BootstrapReserve.py 文件源码

def __model_form(self, tri_array):
        w = np.nan_to_num(self.weights/tri_array[:,:,:-1]**(2-self.alpha))
        x = np.nan_to_num(tri_array[:,:,:-1]*(tri_array[:,:,1:]*0+1))
        y = np.nan_to_num(tri_array[:,:,1:])
        LDF = np.sum(w*x*y,axis=1)/np.sum(w*x*x,axis=1)
        #Chainladder (alpha=1/delta=1)
        #LDF = np.sum(np.nan_to_num(tri_array[:,:,1:]),axis=1) / np.sum(np.nan_to_num((tri_array[:,:,1:]*0+1)*tri_array[:,:,:-1]),axis=1)
        #print(LDF.shape)
        # assumes no tail
        CDF = np.append(np.cumprod(LDF[:,::-1],axis=1)[:,::-1],np.array([1]*tri_array.shape[0]).reshape(tri_array.shape[0],1),axis=1)    
        latest = np.flip(tri_array,axis=1).diagonal(axis1=1,axis2=2)   
        ults = latest*CDF
        lu = list(ults)
        lc = list(CDF)
        exp_cum_triangle = np.array([np.flipud(lu[num].reshape(tri_array.shape[2],1).dot(1/lc[num].reshape(1,tri_array.shape[2]))) for num in range(tri_array.shape[0])])
        exp_incr_triangle = np.append(exp_cum_triangle[:,:,0,np.newaxis],np.diff(exp_cum_triangle),axis=2)
        return LDF, CDF, ults, exp_incr_triangle