IBNR Runoff

import chainladder as cl

All IBNR models spin off several results triangles including inbr_, ultimate_, full_expectation, and full_triangle_. These can be manipulated into a variety of formats. This example demonstrates how to create a calendar year runoff of IBNR.

# Create a triangle
triangle = cl.load_sample("genins")

# Fit a model
model = cl.Chainladder().fit(triangle)

# Develop IBNR runoff triangle
runoff = model.full_triangle_.cum_to_incr() - triangle.cum_to_incr()

# Convert to calendar period and aggregate across all accident years
cal_yr_runoff = runoff[runoff.valuation > triangle.valuation_date]
cal_yr_runoff = cal_yr_runoff.dev_to_val().sum(axis="origin")

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import matplotlib.pyplot as plt

plt.style.use("ggplot")
%config InlineBackend.figure_format = 'retina'

# Plot results
ax = cal_yr_runoff.dropna().T.plot(
    kind="bar",
    legend=False,
    title="GenIns: IBNR Run-off",
    alpha=0.7,
    xlabel="Calendar Year",
    ylabel="IBNR",
);