[R] [R-pkgs] Major update of package actuar
Vincent Goulet
Vincent.Goulet at act.ulaval.ca
Mon Nov 14 15:06:23 CET 2016
Dear useRs,
I'm happy to announce a substantial update of package actuar that bumps the version number to 2.0-0. This release focuses on additional support for continuous and discrete distributions, new functions to simulate data from compound models and mixtures, and revised and improved documentation.
A slightly shortened version of the NEWS file follows:
NEW FEATURES
• Support for the inverse Gaussian distribution. The pdf, cdf and
quantile functions are C (read: faster) implementations of otherwise
equivalent functions in package ‘statmod’.
• Support for the Gumbel extreme value distribution.
• Extended range of admissible values for many limited
expected value functions thanks to new C-level functions
‘expint’, ‘betaint’ and ‘gammaint’. These provide special
integrals presented in the introduction of Appendix A of
Klugman et al. (2012); see also ‘vignette("distributions")’.
Affected functions are: ‘levtrbeta’, ‘levgenpareto’,
‘levburr’, ‘levinvburr’, ‘levpareto’, ‘levinvpareto’,
‘levllogis’, ‘levparalogis’, ‘levinvparalogis’ in the
Transformed Beta family, and ‘levinvtrgamma’, ‘levinvgamma’,
‘levinvweibull’ in the Transformed Gamma family.
• Functions ‘expint’, ‘betaint’ and ‘gammaint’ to compute
the special integrals mentioned above. These are merely
convenience R interfaces to the C level functions. They are
_not_ exported by the package.
• Support for the Poisson-inverse Gaussian discrete distribution.
• Support for the logarithmic (or log-series) and zero-modified
logarithmic distributions.
• Support for the zero-truncated and zero-modified Poisson
distributions.
• Support for the zero-truncated and zero-modified negative
binomial distributions.
• Support for the zero-truncated and zero-modified geometric
distributions.
• Support for the zero-truncated and zero-modified binomial
distributions.
• New vignette ‘"distributions"’ that reviews in great detail the
continuous and discrete distributions provided in the
package, along with implementation details.
• ‘aggregateDist’ now accepts ‘"zero-truncated binomial"’,
‘"zero-truncated geometric"’, ‘"zero-truncated negative
binomial"’, ‘"zero-truncated poisson"’, ‘"zero-modified
binomial"’, ‘"zero-modified geometric"’, ‘"zero-modified
negative binomial"’, ‘"zero-modified poisson"’ and
‘"zero-modified logarithmic"’ for argument ‘model.freq’ with
the ‘"recursive"’ method.
• New function ‘rmixture’ to generate random variates from
discrete mixtures, that is from random variables with
densities of the form f(x) = p_1 f_1(x) + ... + p_n f_n(x).
• New function ‘rcompound’ to generate random variates from (non
hierarchical) compound models of the form S = X_1 + ... + X_N.
Function ‘simul’ could already do that, but ‘rcompound’ is
substantially faster for non hierarchical models.
• New function 'rcomppois' that is a simplified version of
‘rcompound’ for the very common compound Poisson case.
• Function ‘simul’ now accepts an atomic (named or not) vector for
argument ‘nodes’ when simulating from a non hierarchical
compound model. But really, one should use ‘rcompound’ for
such cases.
• New alias ‘rcomphierarc’ for ‘simul’ that better fits within
the usual naming scheme of random generation functions.
• Functions ‘grouped.data’ and ‘ogive’ now accept individual
data in argument. The former will group the data using
‘hist’ (therefore, all the algorithms to compute the number
of breakpoints available in ‘hist’ are also available in
‘grouped.data’). ‘ogive’ will first create a grouped data
object and then compute the ogive.
While there is no guarantee that the two functions are
backward compatible (the number and position of the
arguments have changed), standard calls should not be
affected.
USER VISIBLE CHANGES
• The material on probability laws in vignette ‘"lossdist"’
has been moved to the new vignette ‘"distributions"’ (see
the previous section).
• The first argument of the ‘mgf<dist>’ functions has changed
from ‘x’ to ‘t’. This is a more common notation for moment
generating functions.
• In ‘aggregateDist’ with the ‘"recursive"’ method, if the
length of ‘p0’ is greater than one, only the first element
is used, with a warning.
• ‘aggregateDist’ with the ‘"recursive"’ method and
‘model.freq = "logarithmic"’ now uses the new ‘dlogarithmic’
family of functions. Therefore, parametrization has changed
from the one of Klugman et al. (2012) to the standard
parametrization for the logarithmic distribution. Basically,
any value of ‘prob’ for the logarithmic parameter in
previous versions of ‘actuar’ should now be ‘1 - prob’.
• The aim of vignette ‘"simulation"’ is changed from
“simulation of compound hierarchical models” to “simulation
of insurance data with ‘actuar’” as it also covers the new
functions ‘rmixture’ and ‘rcompound’.
• Vignette ‘"lossdist"’ is renamed to ‘"modeling"’ and it is
revised to cover the new functionalities of ‘grouped.data’
and ‘ogive’.
BUG FIX
• An old and nasty out-of-bounds bug could crash R when using
the "recursive" method of 'aggregateDist' with a frequency
distribution from the (a, b, 1) family.
I hope this update will prove useful.
Vincent Goulet, Ph.D.
Professeur titulaire
École d'actuariat, Université Laval
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