From d082de7adb5608a953d7b413ec2c60b12d032849 Mon Sep 17 00:00:00 2001 From: John Bogaardt Date: Sun, 27 Jan 2019 14:53:53 -0700 Subject: [PATCH] docs and capecod hotfix --- MANIFEST.in | 1 + chainladder/__init__.py | 2 +- chainladder/core/base.py | 19 +++- chainladder/methods/capecod.py | 59 ++++++----- chainladder/methods/tests/test_capecod.py | 8 ++ chainladder/utils/data/cc_sample.csv | 16 +++ chainladder/utils/utility_functions.py | 4 +- chainladder/workflow/gridsearch.py | 4 +- docs/auto_examples/auto_examples_jupyter.zip | Bin 15454 -> 22947 bytes docs/auto_examples/auto_examples_python.zip | Bin 8656 -> 13161 bytes .../images/sphx_glr_plot_benktander_001.png | Bin 0 -> 30238 bytes .../images/sphx_glr_plot_capecod_001.png | Bin 0 -> 163621 bytes .../thumb/sphx_glr_plot_benktander_thumb.png | Bin 0 -> 20907 bytes .../thumb/sphx_glr_plot_capecod_thumb.png | Bin 0 -> 38729 bytes .../sphx_glr_plot_grain_change_thumb.png | Bin 0 -> 26786 bytes docs/auto_examples/index.rst | 40 +++++++ docs/auto_examples/plot_benktander.ipynb | 54 ++++++++++ docs/auto_examples/plot_benktander.py | 43 ++++++++ docs/auto_examples/plot_benktander.py.md5 | 1 + docs/auto_examples/plot_benktander.rst | 93 ++++++++++++++++ .../plot_benktander_codeobj.pickle | Bin 0 -> 512 bytes .../plot_bf_apriori_from_cl_codeobj.pickle | Bin 328 -> 328 bytes docs/auto_examples/plot_capecod.ipynb | 54 ++++++++++ docs/auto_examples/plot_capecod.py | 49 +++++++++ docs/auto_examples/plot_capecod.py.md5 | 1 + docs/auto_examples/plot_capecod.rst | 99 ++++++++++++++++++ .../auto_examples/plot_capecod_codeobj.pickle | Bin 0 -> 275 bytes .../plot_development_periods_codeobj.pickle | Bin 420 -> 420 bytes docs/auto_examples/plot_grain_change.ipynb | 54 ++++++++++ docs/auto_examples/plot_grain_change.py | 25 +++++ docs/auto_examples/plot_grain_change.py.md5 | 1 + docs/auto_examples/plot_grain_change.rst | 93 ++++++++++++++++ .../plot_grain_change_codeobj.pickle | Bin 0 -> 151 bytes 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mode 100644 examples/plot_benktander.py create mode 100644 examples/plot_capecod.py diff --git a/MANIFEST.in b/MANIFEST.in index 8c0f39df..24653310 100644 --- a/MANIFEST.in +++ b/MANIFEST.in @@ -13,3 +13,4 @@ include chainladder/utils/data/raa.csv include chainladder/utils/data/ukmotor.csv include chainladder/utils/data/usaa.csv include chainladder/utils/data/usauto.csv +include chainladder/utils/data/cc_sample.csv diff --git a/chainladder/__init__.py b/chainladder/__init__.py index d901de68..29676840 100644 --- a/chainladder/__init__.py +++ b/chainladder/__init__.py @@ -5,4 +5,4 @@ from chainladder.methods import * from chainladder.workflow import * -__version__ = '0.2.3' +__version__ = '0.2.4' diff --git a/chainladder/core/base.py b/chainladder/core/base.py index 8110a76b..7f7f25ca 100644 --- a/chainladder/core/base.py +++ b/chainladder/core/base.py @@ -200,7 +200,24 @@ def cum_to_incr(self, inplace=False): @check_triangle_postcondition def grain(self, grain='', incremental=False, inplace=False): - ''' TODO - Make incremental work ''' + """Changes the grain of a cumulative triangle. + + Parameters + ---------- + grain : str + The grain to which you want your triangle converted, specified as + 'OD' where and can take on values of `['Y', 'Q', 'M']` + For example, 'OYDY' for Origin Year/Development Year, 'OQDM' for + Origin quarter, etc. + incremental : bool + Not implemented yet + inplace : bool + Whether to mutate the existing Triangle instance or return a new one. + + Returns + ------- + Triangle + """ if inplace: origin_grain = grain[1:2] development_grain = grain[-1] diff --git a/chainladder/methods/capecod.py b/chainladder/methods/capecod.py index 19955822..eb9255f6 100644 --- a/chainladder/methods/capecod.py +++ b/chainladder/methods/capecod.py @@ -10,34 +10,37 @@ class CapeCod(MethodBase): + """Applies the CapeCod technique to triangle **X** + + Parameters + ---------- + X : Triangle + The data used to compute the mean and standard deviation + used for later scaling along the features axis. + y : None + Ignored + sample_weight : Triangle + Required exposure to be used in the calculation. + + Attributes + ---------- + triangle : + returns **X** + ultimate_ : + The ultimate losses per the method + ibnr_ : + The IBNR per the method + apriori_ : + The trended apriori vector developed by the Cape Cod Method + detrended_apriori_ : + The detrended apriori vector developed by the Cape Cod Method + """ + def __init__(self, trend=0, decay=1): self.trend = trend self.decay = decay def fit(self, X, y=None, sample_weight=None): - """Applies the CapeCod technique to triangle **X** - - Parameters - ---------- - X : Triangle - The data used to compute the mean and standard deviation - used for later scaling along the features axis. - y : None - Ignored - sample_weight : Triangle - Required exposure to be used in the calculation. - - Attributes - ---------- - triangle : - returns **X** - ultimate_ : - The ultimate losses per the method - ibnr_ : - The IBNR per the method - apriori_ : - The apriori vector developed by the Cape Cod Method - """ super().fit(X, y, sample_weight) self.sample_weight_ = sample_weight latest = self.X_.latest_diagonal.triangle @@ -49,19 +52,21 @@ def fit(self, X, y=None, sample_weight=None): trend_exponent = exposure.shape[-2]-np.arange(exposure.shape[-2])-1 trend_array = (1+self.trend)**(trend_exponent) trend_array = self.X_.expand_dims(np.expand_dims(trend_array, -1)) - decay_matrix = self.decay * \ + decay_matrix = self.decay ** \ (np.abs(np.expand_dims(np.arange(exposure.shape[-2]), 0).T - np.expand_dims(np.arange(exposure.shape[-2]), 0))) decay_matrix = self.X_.expand_dims(decay_matrix) - weighted_exposure = reported_exposure * decay_matrix - trended_ultimate = (latest*trend_array)/(reported_exposure) + weighted_exposure = np.swapaxes(reported_exposure, -1, -2)*decay_matrix + trended_ultimate = np.swapaxes((latest*trend_array) / + reported_exposure, -1, -2) apriori = np.sum(weighted_exposure*trended_ultimate, -1) / \ np.sum(weighted_exposure, -1) - obj.triangle = np.expand_dims(apriori, -1) obj.ddims = ['Apriori'] self.apriori_ = copy.deepcopy(obj) detrended_ultimate = self.apriori_.triangle/trend_array + self.detrended_apriori_ = copy.deepcopy(obj) + self.detrended_apriori_.tiangle = detrended_ultimate ibnr = detrended_ultimate*(1-1/cdf)*exposure obj.triangle = latest + ibnr obj.ddims = ['Ultimate'] diff --git a/chainladder/methods/tests/test_capecod.py b/chainladder/methods/tests/test_capecod.py new file mode 100644 index 00000000..fd718dfa --- /dev/null +++ b/chainladder/methods/tests/test_capecod.py @@ -0,0 +1,8 @@ +import chainladder as cl + +def test_struhuss(): + X = cl.load_dataset('cc_sample')['loss'] + X = cl.TailConstant(tail=1/0.85).fit_transform(cl.Development().fit_transform(X)) + sample_weight = cl.load_dataset('cc_sample')['exposure'].latest_diagonal + ibnr = int(cl.CapeCod(trend=0.07, decay=0.75).fit(X, sample_weight=sample_weight).ibnr_.sum()[0]) + assert ibnr == 17052 diff --git a/chainladder/utils/data/cc_sample.csv b/chainladder/utils/data/cc_sample.csv new file mode 100644 index 00000000..49e2e225 --- /dev/null +++ b/chainladder/utils/data/cc_sample.csv @@ -0,0 +1,16 @@ +,origin,development,loss,exposure +0,1993,1993,1058.823529,7000 +1,1994,1994,1333.333333,8000 +2,1995,1995,2000.0,9000 +3,1996,1996,2000.0,10000 +4,1997,1997,2800.0,11000 +5,1993,1994,1905.8823530000002,7000 +6,1994,1995,2400.0,8000 +7,1995,1996,3600.0,9000 +8,1996,1997,3600.0,10000 +9,1993,1995,2541.176471,7000 +10,1994,1996,3200.0,8000 +11,1995,1997,4800.0,9000 +12,1993,1996,3176.4705879999997,7000 +13,1994,1997,4000.0,8000 +14,1993,1997,3600.0,7000 diff --git a/chainladder/utils/utility_functions.py b/chainladder/utils/utility_functions.py index c85e759b..552fd72d 100644 --- a/chainladder/utils/utility_functions.py +++ b/chainladder/utils/utility_functions.py @@ -32,9 +32,11 @@ def load_dataset(key): development = 'DevelopmentYear' index = ['GRNAME', 'LOB'] columns = ['IncurLoss', 'CumPaidLoss', 'BulkLoss', 'EarnedPremDIR', - 'EarnedPremCeded', 'EarnedPremNet'] + 'EarnedPremCeded', 'EarnedPremNet'] if key.lower() in ['liab', 'auto']: index = ['lob'] + if key.lower() in ['cc_sample']: + columns = ['loss', 'exposure'] df = pd.read_csv(os.path.join(path, 'data', key.lower() + '.csv')) return Triangle(df, origin=origin, development=development, columns=columns, index=index) diff --git a/chainladder/workflow/gridsearch.py b/chainladder/workflow/gridsearch.py index f23c5b50..3e7eabff 100644 --- a/chainladder/workflow/gridsearch.py +++ b/chainladder/workflow/gridsearch.py @@ -51,7 +51,7 @@ def __init__(self, estimator, param_grid, scoring, verbose=0, self.verbose = verbose self.error_score = error_score - def fit(self, X): + def fit(self, X, y=None, sample_weight=None): if type(self.scoring) is not dict: scoring = dict(score=self.scoring) else: @@ -60,7 +60,7 @@ def fit(self, X): results_ 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of Chainladder Functionality /auto_examples/plot_bf_apriori_from_cl +.. raw:: html + +

+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_benktander_thumb.png + + :ref:`sphx_glr_auto_examples_plot_benktander.py` + +.. raw:: html + +
+ + +.. toctree:: + :hidden: + + /auto_examples/plot_benktander + .. raw:: html
@@ -146,6 +166,26 @@ Gallery of Chainladder Functionality :hidden: /auto_examples/plot_munich + +.. raw:: html + +
+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_capecod_thumb.png + + :ref:`sphx_glr_auto_examples_plot_capecod.py` + +.. raw:: html + +
+ + +.. toctree:: + :hidden: + + /auto_examples/plot_capecod .. raw:: html
diff --git a/docs/auto_examples/plot_benktander.ipynb b/docs/auto_examples/plot_benktander.ipynb new file mode 100644 index 00000000..e26ba040 --- /dev/null +++ b/docs/auto_examples/plot_benktander.ipynb @@ -0,0 +1,54 @@ +{ + "cells": [ + { + "cell_type": "code", + "execution_count": null, + "metadata": { + "collapsed": false + }, + "outputs": [], + "source": [ + "%matplotlib inline" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "\n====================================================================\nBenktander: Relationship between Chainladder and BornhuetterFerguson\n====================================================================\n\nThis example demonstrates the relationship between the Chainladder and\nBornhuetterFerguson methods by way fo the Benktander model. Each is a\nspecial case of the Benktander model where `n_iters = 1` for BornhuetterFerguson\nand as `n_iters` approaches infinity yields the chainladder. As `n_iters`\nincreases the apriori selection becomes less relevant regardless of initial\nchoice.\n\n" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": { + "collapsed": false + }, + "outputs": [], + "source": [ + "import chainladder as cl\n\nimport seaborn as sns\nimport matplotlib.pyplot as plt\nsns.set_style('whitegrid')\n\n# Load Data\nclrd = cl.load_dataset('clrd')\nmedmal_paid = clrd.groupby('LOB').sum().loc['medmal']['CumPaidLoss']\nmedmal_prem = clrd.groupby('LOB').sum().loc['medmal']['EarnedPremDIR'].latest_diagonal\nmedmal_prem.rename(development='premium')\n\n# Generate LDFs and Tail Factor\nmedmal_paid = cl.Development().fit_transform(medmal_paid)\nmedmal_paid = cl.TailCurve().fit_transform(medmal_paid)\n\n# Benktander Model\nbenk = cl.Benktander()\n\n# Prep Benktander Grid Search with various assumptions, and a scoring function\nparam_grid = dict(n_iters=list(range(1,100,2)),\n apriori=[0.50, 0.75, 1.00])\nscoring = {'IBNR':lambda x: x.ibnr_.sum()[0]}\ngrid = cl.GridSearch(benk, param_grid, scoring=scoring)\n# Perform Grid Search\ngrid.fit(medmal_paid, sample_weight=medmal_prem)\n\n# Plot data\ngrid.results_.pivot(index='n_iters', columns='apriori', values='IBNR').plot()\nplt.title('Benktander convergence to Chainladder')\ng = plt.ylabel('IBNR')" + ] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Python 3", + "language": "python", + "name": "python3" + }, + "language_info": { + "codemirror_mode": { + "name": "ipython", + "version": 3 + }, + "file_extension": ".py", + "mimetype": "text/x-python", + "name": "python", + "nbconvert_exporter": "python", + "pygments_lexer": "ipython3", + "version": "3.6.3" + } + }, + "nbformat": 4, + "nbformat_minor": 0 +} \ No newline at end of file diff --git a/docs/auto_examples/plot_benktander.py b/docs/auto_examples/plot_benktander.py new file mode 100644 index 00000000..b0ad24d5 --- /dev/null +++ b/docs/auto_examples/plot_benktander.py @@ -0,0 +1,43 @@ +""" +==================================================================== +Benktander: Relationship between Chainladder and BornhuetterFerguson +==================================================================== + +This example demonstrates the relationship between the Chainladder and +BornhuetterFerguson methods by way fo the Benktander model. Each is a +special case of the Benktander model where `n_iters = 1` for BornhuetterFerguson +and as `n_iters` approaches infinity yields the chainladder. As `n_iters` +increases the apriori selection becomes less relevant regardless of initial +choice. +""" +import chainladder as cl + +import seaborn as sns +import matplotlib.pyplot as plt +sns.set_style('whitegrid') + +# Load Data +clrd = cl.load_dataset('clrd') +medmal_paid = clrd.groupby('LOB').sum().loc['medmal']['CumPaidLoss'] +medmal_prem = clrd.groupby('LOB').sum().loc['medmal']['EarnedPremDIR'].latest_diagonal +medmal_prem.rename(development='premium') + +# Generate LDFs and Tail Factor +medmal_paid = cl.Development().fit_transform(medmal_paid) +medmal_paid = cl.TailCurve().fit_transform(medmal_paid) + +# Benktander Model +benk = cl.Benktander() + +# Prep Benktander Grid Search with various assumptions, and a scoring function +param_grid = dict(n_iters=list(range(1,100,2)), + apriori=[0.50, 0.75, 1.00]) +scoring = {'IBNR':lambda x: x.ibnr_.sum()[0]} +grid = cl.GridSearch(benk, param_grid, scoring=scoring) +# Perform Grid Search +grid.fit(medmal_paid, sample_weight=medmal_prem) + +# Plot data +grid.results_.pivot(index='n_iters', columns='apriori', values='IBNR').plot() +plt.title('Benktander convergence to Chainladder') +g = plt.ylabel('IBNR') diff --git a/docs/auto_examples/plot_benktander.py.md5 b/docs/auto_examples/plot_benktander.py.md5 new file mode 100644 index 00000000..57f58964 --- /dev/null +++ b/docs/auto_examples/plot_benktander.py.md5 @@ -0,0 +1 @@ +7d348baf6a5767e0aa7b52f411601199 \ No newline at end of file diff --git a/docs/auto_examples/plot_benktander.rst b/docs/auto_examples/plot_benktander.rst new file mode 100644 index 00000000..2d458467 --- /dev/null +++ b/docs/auto_examples/plot_benktander.rst @@ -0,0 +1,93 @@ +.. note:: + :class: sphx-glr-download-link-note + + Click :ref:`here ` to download the full example code +.. rst-class:: sphx-glr-example-title + +.. _sphx_glr_auto_examples_plot_benktander.py: + + +==================================================================== +Benktander: Relationship between Chainladder and BornhuetterFerguson +==================================================================== + +This example demonstrates the relationship between the Chainladder and +BornhuetterFerguson methods by way fo the Benktander model. Each is a +special case of the Benktander model where `n_iters = 1` for BornhuetterFerguson +and as `n_iters` approaches infinity yields the chainladder. As `n_iters` +increases the apriori selection becomes less relevant regardless of initial +choice. + + + + +.. image:: /auto_examples/images/sphx_glr_plot_benktander_001.png + :class: sphx-glr-single-img + + + + + +.. code-block:: python + + import chainladder as cl + + import seaborn as sns + import matplotlib.pyplot as plt + sns.set_style('whitegrid') + + # Load Data + clrd = cl.load_dataset('clrd') + medmal_paid = clrd.groupby('LOB').sum().loc['medmal']['CumPaidLoss'] + medmal_prem = clrd.groupby('LOB').sum().loc['medmal']['EarnedPremDIR'].latest_diagonal + medmal_prem.rename(development='premium') + + # Generate LDFs and Tail Factor + medmal_paid = cl.Development().fit_transform(medmal_paid) + medmal_paid = cl.TailCurve().fit_transform(medmal_paid) + + # Benktander Model + benk = cl.Benktander() + + # Prep Benktander Grid Search with various assumptions, and a scoring function + param_grid = dict(n_iters=list(range(1,100,2)), + apriori=[0.50, 0.75, 1.00]) + scoring = {'IBNR':lambda x: x.ibnr_.sum()[0]} + grid = cl.GridSearch(benk, param_grid, scoring=scoring) + # Perform Grid Search + grid.fit(medmal_paid, sample_weight=medmal_prem) + + # Plot data + grid.results_.pivot(index='n_iters', columns='apriori', values='IBNR').plot() + plt.title('Benktander convergence to Chainladder') + g = plt.ylabel('IBNR') + +**Total running time of the script:** ( 0 minutes 1.173 seconds) + + +.. _sphx_glr_download_auto_examples_plot_benktander.py: + + +.. only :: html + + .. container:: sphx-glr-footer + :class: sphx-glr-footer-example + + + + .. container:: sphx-glr-download + + :download:`Download Python source code: plot_benktander.py ` + + + + .. container:: sphx-glr-download + + :download:`Download Jupyter notebook: plot_benktander.ipynb ` + + +.. only:: html + + .. rst-class:: sphx-glr-signature + + `Gallery generated by Sphinx-Gallery `_ diff --git a/docs/auto_examples/plot_benktander_codeobj.pickle b/docs/auto_examples/plot_benktander_codeobj.pickle new file mode 100644 index 0000000000000000000000000000000000000000..a0c16f742a34829d466eb05f44a851d80602b27e GIT binary patch literal 512 zcmb7=J5Izf5I{lfCdvm^bhH#mR6YbCaRBI}No>g$6Fc%}r4&dUz@<4VJ@zKcW~DT^ z@;uGw&3tXXe=aW$?=w95>ki2ilOGl&WjZ9ZkFZcx@vMiN1}o;yIr0mb*1@I# literal 0 HcmV?d00001 diff --git a/docs/auto_examples/plot_bf_apriori_from_cl_codeobj.pickle b/docs/auto_examples/plot_bf_apriori_from_cl_codeobj.pickle index 30e4104b6a30770be8daf94ea88077b3bc1bea15..5fe2ba7dd96580878052d566bc98b9c92aac3225 100644 GIT binary patch delta 116 zcmX@Xbb^Vmfn};KBLf)JPSKb+L597DB`+~Ib;`tbVq!gPx%nxjIjK{6xRWyyGxKs1 zQ&LikCc5}e=3%s$c-_>Hr#P=zFDElEwIC` to download the full example code +.. rst-class:: sphx-glr-example-title + +.. _sphx_glr_auto_examples_plot_capecod.py: + + +====================================== +Analyzing Cape Cod Apriori Sensitivity +====================================== + +This example demonstrates the usage of the deterministic CapeCod method and +shows the sensitivity of the apriori expectation to various choices of ``trend`` +and ``decay``. + + + + +.. image:: /auto_examples/images/sphx_glr_plot_capecod_001.png + :class: sphx-glr-single-img + + + + + +.. code-block:: python + + + import chainladder as cl + import seaborn as sns + import matplotlib.pyplot as plt + sns.set_style('whitegrid') + + # Grab data + ppauto_loss = cl.load_dataset('clrd').groupby('LOB').sum().loc['ppauto']['CumPaidLoss'] + ppauto_prem = cl.load_dataset('clrd').groupby('LOB').sum() \ + .loc['ppauto']['EarnedPremDIR'].latest_diagonal.rename(development='Premium') + + def get_apriori(decay, trend): + """ Function to grab apriori array from cape cod method """ + cc = cl.CapeCod(decay=decay, trend=trend) + cc.fit(ppauto_loss, sample_weight=ppauto_prem) + return cc.detrended_apriori_.to_frame() + + def get_plot_data(trend): + """ Function to grab plot data """ + # Initial apriori DataFrame + detrended_aprioris = get_apriori(0,trend) + detrended_aprioris.columns=['decay: 0%'] + + # Add columns to apriori DataFrame + for item in [25, 50, 75, 100]: + detrended_aprioris[f'decay: {item}%'] = get_apriori(item/100, trend) + return detrended_aprioris + + + # Plot Data + fig, ((ax00, ax01), (ax10, ax11)) = plt.subplots(ncols=2, nrows=2, sharex=True, figsize=(10,10)) + get_plot_data(-0.05).plot(ax=ax00) + get_plot_data(-.025).plot(ax=ax01) + get_plot_data(0).plot(ax=ax10) + get_plot_data(0.025).plot(ax=ax11) + ax00.set_title('Trend: -5%') + ax01.set_title('Trend: -2.5%') + ax10.set_title('Trend: 0%') + ax11.set_title('Trend: 2.5%') + g = fig.suptitle("Private Passenger Auto Cape Cod Detrended Aprioris") + +**Total running time of the script:** ( 0 minutes 1.222 seconds) + + +.. _sphx_glr_download_auto_examples_plot_capecod.py: + + +.. only :: html + + .. container:: sphx-glr-footer + :class: sphx-glr-footer-example + + + + .. container:: sphx-glr-download + + :download:`Download Python source code: plot_capecod.py ` + + + + .. container:: sphx-glr-download + + :download:`Download Jupyter notebook: plot_capecod.ipynb ` + + +.. only:: html + + .. rst-class:: sphx-glr-signature + + `Gallery generated by Sphinx-Gallery `_ diff --git a/docs/auto_examples/plot_capecod_codeobj.pickle b/docs/auto_examples/plot_capecod_codeobj.pickle new file mode 100644 index 0000000000000000000000000000000000000000..7941cc522b39dfbb89a8d171e8bfd369003ad40a GIT binary patch literal 275 zcmZvWO$x#=5QP+51kCeK8*5C3$G&DwFuW;CR8F|Is0SA?_f#6?xb=-u z+S!zaD=NMk*L3Q@rK7qw+>B`p$o^4JhuBJK5VZgYR=RgwIb$($)(IINJ?(98d9>8l Xjj{IBWAg*i#jJ!z4}E-(XYctFd~#wY36Cv8emYbha zngbMMFHTKN$}h^B(!&E0iZ9N{FDjXm!B*PCot&c=kXewLlbM$aGAM(&hXc;fUWGA*1xflNOT~FtPvu4w*Q` delta 169 zcmZ3&yo5Qjfo1AUMg}mboubjhot&c=kXewLlbM$~1th?dmzbM6rH2D9*u$2apHi9w z6yr|LNX*R3NlZyeEt=B90}+ld&d4t+nUcXa@rc>PE}O|&jAo3&lg$_njm1lQc#HFj u^$PMc^GXVG@=HMGXE670A_Ov6d)SLp6O;0b@}^|4XGl-{Z8doTBMSiatUcoZ diff --git a/docs/auto_examples/plot_grain_change.ipynb b/docs/auto_examples/plot_grain_change.ipynb new file mode 100644 index 00000000..a37a651c --- /dev/null +++ b/docs/auto_examples/plot_grain_change.ipynb @@ -0,0 +1,54 @@ +{ + "cells": [ + { + "cell_type": "code", + "execution_count": null, + "metadata": { + "collapsed": false + }, + "outputs": [], + "source": [ + "%matplotlib inline" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "\n# Changing grain of a triangle\n\n\nIf your triangle has origin and development grains that are more frequent then\nyearly, you can easily swap to a higher grain using the `grain` method of the\n:class:`Triangle`.\nIn this example, we will convert an Origin Year/Development Quarter (OYDQ)\ntriangle into an Origin Year/Development Year triangle. The `grain` method\nrecognizes Yearly (Y), Quarterly (Q), and Monthly (M) grains for both the\norigin period and development period.\n\n" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": { + "collapsed": false + }, + "outputs": [], + "source": [ + "import chainladder as cl\n\n# The base Triangle Class:\ncl.Triangle\n\n\nquarterly = cl.load_dataset('quarterly')\nprint(quarterly)\nprint()\nprint(quarterly.grain('OYDY'))" + ] + } + ], + "metadata": { + "kernelspec": { + "display_name": "Python 3", + "language": "python", + "name": "python3" + }, + "language_info": { + "codemirror_mode": { + "name": "ipython", + "version": 3 + }, + "file_extension": ".py", + "mimetype": "text/x-python", + "name": "python", + "nbconvert_exporter": "python", + "pygments_lexer": "ipython3", + "version": "3.6.3" + } + }, + "nbformat": 4, + "nbformat_minor": 0 +} \ No newline at end of file diff --git a/docs/auto_examples/plot_grain_change.py b/docs/auto_examples/plot_grain_change.py new file mode 100644 index 00000000..48d9dfa3 --- /dev/null +++ b/docs/auto_examples/plot_grain_change.py @@ -0,0 +1,25 @@ +""" +============================ +Changing grain of a triangle +============================ + +If your triangle has origin and development grains that are more frequent then +yearly, you can easily swap to a higher grain using the `grain` method of the +:class:`Triangle`. +In this example, we will convert an Origin Year/Development Quarter (OYDQ) +triangle into an Origin Year/Development Year triangle. The `grain` method +recognizes Yearly (Y), Quarterly (Q), and Monthly (M) grains for both the +origin period and development period. +""" + + +import chainladder as cl + +# The base Triangle Class: +cl.Triangle + + +quarterly = cl.load_dataset('quarterly') +print(quarterly) +print() +print(quarterly.grain('OYDY')) diff --git a/docs/auto_examples/plot_grain_change.py.md5 b/docs/auto_examples/plot_grain_change.py.md5 new file mode 100644 index 00000000..3819b931 --- /dev/null +++ b/docs/auto_examples/plot_grain_change.py.md5 @@ -0,0 +1 @@ +11c4d3116679e80f2bd9564e6c4a42ae \ No newline at end of file diff --git a/docs/auto_examples/plot_grain_change.rst b/docs/auto_examples/plot_grain_change.rst new file mode 100644 index 00000000..8d7eb5f1 --- /dev/null +++ b/docs/auto_examples/plot_grain_change.rst @@ -0,0 +1,93 @@ +.. note:: + :class: sphx-glr-download-link-note + + Click :ref:`here ` to download the full example code +.. rst-class:: sphx-glr-example-title + +.. _sphx_glr_auto_examples_plot_grain_change.py: + + +============================ +Changing grain of a triangle +============================ + +If your triangle has origin and development grains that are more frequent then +yearly, you can easily swap to a higher grain using the `grain` method of the +:class:`Triangle`. +In this example, we will convert an Origin Year/Development Quarter (OYDQ) +triangle into an Origin Year/Development Year triangle. The `grain` method +recognizes Yearly (Y), Quarterly (Q), and Monthly (M) grains for both the +origin period and development period. + + + + + +.. rst-class:: sphx-glr-script-out + + Out: + + .. code-block:: none + + Valuation: 2006-03 + Grain: OYDQ + Shape: (1, 2, 12, 45) + index: ['Total'] + columns: ['incurred', 'paid'] + + Valuation: 2006-03 + Grain: OYDY + Shape: (1, 2, 12, 12) + index: ['Total'] + columns: ['incurred', 'paid'] + + + + +| + + +.. code-block:: python + + + + import chainladder as cl + + # The base Triangle Class: + cl.Triangle + + + quarterly = cl.load_dataset('quarterly') + print(quarterly) + print() + print(quarterly.grain('OYDY')) + +**Total running time of the script:** ( 0 minutes 0.169 seconds) + + +.. _sphx_glr_download_auto_examples_plot_grain_change.py: + + +.. only :: html + + .. container:: sphx-glr-footer + :class: sphx-glr-footer-example + + + + .. container:: sphx-glr-download + + :download:`Download Python source code: plot_grain_change.py ` + + + + .. container:: sphx-glr-download + + :download:`Download Jupyter notebook: plot_grain_change.ipynb ` + + +.. only:: html + + .. rst-class:: sphx-glr-signature + + `Gallery generated by Sphinx-Gallery `_ diff --git a/docs/auto_examples/plot_grain_change_codeobj.pickle b/docs/auto_examples/plot_grain_change_codeobj.pickle new file mode 100644 index 0000000000000000000000000000000000000000..42e0f076056565e1e39ec7a0e87900c704963d66 GIT binary patch literal 151 zcmY++Jqmy@42EIBU#Q?UoIH)Y1XGMqTd3_Qcz}%YzE%Xmj88t^v$!~W?~tC=Y=+UV zU>Bq1fx^P3g_{q#+8oC8OrxAi>73-_HZX7^Vu_mC#GAmh?kb?0RVXV BDAWJ| diff --git a/docs/auto_examples/plot_munich_codeobj.pickle b/docs/auto_examples/plot_munich_codeobj.pickle index 9d666fd6983b733f278aef9a8d4e1034522e6590..03dc6bfd83a011c27e7c81f11bbbcbfaa6209550 100644 GIT binary patch delta 145 zcmbQrGL^-wfn_Qe69X93PSNP$OU}`A&PdG6%SlX0NiCWJ5@X3r%uSur!;K_9(JXJW zD5H-#NV!XDS!zyxL2hbZ2}pSca}PJNPzGxccQTTR8SEJ%6Bn5>N=&?A#V9lR6r<IRF3v delta 147 zcmbQrGL^-wfn_Qe69X93PSNP$OU}`ANi9pw$uG!F%`2G#5@X3r%uSur!;K_9(JXJW zCZjPU|KwOkD@Ngoi~J@(V$`>iDFqwgoROHBmy?*1l3D~ZAcMJw8(AoWwTC+yNl6BK NhQj0-jGj!TdH~J8F`@tf diff --git a/docs/auto_examples/plot_triangle_from_pandas_codeobj.pickle b/docs/auto_examples/plot_triangle_from_pandas_codeobj.pickle index fd7d125322a87f7ff41371585710b7e5ef0249ee..9dd4efb62ba3a6f4a918f303a8561b018eb72f85 100644 GIT binary patch delta 138 zcmdnOw1vs3fn};DBLf)JPSNP$E=bWUN=;0OPcAN-0uo@!OUzB3(!&84>|x8zPbtj- zim??W=A|SSPjri#%*d#3EKu6RTbx&{SDacBUtCfNQ~}hV!Q8`%5XfNdVJ}WiOv*3H So07qvAu@5E5sO4=sU85wqcETV delta 137 zcmdnOw1vs7fn};DBLf)JPSNP$EzT>}D^4wmFD|LfNu2@`V#!O)O`X!ii4g5!%gs+I z1xoj@7pEpBXNBB1C)Ga`RJ4 zbAW>E#i@x&`9*nCdUzm0@x>YWMI}=**h+yKa!T|{GE0E!fW~An_pm}Z8LT~mxrt!& hb22Bc=A1ZBVq%`hWM4*$$r6mF6So<#$d;Ds0RWxWIs*Uz delta 159 zcmeBV?qrT=V3}IS$N&blQ#5)w3vx>IN-|4wQm25pEP08!sZ)AbAtF6&x%nxjK&c+V z+{BWCocxlU%p|>nN)T&G4-Z5#zBnVlsAS5-uDHpej0Spwr9HgGdBu7K`I&iOEg*9< hn1L3-1u|HB*o#vWlk$u5Cd)8dPJCg(B3oLj2LR#zI?Vt8 diff --git a/docs/modules/development.rst b/docs/modules/development.rst index 768f0311..ce6ea309 100644 --- a/docs/modules/development.rst +++ b/docs/modules/development.rst @@ -33,8 +33,15 @@ percentage of exposure, which we then use to square the triangle. Munich Adjustment ================== -:class:`MunichAdjustment` allows for correcting both paid and incurred development -patterns for the ratio of paid-to-incurred. +:class:`MunichAdjustment` combines the paid (P) and incurred (I) data types by taking the +(P/I) ratio into account in its projections. + +.. include:: chainladder.MunichAdjustment.examples + +.. raw:: html + +
+ .. topic:: References diff --git a/docs/modules/generated/chainladder.Benktander.examples b/docs/modules/generated/chainladder.Benktander.examples index e69de29b..4c2e67b6 100644 --- a/docs/modules/generated/chainladder.Benktander.examples +++ b/docs/modules/generated/chainladder.Benktander.examples @@ -0,0 +1,22 @@ + + +Examples using ``chainladder.Benktander`` +^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ + +.. raw:: html + +
+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_benktander_thumb.png + + :ref:`sphx_glr_auto_examples_plot_benktander.py` + +.. raw:: html + +
+ +.. only:: not html + + * :ref:`sphx_glr_auto_examples_plot_benktander.py` diff --git a/docs/modules/generated/chainladder.CapeCod.examples b/docs/modules/generated/chainladder.CapeCod.examples index e69de29b..6f61b043 100644 --- a/docs/modules/generated/chainladder.CapeCod.examples +++ b/docs/modules/generated/chainladder.CapeCod.examples @@ -0,0 +1,22 @@ + + +Examples using ``chainladder.CapeCod`` +^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ + +.. raw:: html + +
+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_capecod_thumb.png + + :ref:`sphx_glr_auto_examples_plot_capecod.py` + +.. raw:: html + +
+ +.. only:: not html + + * :ref:`sphx_glr_auto_examples_plot_capecod.py` diff --git a/docs/modules/generated/chainladder.CapeCod.full_expectation_.examples b/docs/modules/generated/chainladder.CapeCod.full_expectation_.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.CapeCod.full_triangle_.examples b/docs/modules/generated/chainladder.CapeCod.full_triangle_.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.CapeCod.ibnr_.examples b/docs/modules/generated/chainladder.CapeCod.ibnr_.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.Development.examples b/docs/modules/generated/chainladder.Development.examples index cc058189..ab39032e 100644 --- a/docs/modules/generated/chainladder.Development.examples +++ b/docs/modules/generated/chainladder.Development.examples @@ -39,6 +39,24 @@ Examples using ``chainladder.Development`` * :ref:`sphx_glr_auto_examples_plot_mack.py` +.. raw:: html + +
+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_benktander_thumb.png + + :ref:`sphx_glr_auto_examples_plot_benktander.py` + +.. raw:: html + +
+ +.. only:: not html + + * :ref:`sphx_glr_auto_examples_plot_benktander.py` + .. raw:: html
diff --git a/docs/modules/generated/chainladder.Development.fit_predict.examples b/docs/modules/generated/chainladder.Development.fit_predict.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.Development.predict.examples b/docs/modules/generated/chainladder.Development.predict.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.GridSearch.examples b/docs/modules/generated/chainladder.GridSearch.examples index 85bd4821..f4c227e5 100644 --- a/docs/modules/generated/chainladder.GridSearch.examples +++ b/docs/modules/generated/chainladder.GridSearch.examples @@ -20,3 +20,21 @@ Examples using ``chainladder.GridSearch`` .. only:: not html * :ref:`sphx_glr_auto_examples_plot_development_periods.py` + +.. raw:: html + +
+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_benktander_thumb.png + + :ref:`sphx_glr_auto_examples_plot_benktander.py` + +.. raw:: html + +
+ +.. only:: not html + + * :ref:`sphx_glr_auto_examples_plot_benktander.py` diff --git a/docs/modules/generated/chainladder.TailCurve.cdf_.examples b/docs/modules/generated/chainladder.TailCurve.cdf_.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.TailCurve.examples b/docs/modules/generated/chainladder.TailCurve.examples index e69de29b..f767473d 100644 --- a/docs/modules/generated/chainladder.TailCurve.examples +++ b/docs/modules/generated/chainladder.TailCurve.examples @@ -0,0 +1,22 @@ + + +Examples using ``chainladder.TailCurve`` +^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ + +.. raw:: html + +
+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_benktander_thumb.png + + :ref:`sphx_glr_auto_examples_plot_benktander.py` + +.. raw:: html + +
+ +.. only:: not html + + * :ref:`sphx_glr_auto_examples_plot_benktander.py` diff --git a/docs/modules/generated/chainladder.core.examples b/docs/modules/generated/chainladder.core.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.core.triangle.Triangle.Ilocation.examples b/docs/modules/generated/chainladder.core.triangle.Triangle.Ilocation.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.core.triangle.Triangle.LocBase.examples b/docs/modules/generated/chainladder.core.triangle.Triangle.LocBase.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.core.triangle.Triangle.LocBase.get_idx.examples b/docs/modules/generated/chainladder.core.triangle.Triangle.LocBase.get_idx.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.core.triangle.Triangle.Location.examples 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a/docs/modules/generated/chainladder.development.base.Development.fit.examples b/docs/modules/generated/chainladder.development.base.Development.fit.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.development.base.Development.fit_predict.examples b/docs/modules/generated/chainladder.development.base.Development.fit_predict.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.development.base.Development.fit_transform.examples b/docs/modules/generated/chainladder.development.base.Development.fit_transform.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.development.base.Development.get_params.examples b/docs/modules/generated/chainladder.development.base.Development.get_params.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.development.base.Development.predict.examples b/docs/modules/generated/chainladder.development.base.Development.predict.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.development.base.Development.set_params.examples b/docs/modules/generated/chainladder.development.base.Development.set_params.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.development.base.Development.transform.examples b/docs/modules/generated/chainladder.development.base.Development.transform.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.development.base.examples b/docs/modules/generated/chainladder.development.base.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.load_dataset.examples b/docs/modules/generated/chainladder.load_dataset.examples index 75faf4db..71a858d5 100644 --- a/docs/modules/generated/chainladder.load_dataset.examples +++ b/docs/modules/generated/chainladder.load_dataset.examples @@ -93,6 +93,24 @@ Examples using ``chainladder.load_dataset`` * :ref:`sphx_glr_auto_examples_plot_bf_apriori_from_cl.py` +.. raw:: html + +
+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_benktander_thumb.png + + :ref:`sphx_glr_auto_examples_plot_benktander.py` + +.. raw:: html + +
+ +.. only:: not html + + * :ref:`sphx_glr_auto_examples_plot_benktander.py` + .. raw:: html
@@ -110,3 +128,21 @@ Examples using ``chainladder.load_dataset`` .. only:: not html * :ref:`sphx_glr_auto_examples_plot_munich.py` + +.. raw:: html + +
+ +.. only:: html + + .. figure:: /auto_examples/images/thumb/sphx_glr_plot_capecod_thumb.png + + :ref:`sphx_glr_auto_examples_plot_capecod.py` + +.. raw:: html + +
+ +.. only:: not html + + * :ref:`sphx_glr_auto_examples_plot_capecod.py` diff --git a/docs/modules/generated/chainladder.methods.examples b/docs/modules/generated/chainladder.methods.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.constant.TailConstant.examples b/docs/modules/generated/chainladder.tails.constant.TailConstant.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.constant.TailConstant.fit.examples b/docs/modules/generated/chainladder.tails.constant.TailConstant.fit.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.constant.TailConstant.fit_transform.examples b/docs/modules/generated/chainladder.tails.constant.TailConstant.fit_transform.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.constant.TailConstant.get_params.examples b/docs/modules/generated/chainladder.tails.constant.TailConstant.get_params.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.constant.TailConstant.set_params.examples b/docs/modules/generated/chainladder.tails.constant.TailConstant.set_params.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.constant.TailConstant.transform.examples b/docs/modules/generated/chainladder.tails.constant.TailConstant.transform.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.constant.examples b/docs/modules/generated/chainladder.tails.constant.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.curve.TailCurve.cdf_.examples b/docs/modules/generated/chainladder.tails.curve.TailCurve.cdf_.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.curve.TailCurve.examples b/docs/modules/generated/chainladder.tails.curve.TailCurve.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.curve.TailCurve.fit.examples b/docs/modules/generated/chainladder.tails.curve.TailCurve.fit.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.curve.TailCurve.fit_transform.examples b/docs/modules/generated/chainladder.tails.curve.TailCurve.fit_transform.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.curve.TailCurve.get_params.examples b/docs/modules/generated/chainladder.tails.curve.TailCurve.get_params.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.curve.TailCurve.set_params.examples b/docs/modules/generated/chainladder.tails.curve.TailCurve.set_params.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.curve.TailCurve.transform.examples b/docs/modules/generated/chainladder.tails.curve.TailCurve.transform.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.curve.examples b/docs/modules/generated/chainladder.tails.curve.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.tails.examples b/docs/modules/generated/chainladder.tails.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.utils.examples b/docs/modules/generated/chainladder.utils.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/generated/chainladder.workflow.examples b/docs/modules/generated/chainladder.workflow.examples deleted file mode 100644 index e69de29b..00000000 diff --git a/docs/modules/triangle.rst b/docs/modules/triangle.rst index d1c55bc0..367e83cd 100644 --- a/docs/modules/triangle.rst +++ b/docs/modules/triangle.rst @@ -5,6 +5,8 @@ The Triangle ============== +Structure +--------- The :class:`Triangle` is the core data structure of the chainladder package. Just as scikit-learn requires all datasets to be numpy arrays, the chainladder @@ -20,13 +22,13 @@ The core data structure at the heart of the Triangle class is a 4D numpy array with dimensions defined as: Dimension 0 (``index`` dimension): - represents key dimensions or the lowest grain(s) at which you + represents index dimensions or the lowest grain(s) at which you want to manage the triangle, e.g State, Company, etc. The grain supports multiple key dimensions that will behave like a pandas.multiIndex Dimension 1 (``columns`` dimension): - represents value dimensions or numeric data to be represented + represents columns dimensions or numeric data to be represented in each triangle, e.g. Paid, Incurred, etc. Dimension 2 (``origin`` dimension): @@ -39,4 +41,95 @@ Dimension 3 (``development`` dimension): ``index`` and ``columns`` are accessed like a pandas Dataframe. You can think of the 4d structure as a 2D Dataframe where each cell (row, col) is its -own 2D triangle. +own 2D triangle. see :ref:`Slicing` + +Inferring Dates when creating an instance +----------------------------------------- +When instantiating a :class:`Triangle`, the ``origin`` and ``development`` +arguments can take a `str` representing the column name in your pandas DataFrame +that contains the relevant information. Alternatively, the arguments can also +take a `list` in the case where your DataFrame includes multiple columns that +represent the dimension, e.g. ``['accident_year','accident_quarter']`` can be +supplied to create an `origin` dimension at the accident quarter grain. + +**Example:** + >>> import chainladder as cl + >>> cl.Triangle(data, origin='Acc Year', development=['Cal Year', 'Cal Month'], values=['Paid Loss']) + +.. _slicing: +Slicing and Boolean Indexing +---------------------------- +With a Triangle created, individual triangles can be sliced out of the object +using pandas-style `loc`/`iloc` or boolean indexing. + +**Example:** + >>> import chainladder as cl + >>> clrd = cl.load_dataset('clrd') + >>> clrd.iloc[0,1] + >>> clrd[clrd['LOB']=='othliab'] + >>> clrd['EarnedPremDIR'] + +.. note:: + Boolean indexing on non-index columns in pandas feels natural. We've exposed + the same syntax specifically for the index column(s) of the Triangle without the + need for `reset_index()` or trying to boolean-index on a `MultiIndex`. This is + a divergence from the pandas API. + +Changing Origin and Development Granularity +------------------------------------------- +If your triangle has origin and development grains that are more frequent then +yearly, you can easily swap to a higher grain using the `grain` method of the +:class:`Triangle`. The `grain` method recognizes Yearly (Y), Quarterly (Q), and +Monthly (M) grains for both the origin period and development period. + +**Example:** + >>> import chainladder as cl + >>> cl.load_dataset('quarterly') + Valuation: 2006-03 + Grain: OYDQ + Shape: (1, 2, 12, 45) + index: ['Total'] + columns: ['incurred', 'paid'] + >>> cl.load_dataset('quarterly').grain('OYDY') + Valuation: 2006-03 + Grain: OYDY + Shape: (1, 2, 12, 12) + index: ['Total'] + columns: ['incurred', 'paid'] + +Deriving New Columns +-------------------- +Most arithmetic operations can be used to create new triangles within your +triangle instance. Like with pandas, these can automatically be added as new +columns to your :class:`Triangle`. + +**Example:** + >>> clrd = cl.load_dataset('clrd') + >>> clrd['CaseIncur'] = clrd['IncurLoss']-clrd['BulkLoss'] + >>> clrd + Valuation: 1997-12 + Grain: OYDY + Shape: (775, 7, 10, 10) + index: ['GRNAME', 'LOB'] + columns: ['BulkLoss', 'CumPaidLoss', 'EarnedPremCeded', 'EarnedPremDIR', 'EarnedPremNet', 'IncurLoss', 'CaseIncur'] + + +Aggregating Data +---------------- +Much like in pandas, you can aggregate multiple triangles within a :class:`Triangle` +by using `sum()` which can optionally be coupled with `groupby()` + +**Example:** + >>> clrd = cl.load_dataset('clrd') + >>> clrd.sum() + Valuation: 1997-12 + Grain: OYDY + Shape: (1, 6, 10, 10) + index: ['All'] + columns: ['BulkLoss', 'CumPaidLoss', 'EarnedPremCeded', 'EarnedPremDIR', 'EarnedPremNet', 'IncurLoss'] + >>> clrd.groupby('LOB').sum() + Valuation: 1997-12 + Grain: OYDY + Shape: (6, 6, 10, 10) + index: ['LOB'] + columns: ['BulkLoss', 'CumPaidLoss', 'EarnedPremCeded', 'EarnedPremDIR', 'EarnedPremNet', 'IncurLoss'] diff --git a/docs/modules/utilities.rst b/docs/modules/utilities.rst index 9b403fdf..40675bd1 100644 --- a/docs/modules/utilities.rst +++ b/docs/modules/utilities.rst @@ -7,6 +7,33 @@ Utilities ========= Extra utilities +Datasets +======== +A variety of datasets can be loaded using :func:`load_dataset()`. These are +sample datasets that are used in a variety of examples within this +documentation. + +========= ======================================================= +Dataset Description +========= ======================================================= +abc ABC Data +auto Auto Data +cc_sample Sample Insurance Data for Cape Cod Method in Struhuss +clrd CAS Loss Reserving DataBase +genins General Insurance Data used in Clark +liab more data +m3ir5 more data +mcl Sample insurance data for Munich Adjustment in Quarg +mortgage more data +mw2008 more data +mw2014 more data +quarterly Sample data to demonstrate changing Triangle grain +raa Sample data used in Mack Chainladder +ukmotor more data +usaa more data +usauto more data +========= ======================================================= + .. _exhibits: Exhibits ======== diff --git a/docs/themes/scikit-learn/layout.html b/docs/themes/scikit-learn/layout.html index 166a677a..57e4763c 100644 --- a/docs/themes/scikit-learn/layout.html +++ b/docs/themes/scikit-learn/layout.html @@ -138,16 +138,16 @@
- +
- - + +
- - + +
diff --git a/examples/plot_benktander.py b/examples/plot_benktander.py new file mode 100644 index 00000000..b0ad24d5 --- /dev/null +++ b/examples/plot_benktander.py @@ -0,0 +1,43 @@ +""" +==================================================================== +Benktander: Relationship between Chainladder and BornhuetterFerguson +==================================================================== + +This example demonstrates the relationship between the Chainladder and +BornhuetterFerguson methods by way fo the Benktander model. Each is a +special case of the Benktander model where `n_iters = 1` for BornhuetterFerguson +and as `n_iters` approaches infinity yields the chainladder. As `n_iters` +increases the apriori selection becomes less relevant regardless of initial +choice. +""" +import chainladder as cl + +import seaborn as sns +import matplotlib.pyplot as plt +sns.set_style('whitegrid') + +# Load Data +clrd = cl.load_dataset('clrd') +medmal_paid = clrd.groupby('LOB').sum().loc['medmal']['CumPaidLoss'] +medmal_prem = clrd.groupby('LOB').sum().loc['medmal']['EarnedPremDIR'].latest_diagonal +medmal_prem.rename(development='premium') + +# Generate LDFs and Tail Factor +medmal_paid = cl.Development().fit_transform(medmal_paid) +medmal_paid = cl.TailCurve().fit_transform(medmal_paid) + +# Benktander Model +benk = cl.Benktander() + +# Prep Benktander Grid Search with various assumptions, and a scoring function +param_grid = dict(n_iters=list(range(1,100,2)), + apriori=[0.50, 0.75, 1.00]) +scoring = {'IBNR':lambda x: x.ibnr_.sum()[0]} +grid = cl.GridSearch(benk, param_grid, scoring=scoring) +# Perform Grid Search +grid.fit(medmal_paid, sample_weight=medmal_prem) + +# Plot data +grid.results_.pivot(index='n_iters', columns='apriori', values='IBNR').plot() +plt.title('Benktander convergence to Chainladder') +g = plt.ylabel('IBNR') diff --git a/examples/plot_capecod.py b/examples/plot_capecod.py new file mode 100644 index 00000000..a7ecb7b0 --- /dev/null +++ b/examples/plot_capecod.py @@ -0,0 +1,49 @@ +""" +====================================== +Analyzing Cape Cod Apriori Sensitivity +====================================== + +This example demonstrates the usage of the deterministic CapeCod method and +shows the sensitivity of the apriori expectation to various choices of ``trend`` +and ``decay``. +""" + +import chainladder as cl +import seaborn as sns +import matplotlib.pyplot as plt +sns.set_style('whitegrid') + +# Grab data +ppauto_loss = cl.load_dataset('clrd').groupby('LOB').sum().loc['ppauto']['CumPaidLoss'] +ppauto_prem = cl.load_dataset('clrd').groupby('LOB').sum() \ + .loc['ppauto']['EarnedPremDIR'].latest_diagonal.rename(development='Premium') + +def get_apriori(decay, trend): + """ Function to grab apriori array from cape cod method """ + cc = cl.CapeCod(decay=decay, trend=trend) + cc.fit(ppauto_loss, sample_weight=ppauto_prem) + return cc.detrended_apriori_.to_frame() + +def get_plot_data(trend): + """ Function to grab plot data """ + # Initial apriori DataFrame + detrended_aprioris = get_apriori(0,trend) + detrended_aprioris.columns=['decay: 0%'] + + # Add columns to apriori DataFrame + for item in [25, 50, 75, 100]: + detrended_aprioris[f'decay: {item}%'] = get_apriori(item/100, trend) + return detrended_aprioris + + +# Plot Data +fig, ((ax00, ax01), (ax10, ax11)) = plt.subplots(ncols=2, nrows=2, sharex=True, figsize=(10,10)) +get_plot_data(-0.05).plot(ax=ax00) +get_plot_data(-.025).plot(ax=ax01) +get_plot_data(0).plot(ax=ax10) +get_plot_data(0.025).plot(ax=ax11) +ax00.set_title('Trend: -5%') +ax01.set_title('Trend: -2.5%') +ax10.set_title('Trend: 0%') +ax11.set_title('Trend: 2.5%') +g = fig.suptitle("Private Passenger Auto Cape Cod Detrended Aprioris") diff --git a/setup.py b/setup.py index 792ef9ff..a37d9c61 100644 --- a/setup.py +++ b/setup.py @@ -5,7 +5,7 @@ descr = "Chainladder Package - P&C Loss Reserving package " name = 'chainladder' url = 'https://github.com/jbogaardt/chainladder-python' -version='0.2.3' # Put this in __init__.py +version='0.2.4' # Put this in __init__.py data_path = '' setup(