Chainladder

Latest version: v0.8.24

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0.1.26

User-visible changes

* Updated documentation

0.1.25

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.

0.1.24

* 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.

0.1.22

* 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

0.1.20

* 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

0.1.15

* 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.

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