))\n",
"print('PART 3 - Average Age-to-Age Factor')\n",
"print(\"PART 3 - Average Age-to-Age Factor\")\n",
"nb_display(combine_ldf(e3_rsev_devs).round(3).to_frame().rename_axis(\"\"))\n",
"print('PART 4 - Selected Age-to-Age Factors')\n",
"print('Selected')\n",
"print(\"PART 4 - Selected Age-to-Age Factors\")\n",
"print(\"Selected\")\n",
"nb_display(e3_rsev_selected.ldf_)\n",
"print('CDF to Ultimate')\n",
"print(\"CDF to Ultimate\")\n",
"nb_display(e3_rsev_selected.cdf_.round(3))"
]
},
Expand Down Expand Up @@ -1805,24 +1812,26 @@
},
"outputs": [],
"source": [
"e3_s9 = e3_s8[['Selected Ult Sev']].copy()\n",
"e3_s9['Sev Trend'] = e3_sev_trend.latest_diagonal.to_frame()\n",
"e3_s9['Trended Ult Sev'] = e3_sev_ult_trended.latest_diagonal.to_frame()\n",
"e3_s9[['Sev Trend']] = e3_s9[['Sev Trend']].round(3)\n",
"#using floating point offset to achieve standard rounding\n",
"e3_s9[['Trended Ult Sev']] = (e3_s9[['Trended Ult Sev']] + 1e-9).round(0)\n",
"nb_display(format_exh(\n",
" e3_s9.iloc[:-2,:],\n",
" [\n",
" 'Selected Ult Sev',\n",
" 'Trended Ult Sev',\n",
" ],\n",
" [\n",
" 'Sev Trend',\n",
" ],\n",
"))\n",
"print('Average Trended Severity at 2008 Cost Level')\n",
"for k,v in e3_sevs.items():\n",
"e3_s9 = e3_s8[[\"Selected Ult Sev\"]].copy()\n",
"e3_s9[\"Sev Trend\"] = e3_sev_trend.latest_diagonal.to_frame()\n",
"e3_s9[\"Trended Ult Sev\"] = e3_sev_ult_trended.latest_diagonal.to_frame()\n",
"e3_s9[[\"Sev Trend\"]] = e3_s9[[\"Sev Trend\"]].round(3)\n",
"# using floating point offset to achieve standard rounding\n",
"e3_s9[[\"Trended Ult Sev\"]] = (e3_s9[[\"Trended Ult Sev\"]] + 1e-9).round(0)\n",
"nb_display(\n",
" format_exh(\n",
" e3_s9.iloc[:-2, :],\n",
" [\n",
" \"Selected Ult Sev\",\n",
" \"Trended Ult Sev\",\n",
" ],\n",
" [\n",
" \"Sev Trend\",\n",
" ],\n",
" )\n",
")\n",
"print(\"Average Trended Severity at 2008 Cost Level\")\n",
"for k, v in e3_sevs.items():\n",
" print(f\"\\t{k:<20} \\t{v:,.0f}\")\n",
"print(f\"Selected 2008 Severity \\t\\t{e3_sev_2008:,.0f}\")\n",
"print(f\"Estimated 2007 Severity \\t{e3_sev_2007:,.0f}\")"
Expand Down Expand Up @@ -2442,19 +2451,19 @@
},
"outputs": [],
"source": [
"print('PART 1 - Data Triangle')\n",
"nb_display(e5_tri['Closed Claim Counts'])\n",
"print('PART 2 - Age-to-Age Factors')\n",
"nb_display(e5_tri['Closed Claim Counts'].age_to_age.round(3))\n",
"print('PART 3 - Average Age-to-Age Factor')\n",
"print(\"PART 1 - Data Triangle\")\n",
"nb_display(e5_tri[\"Closed Claim Counts\"])\n",
"print(\"PART 2 - Age-to-Age Factors\")\n",
"nb_display(e5_tri[\"Closed Claim Counts\"].age_to_age.round(3))\n",
"print(\"PART 3 - Average Age-to-Age Factor\")\n",
"nb_display(combine_ldf(e5_ccc_devs).round(3).to_frame().rename_axis(\"\"))\n",
"print('PART 4 - Selected Age-to-Age Factors')\n",
"print('Selected')\n",
"print(\"PART 4 - Selected Age-to-Age Factors\")\n",
"print(\"Selected\")\n",
"nb_display(e5_ccc_selected.ldf_)\n",
"print('CDF to Ultimate')\n",
"print(\"CDF to Ultimate\")\n",
"nb_display(e5_ccc_selected.cdf_.round(3))\n",
"print('Percent Closed')\n",
"nb_display((1/e5_ccc_selected.cdf_).round(3))"
"print(\"Percent Closed\")\n",
"nb_display((1 / e5_ccc_selected.cdf_).round(3))"
]
},
{
Expand Down Expand Up @@ -2491,18 +2500,18 @@
},
"outputs": [],
"source": [
"print('PART 1 - Data Triangle')\n",
"nb_display(e5_tri['Reported Claim Counts'])\n",
"print('PART 2 - Age-to-Age Factors')\n",
"nb_display(e5_tri['Reported Claim Counts'].age_to_age.round(3))\n",
"print('PART 3 - Average Age-to-Age Factor')\n",
"print(\"PART 1 - Data Triangle\")\n",
"nb_display(e5_tri[\"Reported Claim Counts\"])\n",
"print(\"PART 2 - Age-to-Age Factors\")\n",
"nb_display(e5_tri[\"Reported Claim Counts\"].age_to_age.round(3))\n",
"print(\"PART 3 - Average Age-to-Age Factor\")\n",
"nb_display(combine_ldf(e5_rcc_devs).round(3).to_frame().rename_axis(\"\"))\n",
"print('PART 4 - Selected Age-to-Age Factors')\n",
"print(\"PART 4 - Selected Age-to-Age Factors\")\n",
"nb_display(e5_rcc_selected.ldf_)\n",
"print('CDF to Ultimate')\n",
"print(\"CDF to Ultimate\")\n",
"nb_display(e5_rcc_selected.cdf_.round(3))\n",
"print('Percent Reported')\n",
"nb_display((1/e5_rcc_selected.cdf_).round(3))"
"print(\"Percent Reported\")\n",
"nb_display((1 / e5_rcc_selected.cdf_).round(3))"
]
},
{
Expand Down
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