lossratio 0.0.1.dev9

Loss ratio analytics for long-term health insurance.

lossratio (Python)

Python sibling of the R lossratio package: loss ratio analytics for long-term health insurance — cohort development analysis, stage-adaptive projection, regime detection, and backtest validation on long-format experience data. Stage-adaptive (SA) projection uses an exposure-driven (ED) model before the maturity point and chain ladder (CL) after.

This Python implementation is in active development (0.0.1.devN release line on PyPI).

Install

pip install lossratio              # polars only
pip install lossratio[pandas]      # add pandas / pyarrow support

Current status

Working components:

• Triangle — cohort × dev aggregation. Accepts a long-format experience frame (uy_m, cy_m, dev_m, loss_incr, premium_incr) and validates schema + adds derived period columns inline. (dev_m is auto-derived from uy_m and cy_m if absent.) Cumulative is the unmarked default (loss, premium, lr); per-period values carry an _incr suffix.
• CL, ED, LR — sklearn-style estimators for chain ladder, exposure-driven, and stage-adaptive loss-ratio projection (fit(triangle) → CLFit / EDFit / LRFit with summary(), df projection frame, and per-cohort SE / CV).
• Triangle.link() — builds the long-format Link table (one row per cohort × adjacent dev pair). Method chain tri.link().ata() / tri.link().intensity() returns paired factor-level diagnostics (multiplicative ATA factors, additive ED intensities). Add .maturity(...) after .ata() to detect the development period at which age-to-age factors stabilise.
• Triangle.detect_regime() — detects structural shifts across the cohort sequence via E-Divisive or Ward hierarchical clustering (returns a Regime result).
• Backtest — calendar-diagonal hold-out backtest of any of the above estimators (returns a BacktestFit with per-cell, by-dev, and by-diagonal A/E Error summaries — ae_err = actual / predicted - 1).

Not yet ported from the R sibling: Calendar / Total aggregations and the Convergence diagnostic.

Quick Start

import polars as pl
import lossratio as lr

# Built-in synthetic experience: four coverages (CI / CAN / HOS / SUR),
# 36 monthly cohorts each, up to 36 dev months. SUR carries one
# regime shift at 2025-07. We focus on SUR for this walk-through.
df = lr.load_experience()
df.head(3)
#> shape: (3, 6)
#> ┌──────────┬────────────┬────────────┬───────┬───────────────┬──────────────┐
#> │ coverage ┆ uy_m       ┆ cy_m       ┆ dev_m ┆ loss_incr     ┆ premium_incr │
#> ╞══════════╪════════════╪════════════╪═══════╪═══════════════╪══════════════╡
#> │ CI       ┆ 2024-01-01 ┆ 2024-01-01 ┆ 1     ┆ 1.2562e7      ┆ 1.8836e7     │
#> │ CI       ┆ 2024-01-01 ┆ 2024-02-01 ┆ 2     ┆ 651602.511522 ┆ 1.7699e7     │
#> │ CI       ┆ 2024-01-01 ┆ 2024-03-01 ┆ 3     ┆ 3.7191e6      ┆ 1.9232e7     │
#> └──────────┴────────────┴────────────┴───────┴───────────────┴──────────────┘

# 1. Subset to SUR (the coverage with the planted regime shift), then
#    build the cohort x dev triangle. Triangle's constructor validates
#    schema and adds derived period columns inline.
df_sur = df.filter(pl.col("coverage") == "SUR")
tri = lr.Triangle(df_sur, group_var="coverage")

# 2. Factor-level diagnostics via the link chain. Build the link table
#    once, derive both ATA factors and ED intensities from it.
link = tri.link()
link
#> <Link: 1 groups, 630 total links, dual-mode>

ata = link.ata()
ata.df.head(3)
#> shape: (3, 7)
#> ┌──────────┬─────┬──────────┬──────────┬──────────┬──────────┬───────┐
#> │ coverage ┆ dev ┆ f        ┆ sigma2   ┆ cv       ┆ rse      ┆ n_obs │
#> ╞══════════╪═════╪══════════╪══════════╪══════════╪══════════╪═══════╡
#> │ SUR      ┆ 1   ┆ 6.244365 ┆ 4.5188e7 ┆ 0.371041 ┆ 0.059758 ┆ 35    │
#> │ SUR      ┆ 2   ┆ 1.748928 ┆ 4.1419e6 ┆ 0.157399 ┆ 0.026069 ┆ 34    │
#> │ SUR      ┆ 3   ┆ 1.433963 ┆ 2.3321e6 ┆ 0.160402 ┆ 0.0181   ┆ 33    │
#> └──────────┴─────┴──────────┴──────────┴──────────┴──────────┴───────┘

ata.maturity(max_cv=0.15, max_rse=0.05, min_run=2).k_star
#> {'SUR': 4}

# 3. Project loss ratios with the stage-adaptive method (default).
fit = lr.LR().fit(tri)
fit.summary().select(["coverage", "cohort", "lr_ult", "se_lr", "cv_lr"]).head(3)
#> shape: (3, 5)
#> ┌──────────┬────────────┬──────────┬──────────┬──────────┐
#> │ coverage ┆ cohort     ┆ lr_ult   ┆ se_lr    ┆ cv_lr    │
#> ╞══════════╪════════════╪══════════╪══════════╪══════════╡
#> │ SUR      ┆ 2024-01-01 ┆ 1.648832 ┆ null     ┆ null     │
#> │ SUR      ┆ 2024-02-01 ┆ 1.527993 ┆ 0.006237 ┆ 0.004082 │
#> │ SUR      ┆ 2024-03-01 ┆ 1.605468 ┆ 0.037199 ┆ 0.02317  │
#> └──────────┴────────────┴──────────┴──────────┴──────────┘

# 4. Detect cohort regime shifts.
reg = tri.detect_regime(loss_var="lr", K=12)
reg.breakpoints
#> [datetime.date(2025, 7, 1)]

# 5. Calendar-diagonal hold-out backtest. The last 6 diagonals are
#    masked, the estimator is refitted on the remaining cells, and
#    the projection is compared with actual loss.
#    ae_err = actual / predicted - 1 (signed relative error).
bt = lr.Backtest(estimator=lr.LR(), holdout=6).fit(tri)
bt.diag_summary.head(3)
#> shape: (3, 6)
#> ┌──────────┬──────────────┬─────┬─────────────┬────────────┬───────────┐
#> │ coverage ┆ calendar_idx ┆ n   ┆ ae_err_mean ┆ ae_err_med ┆ ae_err_wt │
#> ╞══════════╪══════════════╪═════╪═════════════╪════════════╪═══════════╡
#> │ SUR      ┆ 30           ┆ 30  ┆ -0.030373   ┆ -0.007741  ┆ -0.010898 │
#> │ SUR      ┆ 31           ┆ 30  ┆ -0.033368   ┆ -0.01888   ┆ -0.005902 │
#> │ SUR      ┆ 32           ┆ 30  ┆ -0.033076   ┆ -0.018453  ┆ 0.004588  │
#> └──────────┴──────────────┴─────┴─────────────┴────────────┴───────────┘

To analyse multiple coverages jointly, drop the upfront filter; every estimator and detector then fits per group, with coverage already labelling each output row.

To plug in your own data, build a long-format frame with these columns and pass it to lr.Triangle(df, group_var=...):

• uy_m (date) — underwriting year-month (cohort)
• cy_m (date) — calendar year-month
• dev_m (int, optional) — development month; auto-derived from uy_m and cy_m if absent
• loss_incr (numeric) — per-period claim amount
• premium_incr (numeric) — per-period premium

The shipped lr.load_experience() dataset already includes dev_m for convenience. Coarser granularities (dev_q, dev_s, dev_a — quarterly, semi-annual, annual) can be derived via add_experience_period(df), which produces the full 12-column enrichment (uy_a/uy_s/uy_q/uy_m, cy_a/cy_s/cy_q/cy_m, dev_a/dev_s/dev_q/dev_m). Pass grain="Q" / "S" / "A" to Triangle() to aggregate at a coarser grain (default "auto" detects from data spacing).

Triangle also accepts an optional group_var (coverage, product, age band, ...) — each estimator and detector then fits per group.

Pandas inputs are accepted too; outputs mirror the input type (pandas in → pandas out, polars in → polars out). Use the [pandas] install extra (see above) to pull in pandas and pyarrow.

R package

• Source: https://github.com/seokhoonj/lossratio
• Documentation: https://seokhoonj.github.io/lossratio/
• 한국어 문서: https://seokhoonj.github.io/lossratio/ko/

remotes::install_github("seokhoonj/lossratio")
library(lossratio)

Author

Seokhoon Joo (@seokhoonj, [e-mail]) — also maintains the R lossratio package.

License

MPL-2.0 (Mozilla Public License 2.0).