=== ChainLadder: R package for insurance claims reserving === 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 for the variability of 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.