Fit age-to-age development factors

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

Summary statistics and WLS estimates (summary) from summary.ATA().
Selected factors (selected) ready for chain ladder projection, after optional maturity filtering and LOCF fill.
Maturity diagnostics (maturity) from find_ata_maturity().

Usage

fit_ata(
  x,
  alpha = 1,
  na_method = c("locf", "none"),
  sigma_method = c("min_last2", "locf", "loglinear"),
  recent = NULL,
  regime_break = NULL,
  maturity_args = NULL,
  ...
)

Arguments

x

An object of class "ATA", typically produced by build_ata().

alpha

Numeric scalar controlling the variance structure. Default is 1.

na_method

Method used to fill NA values in f_selected. 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 "min_last2" (default), "locf", or "loglinear". Passed to .extrapolate_sigma_ata().

recent

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

regime_break

Optional cohort cutoff for the regime break. Accepts: NULL (default, no filter), a single Date/character coercible to Date, a vector of dates (uses the latest), or a CohortRegime object (extracts the latest from $breakpoints). When supplied, cohorts with cohort < break_date are excluded from estimation. Default is NULL.

maturity_args

A named list of arguments forwarded to find_ata_maturity(), or NULL (default) to skip maturity filtering. When a list is supplied, missing elements are filled with package defaults via utils::modifyList():

cv_threshold: Default 0.10.
rse_threshold: Default 0.05.
min_valid_ratio: Default 0.5.
min_n_valid: Default 3L.
min_run: Default 1L.

Pass list() to use all defaults with maturity filtering enabled.

...

Additional arguments passed to summary.ATA().

Value

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

call: The matched call.
ata: The input "ATA" object.
summary: "ATASummary" object from summary.ATA().
selected: data.table of factors ready for projection, including f_selected and sigma2.
maturity: Maturity diagnostics from find_ata_maturity(), 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_break: Resolved regime-break cutoff (Date), or NULL.
use_maturity: Logical; whether maturity filtering was applied.
maturity_args: Resolved maturity arguments, or NULL.

Usage

Arguments

Value

See also