1) The calculation for the tail log-linear extrapolation given in the vignette had a minor error - the first development period in the extrapolation was too large by 1 (this is due to the differing definition of n in the vignette and in the tailfactor function in ChainLadder.R. This has been corrected, and the result now agrees with the results of MackChainLadder(RAA, tail=TRUE).
2) The calculation of the tail using the log-linear extrapolation in the tailfactor function in ChainLadder.R had a potential error - when clratios has values of less than unity they are dropped, but the extrapolation was started from a quantity indexed by the length of f, not the value of fn. This changes the results if clratios has a pattern like e.,g.: ... 1.1, 0.98,1.01,0.005 (i.e. a link ratio less than unity which is not the last value) - possible with noisy triangles.
3) Very minor fix to the comments in ChainLadder.R and MackChainLadder.R, since I noticed it, fixing notation for alpha which is now consistent with the documentation and Mack's original paper.
mages
commented
8 years ago
Three minor changes:
1) The calculation for the tail log-linear extrapolation given in the vignette had a minor error - the first development period in the extrapolation was too large by 1 (this is due to the differing definition of n in the vignette and in the tailfactor function in ChainLadder.R. This has been corrected, and the result now agrees with the results of MackChainLadder(RAA, tail=TRUE).
2) The calculation of the tail using the log-linear extrapolation in the tailfactor function in ChainLadder.R had a potential error - when clratios has values of less than unity they are dropped, but the extrapolation was started from a quantity indexed by the length of f, not the value of fn. This changes the results if clratios has a pattern like e.,g.: ... 1.1, 0.98,1.01,0.005 (i.e. a link ratio less than unity which is not the last value) - possible with noisy triangles.
3) Very minor fix to the comments in ChainLadder.R and MackChainLadder.R, since I noticed it, fixing notation for alpha which is now consistent with the documentation and Mack's original paper.