chainladder-python

Enhancements

• #153 - Introduced CapeCod groupby parameter that allows for apriroi computation at user-specified grain for granular triangles
• #154 - Introduced groupby support in key development estimators

Bug fixes

• #152 - CapeCod apriori is not supporting nans effectively
• #157 - cum_to_incr() not working as expected on full_triangle_
• #155 - full_triangle_ cdf broadcasting bug
• #156 - Unable to inspect sigma_ or std_err_ properties after tail fit

Enhancements

• #135 - Added .at and .iat slicing and value assignment

Bug Fixes

• #144 - Eliminated error when trying to assign a column from a different array backend.
• #134 - Clearer error handling when attempting to instantiate a triangle with ages instead of date-likes
• #143 - Reworked full_triangle_ run-off for expected loss methods.

Enhancements

• #131 - Added a BarnettZenwirth development estimator
• #117 - VotingChainladder enhancements to allow for more flexibility in defining weights (courtesy of @cbalona)

Bug Fixes

• #130 - Fixed bug in triangle aggregation
• #134 - Fixed a bug in triangle broadcasting
• #137 - Fixed valuation_date bug occuring when partial year Triangle is instantiated as a vector.
• #138 - Introduced fix for incompatibility with sparse>=0.12.0
• #122 - Implemented nightly continuous integration to identify new bugs associated with verion bumps of dependencies.

Enhancements

• Included a truncation_age in the TailClark estimator to replicate examples from the paper
• #129 Included new development estimators TweedieGLM and DevelopmentML to take advantage of a broader set of (sklearn-compliant) regression frameworks.
• Included a helper Transformer PatsyFormula to make working with ML algorithms easier.

Bug fixes

• #128 Made IncrementalAdditive method comply with the rest of the package API

Enhancements

• #112 Advanced groupby support.
• #113 Added reg_threshold argument to TailCurve for finer control of fit. Huge thanks to @brian-13 for the contribution.
• #115 Introducing VotingChainladder workflow estimator to allow for averaging multiple IBNR estimators Huge thanks to @cbalona for the contribution.
• Introduced CaseOutstanding development estimator
• #124 Standardized CapCod functionality to that of Benktander and BornhuetterFerguson

Bug Fixes

• #83 Fixed grain issues when using the trailing argument
• #119 Fixed pickle compatibility issue introduced in v0.7.12
• #120 Fixed Trend estimator API
• #121 Fixed numpy==1.20.1 compatibility issue
• #123 Fixed BerquistSherman estimator
• #125 Fixed various issues with compatibility of estimators in a Pipeline

Deprecations

• #118 Deprecation warnings on xlcompose. Will be removed as a depdendency in v0.9.0

No code changes from 0.7.11. Bump release to fix conda packaging.

Enhancements

• #110 Added virtual_column functionality

Bug fixes

• Minor bug fix on sort_index not accepting kwargs
• Minor bug fix in DevelopmentConstant when using a callable

Misc

• Bringing release up to parity with docs.

Enhancements

• #110 Added virtual_column functionality

Bug fixes

• Minor bug fix on sort_index not accepting kwargs
• Minor bug fix in DevelopmentConstant when using a callable

Misc

• Bringing release up to parity with docs.

Bug fixes

• #108 - sample_weight error handling on predict - thank you @cbalona
• #107 - Latest diagonal of empty triangle now resolves
• #106 - Improved loc consistency with pandas
• #105 - Addressed broadcasting error during triangle arithmetic
• #103 - Fixed Index alignment with triangle arithmetic consistent with pd.Series

Bug fixes

• #101 Bug where LDF labels were not aligned with underlying LDF array

Enhancements

• #66 Allow for onleveling with new ParallelogramOLF transformer
• #98 Allow for more complex trends in estimators with Trend transformer
  Refer to this example on how to apply the new estimators.

Bug Fixes

• Resolved #87 val_to_dev with malformed triangle

Enhancements

• Major overhaul of Triangle internals for better code clarity and more efficiency
• Made sparse operations more efficient for larger triangles
• to_frame now works on Triangles that are 3D or 4D. For example clrd.to_frame()
• Advanced groupby operations supported. For (trivial) example:

clrd = cl.load_sample('clrd')
# Split companies with names less than 15 characters vs those above: 
clrd.groupby(clrd.index['GRNAME'].str.len()<15).sum()

Enhancements

• #97, loc and iloc now support Ellipsis
• Development can now take a float value for averaging. When float value is used, it corresponds to weight exponent (delta in Barnett/Zenwirth). Only special cases had previously existed - {"regression": 0.0, "volume": 1.0, "simple": 2.0}
• Major improvements in slicing performance.

Bug fixes

• #96, Fix for TailBase transform
• #94, n_periods with asymmetric triangles fixed

Enhancements

• Four Dimensional slicing is now supported.

clrd = cl.load_sample('clrd')
clrd.iloc[[0,10, 3], 1:8, :5, :]
clrd.loc[:'Aegis Grp', 'CumPaidLoss':, '1990':'1994', :48]

• #92 to_frame() now takes optional origin_as_datetime argument for better compatibility with various plotting libraries (Thank you @johalnes )

tri.to_frame(origin_as_datetime=True)

Bug Fixes

• Patches to the interaction between sparse and numpy arrays to accomodate more scenarios.
• Patches to multi-index broadcasting
• Improved performance of latest_diagonal for sparse backends
• #91 Bug fix to MackChainladder which errored on asymmetric triangles (Thank you @johalnes for reporting)

Enhancements

• Enabled multi-index broadcasting.

clrd = cl.load_sample('clrd')
clrd / clrd.groupby('LOB').sum()  # LOB alignment works now instead of throwing error

• Added sparse representation of triangles which substantially increases the size limit of in-memory triangles. Check out the new Large Datasets tutorial for details

Bug fixes

• Fixed cupy backend which had previously been neglected
• Fixed xlcompose issue where Period fails when included as column header

Tiny release.

Bug Fixes:

• Fixed a bug where Triangle did not support full accident dates at creation
• Fixed an inappropriate index mutation in Triangle index

Enhancements

• Added head and tail methods to Triangle
• Prepped Triangle class to support sparse backend
• Added prism sample dataset for sparse demonstrations and unit tests

Enhancements

• Improved performance of valuation axis
• Improved performance of groupby
• Added sort_index method to Triangle consistent with pandas
• Allow for fit_predict to be called on a Pipeline estimator

Bug fixes

• Fixed issue with Bootstrap process variance where it was being applied more than once
• Fixed but where Triangle.index did not ingest numeric columns appropriately.

Bug fixes:

• Index slicing not compatible with pandas #84 fixed
• arithmetic fail #68 - Substantial reworking of how arithmetic works.
• JSON IO on sub-triangles now works
• predict and fit_predict methods added to all IBNR models and now function as expected

Enhancements:

• Allow DevelopmentConstant to take on more than one set of patterns by passing in a callable
• MunichAdjustmentAllow ` does not work when P/I or I/P ratios cannot be calculated. You can now optionally back-fill zero values with expectaton from simple chainladder so that Munich can be performed on sparser triangles.

Refactors:

• Performance optimized several triangle functions including slicing and val_to_dev
• Reduced footprint of ldf_, sigma, and std_err_ triangles
• Standardized IBNR model methods
• Changed cdf_, full_triangle_, full_expectation_, ibnr_ to function-based properties instead of in-memory objects to reduce memory footprint

Enhancements

• Added heatmap method to Triangle - allows for conditionally formatting a 2D triangle. Useful for detecting link_ratio outliers
• Introduced BerquistSherman estimator
• Better error messaging when triangle columns are non-numeric
• Broadened the functionality of Triangle.trend
• Allow for nested estimators in to_json. Required addition for the new BerquistSherman method
• Docs, docs, and more docs.

Bug Fixes

• Mixed an inappropriate mutation in MunichAdjustment.transform
• Triangle column slicing now supports pd.Index objects instead of just lists

Other

• Moved BootstrapODPSample to workflow section as it is not a development estimator.

Bug fixes

• TailBondy now works with multiple (4D) triangles
• TailBondy computes correctly when earliest_age is selected
• Sub-triangles now honor index and column slicing of the parent.
• fit_transform for all tail estimators now correctly propagate all estimator attributes
• Bondy decay now uses the generalized Bondy formula instead of exponential decay

Enhancements

• Every tail estimator now has a tail_ attribute representing the point estimate of the tail
• Every tail estimator how has an attachment_age parameter to allow for attachment before the end of the triangle
• TailCurve now has slope_ and intercept_ attributes for a diagnostics of the estimator.
• TailBondy now has earliest_ldf_ attributes to allow for diagnostics of the estimator.
• Substantial improvement to the documents on Tails.
• Introduced the deterministic components of ClarkLDF and TailClark estimators to allow for growth curve selection of development patterns.

Enhancements (courtesy of @gig67):

• Added Triangle.calendar_correlation method and companion class CalendarCorrelation to support detecting calendar year correlations in triangles.
• Added Triangle.developmen_correlation method and companion class DevelopmentCorrelation to support detecting development correlations in triangles.