New Features
* 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.
* A 'vcov' method now exists to produce the covariance matrix of the
estimated parameters using the approach in Clark's paper
* 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 log-likelihood function at the solution
- counts = number of evaluations of the log likelihood and its
derivative before convergence
* 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
* 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
* The parameters returned by the methods were the scaled versions;
they now at their original scales.
* The loss development factor (LDF) being returned by ClarkCapeCod
was not documented