reserving.TailConstant
A given tail factor, as chainladder-python’s TailConstant.
Usage
reserving.TailConstant()The factor applies from the attachment age to ultimate. Past the attachment it is spread over the following periods as 1 + x * decay**k, the last factor making up the difference; this shapes the factors past the attachment, not the factor to ultimate. An attachment before the oldest age replaces the estimated factors from there.
Parameters
factor: float = 1.0-
Factor from the attachment age to ultimate; finite and positive.
decay: float = 0.5-
Share of each period’s development kept in the next, from 0 to 1.
attachment_age: int- Age in months the factor attaches at (the first age at or after it); the oldest age by default. An age at or before the youngest replaces every estimated factor (chainladder-python ignores such an attachment).
Examples
>>> from prospicio.reserving import ChainLadder, TailConstant, Triangle
>>> tri = Triangle.from_long([2020, 2020, 2021], [12, 24, 12], {"paid": [100.0, 150.0, 200.0]})
>>> fit = ChainLadder(tail=TailConstant(1.05)).fit(tri, "paid")
>>> fit.tail, round(fit.ultimate[1], 6)(1.05, 315.0)
Attributes
| Name | Description |
|---|---|
| attachment_age |
Age in months the factor attaches at; None is the oldest age.
|
| decay | Share of each period’s development kept in the next. |
| factor | Factor from the attachment age to ultimate. |
attachment_age
Age in months the factor attaches at; None is the oldest age.
attachment_age: int | None
decay
Share of each period’s development kept in the next.
decay: float
factor
Factor from the attachment age to ultimate.
factor: float