Labels

Labels assigned to nodes can be used to track losses and premiums passing through financial model graphs.

_NodePath

_NodePath is a special column name in YELT that contains a path from the node where a particular value (e.g. a loss or a premium) was originated to the final node.

For example, we can have a financial model represented by the graph below:

digraph G { graph [ fontname="Courier", fontsize=12, size="7,5"]; node [ shape=rect, fontname="Courier", fontcolor=blue, fontsize=10, margin=0.1]; edge [ fontname="Courier", fontcolor=blue, fontsize=10]; ls1_node [label=" Loss Set 1\l label=LS1"]; ls2_node [label=" Loss Set 2\l label=LS2"]; ls3_node [label=" Loss Set 3\l label=LS3"]; gp_node [label=" Gross Portfolio\l label=GP"]; r1_node [label=" Retro Layer 1\l label=R1"]; r2_node [label=" Retro Layer 2\l label=R2"]; r3_node [label=" Retro Layer 3\l label=R3"]; np_node [label=" Net Portfolio\l label=NP"]; ls1_node -> gp_node; ls2_node -> gp_node; ls3_node -> gp_node [color=red]; gp_node -> r1_node [color=blue]; gp_node -> r2_node [color=green]; gp_node -> r3_node [color=brown]; r1_node -> np_node [color=blue]; r2_node -> np_node [color=green]; r3_node -> np_node [color=brown]; }

Let’s say a loss value was originated in the Loss Set 3 (LS3). In that case, in the YELT table, we may have a number of rows that contain _NodePath values started with LS3.

Losses originated in the Loss Set 3

Trial

Time

Type

Value

Event ID

_NodePath

1

3842394.0

Loss

5M

32497

“LS3,GP,R1,NP”

1

3842394.0

Loss

20M

32497

“LS3,GP,R2,NP”

1

3842801.0

Loss

10M

34920

“LS3,GP,R3,NP”

All the paths in the table start with LS3 label, but each of the paths is unique as the losses passed three different Retro Layers (R1, R2, R3).

Back-allocation using _NodePath

In order to do back-allocation you can sum up all the Values in rows that passed a node of interest.

For example, to calculate back-allocation of the Loss Set 3 node (LS3) to the Net Portfolio node (NP) you would need to sum Value columns from the table above (“5M” + “20M” + “10M”) and divide the result by the total loss amount.

Limitations

_NodePath can not be listed inside of the columns parameter of LedgerExportDescriptor and LedgerSQLQueryDescriptor. If being listed the API will return an error: The requested columns are reserved, and cannot be used: _NodePath ….

Another limitation is that it is possible to get a Timeout (or Out of Memory) error while using _NodePath with large graphs. It is due to having a large number of unique possible paths through the graph.

Using _NodePath with Projection

Projections can change _NodePath values in some of the cases. Please see Projection for details.