Version 0.1.5-1 ================ Changes o Internal changes to plot.MackChainLadder to pass new checks introduced by R 2.14.0. o Commented out unnecessary creation of 'io' matrix in ClarkCapeCod function. Allows for analysis of very large matrices for CapeCod without running out of RAM. 'io' matrix is an integral part of ClarkLDF, and so remains in that function. o plot.clark method - Removed "conclusion" stated in QQplot of clark methods. - Restore 'par' settings upon exit - Slight change to the title o Reduced the minimum 'theta' boundary for weibull growth function o Added warnings to as.triangle if origin dev. period are not numeric Version 0.1.5-0 ================ NEW FEATURES o New function glmReserve, which implements loss reserving models within the generalized linear model framework following a paper by England P. and Verrall R. (1999) Version 0.1.4-4 ================ Changes o Minor changes to reflect a more rigours package build process for R >= 2.14.0 o Start up message uses now packageStartupMessage rather than cat to allow the message to be suppressed. Version 0.1.4-3 ================ NEW FEATURES o ClarkLDF and ClarkCapeCod functions were reorganized to clarify the delivery and presentation of the methods' results - Individual components now contain distinct values within Clark's methodologies - 'summary' methods produce "reports" that display results in the form of typical loss development and Bornhuetter-Ferguson exhibits - "Table" functions now produce the results as shown in the tables on pp. 64, 65 and 68 of Clark's paper - A 'vcov' method produces the covariance matrix of the estimated parameters o An 'ata' function exists to calculate the "age-to-age" development factors of a loss "triangle", as well as the simple and volume weighted averages Version 0.1.4-2 ================ BUG FIXES o The TruncatedGrowth function value under the Clark Cape Cod method was incorrectly printed in the Table68 data.frame when the calculations were to be based on the average date of loss (argument adol=TRUE). The underlying calculations used the correct adol adjustment, only the printed output was incorrect. Version 0.1.4-1 ================ NEW FEATURES o ClarkLDF and ClarkCapeCod functions: additional functionality - Clark's methods now work for "one-row triangles" -- i.e., loss experience from only one origin period - Clark's methods work for "phase-shifted" triangles -- i.e., triangles whose first age does not coincide with the end of the origin period. Example: accident year origin periods with September 30th evaluation dates. o A 'vcov' method now exists to produce the covariance matrix of the estimated parameters using the approach in Clark's paper o Additional values (in lists) returned by Clark's methods: - FI = Fisher Information matrix as Clark defines it in his paper (i.e., without the sigma^2 value) - dR = the gradient of the reserves function evaluated at the optimal parameter values - value = value of the loglikelihood function at the solution - counts = number of evaluations of the loglikelihood and its derivative before convergence o Fine-tuning of maximum likelihood numerical algorithm's control parameters - Enable more consistent convergence properties between R's 32-bit and 64-bit environments - Initial starting values for the weibull function were adjusted for successful convergence across a wider set of triangles - Upper bounds introduced for "L-BFGS-B" maximum likelihood method to bound weibull away from unity at too early an age o If the solution is found at the boundary of the parameter region, it is conceivable that a "more optimal" solution might exist if the boundary constraints were not as conservative, so a warning is given BUG FIXES o The parameters returned by the methods were the scaled versions; they now at their original scales. o The loss development factor (LDF) being returned by ClarkCapeCod was not documented Version 0.1.4-0 ================ NEW FEATURES o New implementation of the methods in David Clark's "LDF Curve Fitting" paper in the 2003 Forum by Daniel Murphy. - Includes LDF and CapeCod methods (functions 'ClarkLDF' and 'ClarkCapeCod', respectively) - Programmed to handle loglogistic and weibull growth functions - Printing an object returned by the function results in a table similar to that on p. 65 of the paper - Plotting such an object results in four residual plots, including a Q-Q plot with the results of the Shapiro-Wilk test Version 0.1.3-4 ================ BUG FIXES o 'residuals.MackChainLadder': Zero weights applied to MackChainLadder caused an error. Thanks to Ernesto Schirmacher for reporting this bug. Version 0.1.3-3 ================ NEW FEATURES o New multivariate chain ladder function 'MultiChainLadder' by Wayne (Yanwei) Zhang o New function 'getLatestCumulative' available. It returns for a given triangle the most recent values for each origin period. o New demos! Type demo(package='ChainLadder') for more information. o Demos exist for the following topics: ChainLadder, MackChainLadder, DatabaseExamples, MSOffice, MultiChainLadder o New SWord example file ChainLadder_SWord_Example.doc, which demonstrates how R code snippets can be integrated into a Word file. The following R command system.file("SWord", package="ChainLadder") will show the directory of the file. USER-VISIBLE CHANGES o The examples in MackChainLadder and ChainLadder-package have been shortened and demo files have been created instead. The examples focus on the syntax of the function calls, while the demos give more detailed information on how you might want to use the functions in a business context. BUG FIXES o 'plot.MunichChainLadder': The labels of the axis of the residuals plots where the mixed up. Thanks to Ben Escoto for reporting this issue. o 'estimate.sigma' didn't check for sigma>0 before applying a log-linear regression. Thanks to Dan Murphy reporting this bug. Version 0.1.2-13 ================ USER-VISIBLE CHANGES o 'MackChainLadder' has new argument 'alpha' as an additional weighting parameter. As a result, the argument 'weights' is now just that, weights should be between 0 and 1. The argument 'alpha' describes the different chain ladder age-to-age factors: The default for alpha for all development periods is 1. See Mack's 1999 paper: alpha=1 gives the historical chain ladder age-to-age factors, alpha=0 gives the straight average of the observed individual development factors and alpha=2 is the result of an ordinary regression with intercept 0. o Basic 'chainladder' function now available using linear models. See ?chainladder for more information. o More examples for 'MackChainLadder' demonstrate how to apply the MackChainLadder over several triangles in 'one-line'. o 'as.data.frame.triangle' has new argument 'lob' (e.g. line of business) which allows to set an additional label column in the data frame output. BUG FIXES o 'MackChainLadder': Latest position of incomplete triangles were in some cases not returned correctly. Thanks to Ben Escoto for reporting and providing a patch. o 'MackChainLadder': - Mack.S.E was not correctly calculated for non-standard chain ladder age-to-age factors (e.g. straight averages or ordinary regression through the origin) due the missing argument for 'alpha'. - Chain ladder age-to-age factors were always applied to diagonal elements to calculate forecasts, although data in sub-diagonal triangle could exist. Many thanks to Przemyslaw Sloma for reporting those issues. Version 0.1.2-12 ================ NEW FEATURES o New triangle class with S3 methods for plot, print and conversion from triangles to data.frames and vis versa o New utility functions 'incr2cum' and 'cum2incr' to convert incremental triangles into cumulative triangles and vis versa. Thanks to Chritophe Dutang. o New logical argument lattice for plot.MackChainLadder (and plot.triangle), which allows to plot developments by origin period in separate panels. BUG FIXES o 'MunichChainLadder': tail factors were not accepted. Thanks to Stefan Pohl for reporting this issue. Version 0.1.2-11 =============== BUG FIXES o 'MackChainLadder': 'F.se'[ultimate] was calculated of the ultimate column instead of the latest paid. Version 0.1.2-10 =============== USER-VISIBLE CHANGES o 'MackChainLadder' has new arguments 'tail.sigma' and 'tail.se' to provide estimates of the variability for a given tail factor. BUG FIXES o 'MackChainLadder': calculation of 'Mack.S.E' did not use an ultimate sigma factor to estimate 'Mack.S.E' when a tail factor > 1 was provided (Thanks to Mark Hoffmann for reporting this issue). Version 0.1.2-9 =============== USER-VISIBLE CHANGES o Updated documentation to work with new Rd-file parser (R version >= 2.9.0) o Updated documentation for 'ABC' data (Thanks to Glen Barnett) Version 0.1.2-8 =============== USER-VISIBLE CHANGES o Updated documentation for 'MackChainLadder' (Thanks to Daniel Murphy) Version 0.1.2-7 =============== USER-VISIBLE CHANGES o 'MackChainLadder' gives two more elements back: 'Mack.ProcessRisk' and 'Mack.ParameterRisk' for the process and parameter risk error (Thanks to Daniel Murphy) o In the summary output of'MackChainLadder' the label 'CV' changed to 'CV(IBNR)' to clarify that we show the coefficient of variance of the IBNR. o 'MackChainLadder' provides new example plots for CV(IBNR) vs. origin period and CV(Ultimate) vs. origin period o Updated documentation Version 0.1.2-6 =============== USER-VISIBLE CHANGES o Updated documentation Version 0.1.2-5 =============== NEW FEATURES o New function 'BootChainLadder', based on papers by England and Verrall, and Barnett and Zehnwirth o 'MackChainLadder' and 'MunichChainLadder' allow for tail factors o 'MackChainLadder' estimates the overall standard error for the total IBNR o New arguments 'tail' and 'est.sigma' for MackChainLadder, to control the tail factor and the estimation of sigma_{n-1} o New arguments 'tailP', 'tailI' and 'est.sigmaP', 'est.sigmaI' for 'MunichChainLadder', which are passed on to 'MackChainLadder' to control the tail factor and the estimation of sigma_{n-1} for the Paid and Incurred triangle o 'Mack-, 'Munich-, and 'BootChainLadder' accept (mxn) matrices with m>=n, e.g more accident years than development years o New example data sets: 'ABC' (annual run-off triangle of a worker's compensation portfolio of a large company), 'qpaid', 'qincurred' ('made-up' data of a quarterly development triangle of annual origin period) o Triangles with higher development period frequency (e.g quarterly) than origin period frequency (e.g annual) can be used after being 'blown-up' to a common period frequency, see the help of 'qpaid' o 'Mack-, 'Munich- and 'BootChainLadder' accept 'blown-up' triangles of higher development period frequency than origin period frequency filled with 'NA', see the help of 'qpaid' USER-VISIBLE CHANGES o summary functions for 'Mack-, 'Munich-, 'BootChainLadder' give all a list back with two elements: 'ByOrigin' and 'Totals' o Change of labels: origin years -> origin period and development years -> development origin o Coefficient of Variance is abbreviate with 'CV' instead of 'CoV' o The example spreadsheet 'ChainLadder_in_Excel.xls' has new examples, including 'BootChainLadder' o New greeting message after the R-call 'library(ChainLadder)' o Improved documentation BUG FIXES o 'MunichChainLadder': calculation of 'lambdaP' and 'lambdI' was incorrect. Thanks to Beat Huggler for reporting this issue. 2008-09-23 Markus Gesmann * R/BootstrapReserve.R Included all the functions for the BootChainLadder function. The BootChainLadder procedure provides a predictive distribution of reserves for a cumulative claims development triangle. * R/BootstrapReserve.R, MackChainLadder.R, MunichChainLadder The summary methods for MackChainLadder, MunichChainLadder, BootChainLadder give a list back with two elements "ByOrigin" and "Totals" * R/zzz.R Included a .onLoad function to produce a little message after the ChainLadder package is loaded. * Excel/ChainLadder_in_Excel.xls Added new examples for BootChainLadder and how to use Rapply to call functions from the ChainLadder package. 2008-09-18 Markus Gesmann * R/MackChainLadder.R Included tail factor estimation. The function MackChainLadder has a new argument "tail" to either estimate the tail factor via a log-linear regression or to set it manually. * data/qpaid.RData, qincurred.RData Added examples of quarterly development triangles 2008-09-08 Markus Gesmann * R/MackChainLadder.R Prepared the functions Mack.S.E and Total.Mack.S.E to accept triangles with rows full of NA values. This might be useful for non quadratic triangles 2008-05-19 Markus Gesmann * R/MackChainLadder.R Bug fix: Function Mack.S.E did not give F.se back, which is needed by TotalMack.S.E. Many thanks to Florian Leitenstorfer for reporting this issue. 2008-05-11 Markus Gesmann * inst/Excel/ChainLadder_in_Excel.xls uses now dynamic functions and shows how to call 'plot' from Excel * R/MackChainLadderFunctions.R: Changed labels Reserving to IBNR (=Incurred But Not Reported) 2008-02-02 Markus Gesmann * R/MackChainLadderFunctions.R: Mack.S.E checks now which sigma>0 before log linear regression of sigma to estimate sigma[n-1] 2008-02-11 Markus Gesmann * R/MackChainLadderFunctions.R: added function TotalMack.S.E function to estimate the overall standard error for the reserve. MackChainLadder gives now also the Total.Mack.S.E. back plus the estimate standard error for all individual age-to-age factors F.se.