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Engine capabilities: Supported models

This page documents what the reference engine (crml_engine) supports today.

For the portable language contract, see: CRML Specification (Overview)

Inputs

The reference engine executes these CRML document types:

  • crml_scenario: "1.0"
  • crml_portfolio: "1.0"
  • crml_portfolio_bundle: "1.0"

Scenario frequency models

Implemented in crml_engine/src/crml_engine/simulation/frequency.py.

Supported scenario.frequency.model identifiers:

  • poisson
  • gamma
  • hierarchical_gamma_poisson

The portable basis semantics (per_organization_per_year vs per_asset_unit_per_year) are defined in CRML Specification (Overview).

Scenario severity models

Implemented in crml_engine/src/crml_engine/simulation/severity.py.

Supported scenario.severity.model identifiers:

  • lognormal
  • gamma
  • mixture (limited; see below)

Mixture severity limitation (important)

The current reference implementation of mixture severity only uses the first component and ignores mixture weights.

This is explicitly implemented in SeverityEngine._generate_mixture_first_component.

Portfolio aggregation semantics

Implemented in crml_engine/src/crml_engine/runtime.py.

Supported portfolio.semantics.method values (execution-time semantics):

  • sum
  • max
  • mixture
  • choose_one

Multi-currency

The engine supports:

  • Per-event severity currencies in scenarios (e.g., USD, EUR).
  • Converting results into an output currency via an FX config.

See: Multi-Currency Support