Chainladder

New Features

* New multivariate chain ladder function 'MultiChainLadder' by Wayne
(Yanwei) Zhang <actuaryzhanguchicago.edu>
* New function 'getLatestCumulative' available. It returns for a
given triangle the most recent values for each origin period.
* New demos! Type demo(package='ChainLadder') for more information.
* Demos exist for the following topics: ChainLadder,
MackChainLadder, DatabaseExamples, MSOffice, MultiChainLadder
* 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

* 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

* 'plot.MunichChainLadder': The labels of the axis of the residuals
plots where the mixed up.
Thanks to Ben Escoto for reporting this issue.
* 'estimate.sigma' didn't check for sigma>0 before applying a
log-linear regression. Thanks to Dan Murphy reporting this bug.

User-visible changes

* Updated documentation to work with new Rd-file parser
(R version >= 2.9.0)
* Updated documentation for 'ABC' data (Thanks to Glen Barnett)

User-visible changes

* Updated documentation for 'MackChainLadder' (Thanks to Daniel Murphy)

User-visible changes

* 'MackChainLadder' gives two more elements back: 'Mack.ProcessRisk'
and 'Mack.ParameterRisk' for the process and parameter risk error
(Thanks to Daniel Murphy)
* 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.
* 'MackChainLadder' provides new example plots for CV(IBNR)
vs. origin period and CV(Ultimate) vs. origin period
* Updated documentation

User-visible changes

* Updated documentation

New Features

* New function 'BootChainLadder', based on papers by England and Verrall,
and Barnett and Zehnwirth
* 'MackChainLadder' and 'MunichChainLadder' allow for tail factors
* 'MackChainLadder' estimates the overall standard error for the total IBNR
* New arguments 'tail' and 'est.sigma' for MackChainLadder, to control
the tail factor and the estimation of sigma_{n-1}
* 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
* 'Mack-, 'Munich-, and 'BootChainLadder' accept (mxn) matrices with m>=n,
e.g more accident years than development years
* 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)
* 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'
* '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

* summary functions for 'Mack-, 'Munich-, 'BootChainLadder' give all a list
back with two elements: 'ByOrigin' and 'Totals'
* Change of labels: origin years -> origin period and development years ->
development origin
* Coefficient of Variation is abbreviate with 'CV' instead of 'CoV'
* The example spreadsheet 'ChainLadder_in_Excel.xls' has new examples,
including 'BootChainLadder'
* New greeting message after the R-call 'library(ChainLadder)'
* Improved documentation

Bug fixes

* 'MunichChainLadder': calculation of 'lambdaP' and 'lambdI' was incorrect.
Thanks to Beat Huggler for reporting this issue.