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 Cram?r-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 B?hlmann 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 ?cole d'actuariat Universit? Laval, Qu?bec Vincent.Goulet at act.ulaval.ca http://vgoulet.act.ulaval.ca _______________________________________________ R-packages mailing list R-packages at r-project.org https://stat.ethz.ch/mailman/listinfo/r-packages