# prospicio

> Actuarial and risk modeling on a Rust core: reserving, distributions, aggregate loss, reinsurance and pricing.

## Docs

### API Reference

#### Distributions
> Parametric, discretized and sampled representations.

- [distributions.Lognormal](https://ekthesage.github.io/prospicio/reference/distributions.Lognormal.html)
- [distributions.Gamma](https://ekthesage.github.io/prospicio/reference/distributions.Gamma.html)
- [distributions.Tweedie](https://ekthesage.github.io/prospicio/reference/distributions.Tweedie.html)
- [distributions.Weibull](https://ekthesage.github.io/prospicio/reference/distributions.Weibull.html)
- [distributions.Loglogistic](https://ekthesage.github.io/prospicio/reference/distributions.Loglogistic.html)
- [distributions.Mixture](https://ekthesage.github.io/prospicio/reference/distributions.Mixture.html)
- [distributions.Custom](https://ekthesage.github.io/prospicio/reference/distributions.Custom.html)
- [distributions.to_json](https://ekthesage.github.io/prospicio/reference/distributions.to_json.html)
- [distributions.from_json](https://ekthesage.github.io/prospicio/reference/distributions.from_json.html)
- [distributions.Grid](https://ekthesage.github.io/prospicio/reference/distributions.Grid.html)
- [distributions.DiscretizationReport](https://ekthesage.github.io/prospicio/reference/distributions.DiscretizationReport.html)
- [distributions.Sampled](https://ekthesage.github.io/prospicio/reference/distributions.Sampled.html)

#### Large-loss severities
> The Pareto family for layer and treaty pricing, with maximum likelihood fits.

- [distributions.Pareto](https://ekthesage.github.io/prospicio/reference/distributions.Pareto.html)
- [distributions.PiecewisePareto](https://ekthesage.github.io/prospicio/reference/distributions.PiecewisePareto.html)
- [distributions.LogAffinePareto](https://ekthesage.github.io/prospicio/reference/distributions.LogAffinePareto.html)
- [distributions.GeneralizedPareto](https://ekthesage.github.io/prospicio/reference/distributions.GeneralizedPareto.html)
- [distributions.local_pareto_to_piecewise](https://ekthesage.github.io/prospicio/reference/distributions.local_pareto_to_piecewise.html)

#### Claim counts
> Frequency distributions for frequency-severity aggregation.

- [distributions.Poisson](https://ekthesage.github.io/prospicio/reference/distributions.Poisson.html)
- [distributions.NegativeBinomial](https://ekthesage.github.io/prospicio/reference/distributions.NegativeBinomial.html)
- [distributions.Binomial](https://ekthesage.github.io/prospicio/reference/distributions.Binomial.html)
- [distributions.claim_count](https://ekthesage.github.io/prospicio/reference/distributions.claim_count.html)

#### Predictive distributions
> The joint result every model returns.

- [distributions.PredictiveDistribution](https://ekthesage.github.io/prospicio/reference/distributions.PredictiveDistribution.html)

#### Aggregate loss
> Compound distributions on a grid, and simulated years of losses.

- [aggregate.panjer](https://ekthesage.github.io/prospicio/reference/aggregate.panjer.html)
- [aggregate.fft](https://ekthesage.github.io/prospicio/reference/aggregate.fft.html)
- [aggregate.CompoundReport](https://ekthesage.github.io/prospicio/reference/aggregate.CompoundReport.html)
- [aggregate.simulate_events](https://ekthesage.github.io/prospicio/reference/aggregate.simulate_events.html)
- [aggregate.EventSet](https://ekthesage.github.io/prospicio/reference/aggregate.EventSet.html)

#### Reinsurance
> Excess-of-loss layers and towers, applied to simulated losses or exactly on the grid.

- [reinsurance.Layer](https://ekthesage.github.io/prospicio/reference/reinsurance.Layer.html)
- [reinsurance.Tower](https://ekthesage.github.io/prospicio/reference/reinsurance.Tower.html)
- [reinsurance.TowerGrids](https://ekthesage.github.io/prospicio/reference/reinsurance.TowerGrids.html)

#### Models
> Terms and design matrices, GLMs and GAMs, metrics, resampling and MCMC diagnostics.

- [models.Terms](https://ekthesage.github.io/prospicio/reference/models.Terms.html)
- [models.Coding](https://ekthesage.github.io/prospicio/reference/models.Coding.html)
- [models.Design](https://ekthesage.github.io/prospicio/reference/models.Design.html)
- [models.Glm](https://ekthesage.github.io/prospicio/reference/models.Glm.html)
- [models.GlmFit](https://ekthesage.github.io/prospicio/reference/models.GlmFit.html)
- [models.BayesGlm](https://ekthesage.github.io/prospicio/reference/models.BayesGlm.html)
- [models.BayesGlmFit](https://ekthesage.github.io/prospicio/reference/models.BayesGlmFit.html)
- [models.ElasticNet](https://ekthesage.github.io/prospicio/reference/models.ElasticNet.html)
- [models.ElasticNetFit](https://ekthesage.github.io/prospicio/reference/models.ElasticNetFit.html)
- [models.CvPath](https://ekthesage.github.io/prospicio/reference/models.CvPath.html)
- [models.Gam](https://ekthesage.github.io/prospicio/reference/models.Gam.html)
- [models.GamFit](https://ekthesage.github.io/prospicio/reference/models.GamFit.html)
- [models.deviance](https://ekthesage.github.io/prospicio/reference/models.deviance.html)
- [models.gini](https://ekthesage.github.io/prospicio/reference/models.gini.html)
- [models.lift](https://ekthesage.github.io/prospicio/reference/models.lift.html)
- [models.crps](https://ekthesage.github.io/prospicio/reference/models.crps.html)
- [models.log_score](https://ekthesage.github.io/prospicio/reference/models.log_score.html)
- [models.pit](https://ekthesage.github.io/prospicio/reference/models.pit.html)
- [models.pit_from_draws](https://ekthesage.github.io/prospicio/reference/models.pit_from_draws.html)
- [models.pit_histogram](https://ekthesage.github.io/prospicio/reference/models.pit_histogram.html)
- [models.ks_uniform](https://ekthesage.github.io/prospicio/reference/models.ks_uniform.html)
- [models.k_fold](https://ekthesage.github.io/prospicio/reference/models.k_fold.html)
- [models.group_k_fold](https://ekthesage.github.io/prospicio/reference/models.group_k_fold.html)
- [models.time_ordered](https://ekthesage.github.io/prospicio/reference/models.time_ordered.html)
- [models.mcmc_diagnostics](https://ekthesage.github.io/prospicio/reference/models.mcmc_diagnostics.html)
- [models.elpd_loo](https://ekthesage.github.io/prospicio/reference/models.elpd_loo.html)
- [models.stacking_weights](https://ekthesage.github.io/prospicio/reference/models.stacking_weights.html)
- [models.pseudo_bma_weights](https://ekthesage.github.io/prospicio/reference/models.pseudo_bma_weights.html)
- [models.BayesStacking](https://ekthesage.github.io/prospicio/reference/models.BayesStacking.html)
- [models.HierarchicalStacking](https://ekthesage.github.io/prospicio/reference/models.HierarchicalStacking.html)
- [models.StackingFit](https://ekthesage.github.io/prospicio/reference/models.StackingFit.html)
- [models.elpd_waic](https://ekthesage.github.io/prospicio/reference/models.elpd_waic.html)
- [models.lppd](https://ekthesage.github.io/prospicio/reference/models.lppd.html)
- [models.Elpd](https://ekthesage.github.io/prospicio/reference/models.Elpd.html)
- [models.deviance_score](https://ekthesage.github.io/prospicio/reference/models.deviance_score.html)
- [models.cross_validate](https://ekthesage.github.io/prospicio/reference/models.cross_validate.html)
- [models.grid_search](https://ekthesage.github.io/prospicio/reference/models.grid_search.html)
- [models.random_search](https://ekthesage.github.io/prospicio/reference/models.random_search.html)
- [models.log_uniform](https://ekthesage.github.io/prospicio/reference/models.log_uniform.html)
- [models.SearchResult](https://ekthesage.github.io/prospicio/reference/models.SearchResult.html)
- [models.compare](https://ekthesage.github.io/prospicio/reference/models.compare.html)
- [models.Comparison](https://ekthesage.github.io/prospicio/reference/models.Comparison.html)
- [models.actual_vs_expected](https://ekthesage.github.io/prospicio/reference/models.actual_vs_expected.html)
- [models.simulate_from_means](https://ekthesage.github.io/prospicio/reference/models.simulate_from_means.html)

#### Gradient boosting
> LightGBM and XGBoost behind the model protocol, with joint predictive draws.

- [boosting.Booster](https://ekthesage.github.io/prospicio/reference/boosting.Booster.html)
- [boosting.BoosterFit](https://ekthesage.github.io/prospicio/reference/boosting.BoosterFit.html)

#### Pricing
> The collective model, layer rating, reinsurance tower matching, and risk-loaded prices from simulated losses.

- [pricing.CollectiveModel](https://ekthesage.github.io/prospicio/reference/pricing.CollectiveModel.html)
- [pricing.ilf](https://ekthesage.github.io/prospicio/reference/pricing.ilf.html)
- [pricing.loss_elimination_ratio](https://ekthesage.github.io/prospicio/reference/pricing.loss_elimination_ratio.html)
- [pricing.pareto_extrapolation](https://ekthesage.github.io/prospicio/reference/pricing.pareto_extrapolation.html)
- [pricing.alpha_between_layers](https://ekthesage.github.io/prospicio/reference/pricing.alpha_between_layers.html)
- [pricing.alpha_between_frequency_and_layer](https://ekthesage.github.io/prospicio/reference/pricing.alpha_between_frequency_and_layer.html)
- [pricing.alpha_between_frequencies](https://ekthesage.github.io/prospicio/reference/pricing.alpha_between_frequencies.html)
- [pricing.match_tower](https://ekthesage.github.io/prospicio/reference/pricing.match_tower.html)
- [pricing.fit_pml_curve](https://ekthesage.github.io/prospicio/reference/pricing.fit_pml_curve.html)
- [pricing.fit_references](https://ekthesage.github.io/prospicio/reference/pricing.fit_references.html)
- [pricing.TowerModel](https://ekthesage.github.io/prospicio/reference/pricing.TowerModel.html)
- [pricing.price](https://ekthesage.github.io/prospicio/reference/pricing.price.html)
- [pricing.price_portfolio](https://ekthesage.github.io/prospicio/reference/pricing.price_portfolio.html)
- [pricing.Price](https://ekthesage.github.io/prospicio/reference/pricing.Price.html)
- [pricing.PortfolioPrice](https://ekthesage.github.io/prospicio/reference/pricing.PortfolioPrice.html)
- [pricing.Mbbefd](https://ekthesage.github.io/prospicio/reference/pricing.Mbbefd.html)
- [pricing.TabulatedCurve](https://ekthesage.github.io/prospicio/reference/pricing.TabulatedCurve.html)
- [pricing.RiskProfile](https://ekthesage.github.io/prospicio/reference/pricing.RiskProfile.html)
- [pricing.severity_exposure_curve](https://ekthesage.github.io/prospicio/reference/pricing.severity_exposure_curve.html)

#### Reserving
> Loss triangles, the chain ladder with tail factors, Mack's model with its one-year view, the expected-loss methods, the ODP bootstrap and Clark's growth curves.

- [reserving.Triangle](https://ekthesage.github.io/prospicio/reference/reserving.Triangle.html)
- [reserving.ChainLadder](https://ekthesage.github.io/prospicio/reference/reserving.ChainLadder.html)
- [reserving.ChainLadderFit](https://ekthesage.github.io/prospicio/reference/reserving.ChainLadderFit.html)
- [reserving.TailConstant](https://ekthesage.github.io/prospicio/reference/reserving.TailConstant.html)
- [reserving.TailCurve](https://ekthesage.github.io/prospicio/reference/reserving.TailCurve.html)
- [reserving.TailBondy](https://ekthesage.github.io/prospicio/reference/reserving.TailBondy.html)
- [reserving.TailLogLinear](https://ekthesage.github.io/prospicio/reference/reserving.TailLogLinear.html)
- [reserving.Mack](https://ekthesage.github.io/prospicio/reference/reserving.Mack.html)
- [reserving.MackFit](https://ekthesage.github.io/prospicio/reference/reserving.MackFit.html)
- [reserving.ClaimsDevelopmentResult](https://ekthesage.github.io/prospicio/reference/reserving.ClaimsDevelopmentResult.html)
- [reserving.ExpectedLoss](https://ekthesage.github.io/prospicio/reference/reserving.ExpectedLoss.html)
- [reserving.BornhuetterFerguson](https://ekthesage.github.io/prospicio/reference/reserving.BornhuetterFerguson.html)
- [reserving.Benktander](https://ekthesage.github.io/prospicio/reference/reserving.Benktander.html)
- [reserving.CapeCod](https://ekthesage.github.io/prospicio/reference/reserving.CapeCod.html)
- [reserving.ExpectedLossFit](https://ekthesage.github.io/prospicio/reference/reserving.ExpectedLossFit.html)
- [reserving.CapeCodFit](https://ekthesage.github.io/prospicio/reference/reserving.CapeCodFit.html)
- [reserving.OdpBootstrap](https://ekthesage.github.io/prospicio/reference/reserving.OdpBootstrap.html)
- [reserving.OdpBootstrapFit](https://ekthesage.github.io/prospicio/reference/reserving.OdpBootstrapFit.html)
- [reserving.MackBootstrap](https://ekthesage.github.io/prospicio/reference/reserving.MackBootstrap.html)
- [reserving.MackBootstrapFit](https://ekthesage.github.io/prospicio/reference/reserving.MackBootstrapFit.html)
- [reserving.OneYearFit](https://ekthesage.github.io/prospicio/reference/reserving.OneYearFit.html)
- [reserving.ClarkLdf](https://ekthesage.github.io/prospicio/reference/reserving.ClarkLdf.html)
- [reserving.ClarkCapeCod](https://ekthesage.github.io/prospicio/reference/reserving.ClarkCapeCod.html)
- [reserving.ClarkFit](https://ekthesage.github.io/prospicio/reference/reserving.ClarkFit.html)

#### Risk measures
> Distortion risk measures, and capital allocation to components.

- [risk.Distortion](https://ekthesage.github.io/prospicio/reference/risk.Distortion.html)
- [risk.allocate](https://ekthesage.github.io/prospicio/reference/risk.allocate.html)
- [risk.capital](https://ekthesage.github.io/prospicio/reference/risk.capital.html)
- [risk.entropic](https://ekthesage.github.io/prospicio/reference/risk.entropic.html)
- [risk.esscher](https://ekthesage.github.io/prospicio/reference/risk.esscher.html)
- [risk.marginal_expected_shortfall](https://ekthesage.github.io/prospicio/reference/risk.marginal_expected_shortfall.html)
- [risk.covar](https://ekthesage.github.io/prospicio/reference/risk.covar.html)
- [risk.esscher_allocation](https://ekthesage.github.io/prospicio/reference/risk.esscher_allocation.html)
- [risk.Allocation](https://ekthesage.github.io/prospicio/reference/risk.Allocation.html)

#### Dependence
> Copulas, and reordering existing draws to a target correlation.

- [risk.GaussianCopula](https://ekthesage.github.io/prospicio/reference/risk.GaussianCopula.html)
- [risk.StudentTCopula](https://ekthesage.github.io/prospicio/reference/risk.StudentTCopula.html)
- [risk.ArchimedeanCopula](https://ekthesage.github.io/prospicio/reference/risk.ArchimedeanCopula.html)
- [risk.simulate](https://ekthesage.github.io/prospicio/reference/risk.simulate.html)
- [risk.iman_conover](https://ekthesage.github.io/prospicio/reference/risk.iman_conover.html)

#### Extreme value tails
> Generalized Pareto tails over a threshold, beyond the draws.

- [risk.Gpd](https://ekthesage.github.io/prospicio/reference/risk.Gpd.html)
- [risk.PotTail](https://ekthesage.github.io/prospicio/reference/risk.PotTail.html)
- [risk.mean_excess](https://ekthesage.github.io/prospicio/reference/risk.mean_excess.html)
- [risk.hill](https://ekthesage.github.io/prospicio/reference/risk.hill.html)