Overview

[25 March 2012]
ChainLadder
ChainLadder
ChainLadder
ChainLadder
ChainLadder
system.file("Excel", package="ChainLadder")
system.file("SWord", package="ChainLadder")
 install.packages('ChainLadder')
R CMD INSTALL ChainLadder_x.x.x.tar.gz
 library('ChainLadder')
library(help='ChainLadder')
?ChainLadder
demo(ChainLadder)
demo(package='ChainLadder')
ChainLadder
ChainLadder
ChainLadder
system.file("Excel", package="ChainLadder")
rcom
Version 0.1.5-2
================
NEW FEATURES

   o Started writing a vignette. The current version is still draft
     and far from complete. Feedback will be much appreciated.

Changes

   o Removed .Internal call to make ChainLadder compliant with R 2.15.0 
   o Changed argument "t" in plot.triangle to "type" in order to be
     consistent with plot.default

Bug Fixes
   o as.triangle() gave triangles back, with development periods not 
   	 ordered, when the input data frame had unordered development 
   	 periods in different units, e.g. dev=c(1,100,10)
     Thanks to Ben Escoto for reporting this issue.

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 0.1.4-3.4
================
Changes
  o Updates to the internal MunichChainLadder function to reflect more
    rigours checks by R for function arguments (introduced by R 2.13.0)

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  <actuaryzhang@uchicago.edu> 
  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 <markus.gesmann@gmail>

	* 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 <markus.gesmann@gmail.com>

	* 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  <markus.gesmann@gmail.com>

         * 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  <markus.gesmann@gmail.com>

        * 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  <markus.gesmann@gmail.com>

	* 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  <markus.gesmann@gmail.com>

	* 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  <markus.gesmann@gmail.com>

	* 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.

Overview

Installation

From CRAN

From Google Code

R under Windows

R under Linux / Mac OS X

Using ChainLadder

Documentation

Examples

Presentations

Useful links

News