bornhuetter_ferguson
Blend chain-ladder development patterns with external a-priori ultimates to compute reserves. Results include side-by-side comparison with chain ladder to highlight divergences.
Instructions
Bornhuetter-Ferguson (1972) reserving method. Pro tier.
Combines the chain-ladder development pattern with an externally- provided a-priori ultimate per accident year, giving a result that is far less sensitive to noisy late development than pure chain ladder. The canonical "second method" for benchmarking reserves — when chain-ladder and BF agree, you can publish with confidence; when they diverge, the divergence is the finding.
Args:
triangle: Cumulative loss triangle, same shape as
compute_chain_ladder.
a_priori_ultimates: Expected ultimate per accident-year row,
usually derived from premium × expected loss ratio or
a plan figure. Must have length n_acc.
selected_factors: Override factor set; defaults to volume-
weighted (same default as chain ladder).
tail: Multiplicative tail factor. Default 1.0.
excluded: Outlier exclusions, same shape as in
compute_chain_ladder.
Returns either:
- On success: {a_priori_ultimates, used_up_proportion, bf_ultimates, bf_ibnr, cl_ultimates, cl_ibnr, total_bf_ultimate, total_bf_ibnr, total_cl_ultimate, total_cl_ibnr} — note the chain-ladder values are returned
alongside so the user can see the two methods side-by-side.
- On license failure: {error, status} with status giving the
upgrade URL and reason. Free-tier callers get this and can
still see the API shape; no compute happens.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| triangle | Yes | ||
| a_priori_ultimates | Yes | ||
| selected_factors | No | ||
| tail | No | ||
| excluded | No |
Output Schema
| Name | Required | Description | Default |
|---|---|---|---|
No arguments | |||