[R-pkgs] New version of actuar
Vincent Goulet
vincent.goulet at act.ulaval.ca
Fri Nov 16 19:30:19 CET 2007
UseRs,
Version 0.9-4 of actuar should be making its way to CRAN mirrors. The
main highlights of this new version are speed enhancements for a few
functions, support for phase-type distributions and functions for ruin
theory.
The relevant section of the NEWS file follows
Version 0.9-4
=============
Maintenance and new features release.
NEW FEATURES -- LOSS DISTRIBUTIONS
o Functions mgffoo() to compute the moment (or cumulant if 'log =
TRUE') generating function of the following distributions:
chi-square, exponential, gamma, inverse gaussian (from package
SuppDists), inverse gamma, normal, uniform and phase-type (see
below).
o Functions mfoo() to compute the raw moments of all the probability
distributions supported in the package and the following of base
R: chi-square, exponential, gamma, inverse gaussian (from package
SuppDists), inverse gamma, normal, uniform.
o Functions {d,p,mgf,m,r}phtype() to compute the probability density
function, cumulative distribution function, moment generating
function, raw moments of, and to generate variates from,
phase-type distributions.
NEW FEATURES -- RISK THEORY
o Function VaR() with a method for objects of class "aggregateDist"
to compute the Value at Risk of a distribution.
o Function CTE() with a method for objects of class "aggregateDist"
to compute the Conditional Tail Expectation of a distribution.
o Function adjCoef() to compute the adjustment coefficient in ruin
theory. If proportional or excess-of-loss reinsurance is included
in the model, adjCoef() returns a function to compute the
adjustment coefficient for given limits. A plot method is also
included.
o Function ruin() returns a function to compute the infinite time
probability of ruin for given initial surpluses in the
Cramér-Lundberg and Sparre Andersen models. Most calculations are
done using the cdf of phase-type distributions as per Asmussen and
Rolski (1991).
o Calculations of the aggregate claim distribution using the
recursive method much faster now that recursions are done in C.
NEW FEATURES -- CREDIBILITY THEORY
o Modular rewrite of cm(): the function now calls internal functions
to carry calculations for each supported credibility model. This
is more efficient.
o Basic support for the regression model of Hachemeister in function
cm().
o For the hierarchical credibility model: support for the variance
components estimators of Bühlmann and Gisler (2005) and Ohlsson
(2005). Support remains for iterative pseudo-estimators.
o Calculations of iterative pseudo-estimators in hierarchical
credibility are much faster now that they are done in C.
OTHER NEW FEATURES
o Four new vignettes: introduction to the package and presentation
of the features in loss distributions, risk theory and credibility
theory.
o Portfolio simulation material of the "credibility" demo moved to
demo "simulation".
USER-VISIBLE CHANGES
o Argument 'approx.lin' of quantile.aggregateDist() renamed
'smooth'.
o Function aggregateDist() gains a 'maxit' argument for the maximum
number of recursions when using Panjer's algorithm. This is to
avoid infinite recursion when the cumulative distribution
function does not converge to 1.
o Function cm() gains a 'maxit' argument for the maximum number of
iterations in pseudo-estimators calculations.
o Methods of aggregate(), frequency(), severity() and weights() for
objects of class "simpf" gain two new arguments:
1. 'classification'; when TRUE, the columns giving the
classification structure of the portfolio are excluded from the
result. This eases calculation of loss ratios (aggregate claim
amounts divided by the weights);
2. 'prefix'; specifies a prefix to use in column names, with
sensible defaults to avoid name clashes for data and weight
columns.
BUG FIXES
o The way weights had to be specified for the "chi-square" method of
mde() to give expected results was very unintuitive. The fix has
no effect when using the default weights.
o The empirical step function returned by the "recursive" and
"convolution" methods of aggregateDist() now correctly returns 1
when evaluated past its largest knot.
DEPRECATED
o Direct usage of bstraub() is now deprecated in favor of cm(). The
function will remain in the package since it is used internally by
cm(), but it will not be exported in future releases of the
package. The current format of the results is also deprecated.
---
Vincent Goulet, Associate Professor
École d'actuariat
Université Laval, Québec
Vincent.Goulet at act.ulaval.ca http://vgoulet.act.ulaval.ca
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