Fit ED intensity factors

Estimate incremental loss intensities $g_k$ from a "Triangle" object and return an "EDFit" object that bundles factor summaries, selected intensities, and a cell-level projection of cumulative loss and premium ($full).

Returns g_sel, sigma2, and factor variance $\mathrm{Var}(\hat{g}_k)$ (column g_var) in $selected.

The $full projection table holds cumulative loss / premium projections and their standard errors, computed directly from the Mack-style ED recursion (see .ed_proj, .ed_proc_var, .ed_param_var). To validate an ED projection via backtest(), call backtest(tri, target = "ratio", loss_method = "ed").

Usage

fit_ed(
  x,
  loss = "loss",
  exposure = "premium",
  method = c("mack"),
  alpha = 1,
  na_method = c("locf", "zero", "none"),
  sigma_method = c("locf", "min_last2", "loglinear", "mack", "none"),
  recent = NULL,
  regime = NULL,
  bootstrap = NULL,
  B = 999L,
  seed = NULL,
  conf_level = 0.95,
  ...
)

Arguments

x: A "Triangle" object.
loss: Cumulative loss variable. Default "loss". Forwarded to as_link() and to downstream workers.
exposure: Cumulative exposure-base variable (the loss-ratio denominator, typically premium). Default "premium". Forwarded to as_link() and to downstream workers.
method: Estimation method. Currently only "mack" is supported.
alpha: Numeric scalar controlling the variance structure. Default is 1.
na_method: Method used to fill NA values in g_sel. One of "zero" (default, set NA to 0 meaning no further development) or "locf" or "none".
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 are used for estimation. Default is NULL.
regime: Optional regime specification for cohort cutoff. Accepts: NULL (default – no filter), a "Regime" object (from detect_regime()), the string "auto" (internal detect_regime(tri, loss = "ratio") call), or a function function(tri) -> Regime. Resolved internally via .resolve_regime(). When supplied, cohorts with cohort < change_date are excluded from estimation. Default is NULL.
bootstrap: Optional bootstrap specification. Accepts NULL (default, analytical Mack SE only), a BootstrapTriangle object produced by bootstrap() (replayed for SE / CI), or the string "auto" to run an internal nonparametric bootstrap at fit time.
B: Integer number of bootstrap replicates when bootstrap = "auto". Default 999L.
seed: Optional integer seed for reproducible bootstrap draws. Default NULL.
conf_level: Numeric in (0, 1). Confidence level used for bootstrap-derived CI columns. Default 0.95.
...: Additional arguments passed to summary.Link().

Value

An object of class "EDFit" (a named list) with components:

factor: EDSummary of fitted intensities per development link.
selected: data.table of selected g_sel, sigma2, and g_var.
full: data.table of per-cell cumulative loss / premium projection plus role-prefixed SE / CV columns (loss_proj, incr_loss_proj, premium_proj, incr_premium_proj, loss_proc_se2, loss_param_se2, loss_total_se2, loss_proc_se, loss_param_se, loss_total_se, loss_total_cv). Available cells include both observed and projected; is_observed flags observed cells.
link: Link object used for factor estimation.

Usage

Arguments

Value

See also