Fit age-to-age development factors

Estimate age-to-age (ata) development factors from an object of class "Link" and return a unified "ATAFit" object that bundles:

Summary statistics and WLS estimates (summary) from summary.Link() with model = "ata".
Selected factors (selected) ready for chain ladder projection, after optional maturity filtering and LOCF fill.
Maturity diagnostics (maturity) from detect_maturity().

Usage

fit_ata(
  x,
  loss = "loss",
  weight = NULL,
  alpha = 1,
  na_method = c("locf", "none"),
  sigma_method = c("locf", "min_last2", "loglinear", "mack", "none"),
  recent = NULL,
  regime = NULL,
  maturity = NULL,
  ...
)

Arguments

x

An object of class "Link", typically produced by as_link().

loss

Cumulative metric for the link factor. Default "loss". Forwarded to as_link().

weight

Optional WLS weight variable. Forwarded to as_link().

alpha

Numeric scalar controlling the variance structure. Default is 1.

na_method

Method used to fill NA values in f_sel. One of "locf" (default) or "none". Passed to .filter_ata().

sigma_method

Method used to extrapolate sigma for links where it cannot be estimated. One of "locf" (default), "min_last2", "loglinear", "mack", or "none". "mack" applies the Mack (1993, Appendix B) tail estimator to the last unestimated link only, falling back to LOCF for any earlier ones with a warning. "none" performs no extrapolation; sigma stays NA and downstream variance terms drop those links via finite-value guards. Passed to .extrapolate_sigma_ata().

recent

Optional positive integer. When supplied, only the most recent recent periods in the Link triangle are used for factor estimation. Applied before maturity filtering. Default is NULL (use all periods).

regime

Optional regime specification for cohort cutoff. Accepts: NULL (default – no filter), a Regime object (from detect_regime() or regime_at()), the string "auto" (internal detect_regime(tri, loss = "ratio") call), or a function function(tri) -> Regime for deferred custom-config detection. When supplied, cohorts strictly before the resolved change date are excluded from estimation.

maturity

Optional maturity specification for filtering ata links. Accepts four input types:

NULL (default): No maturity filter.
Maturity object: Use as-is. Typically built via detect_maturity() or maturity_at().
"auto": Detect maturity internally via detect_maturity(x) on the input triangle.
Function / closure: A user-supplied function taking the triangle and returning a Maturity object (e.g. from maturity_spec()) for deferred custom-config detection.

When the supplied Maturity carries attr(., "groups") that differs from the Triangle's grouping, the Triangle is rebucketed to the maturity partition before link construction.

...

Additional arguments passed to summary.Link().

Value

An object of class "ATAFit" (a named list) containing:

call: The matched call.
link: The input "Link" object.
summary: "ATASummary" object from summary.Link().
selected: data.table of factors ready for projection, including f_sel and sigma2.
maturity: Resolved Maturity object used for filtering, or NULL when maturity filtering was not applied.
alpha: Value of alpha used.
na_method: NA fill method used.
sigma_method: Sigma extrapolation method used.
recent: Number of recent periods used, or NULL.
regime: Resolved Regime object, or NULL.
use_maturity: Logical; whether maturity filtering was applied.

Usage

Arguments

Value

See also