OasisLMF / ktools

In-memory simulation kernel for loss modelling.
BSD 3-Clause "New" or "Revised" License
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aalcalc - ALCT standard error fix and anova fields reintroduction #388

Open johcarter opened 1 month ago

johcarter commented 1 month ago

Issue Description

The standard error of the aal estimate is incorrectly calculated. It is currently calculated as the sqrt of the total sample variance divided by the number of years number of samples. It should be the sqrt of the within year variance of the samples divided by the number of years number of samples. This is equivalent to the StandardErrorVuln from the original anova fields. More documentation to be provided on why.

Also reintroducing the anova fields from the first version of the ALCT report which are correct and useful.