actuar News

CHANGES IN actuar VERSION 3.3-7

NEW FEATURES

• Appendix C of the “distributions” package vignette now provides the formulas for the first three cumulants (hence the mean, variance and skewness) of the zero-truncated and zero-modified distributions. They are not used in the package code, but we developed the formulas at some point and opted to record them in the vignette for posterity.

BUG FIXES

• The quantile functions for the zero-modified distributions now correctly handle the case p <= p0. Thanks to Philippe Leblanc for the report and pointers.

• The quantile functions for the zero-modified distributions now correctly handle the following corner cases: p0 = 1; limit values of the parameters with lower.tail = FALSE or p0 = 0; p = 0 with p0 = 0.

CHANGES IN actuar VERSION 3.3-6

NEW FEATURES

• ?ruin gains an example of mixtures of Erlang distributions for claims and interarrival times.

BUG FIXES

• ruin now works correctly for mixtures of Erlang distributions. Closes issue #4. Thanks also to Jorge Yslas and Paula Rocha Rodriguez paula.rocharodriguez@alum.uca.es for the report.

• var and sd for individual data now correctly use the value of argument na.rm (closes issue #5). Thanks to Ge Zhang for the report.

• pinvgauss and qinvgauss now use a gamma approximation when the coefficient of variation is very small (ported from statmod v1.4.28).

• rinvgauss now accurately handles large or infinite values for the mean or dispersion (ported from statmod v1.4.29).

• qinvgauss no longer takes an initial value outside the domain of convergence with the gamma approximation for small right tail probabilities (ported from statmod v1.4.30).

OTHER CHANGES

• Replacement of a few API entry points for C API compliance introduced in R 4.5.0.

CHANGES IN actuar VERSION 3.3-5

NEW FEATURES

• The print methods for objects of class "cm" and "summary.cm" now use the option deparse.cutoff to control the printing of the call to cm.

BUG FIXES

• Appendix A of the “distributions” package vignette still listed the root pareto2 as an alias for pareto. Moreoever, the root for the Pareto II distribution was wrongly listed as pareto4.

• The equation for the mean of the zero-truncated Poisson distribution in the HTML version of the help page contained an inappropriate power 2 in the denominator. Thanks to Brad Biggerstaff bkb5@cdc.gov for the heads up.

OTHER CHANGES

• Package vignettes now use Fira Sans for sans serif text.

CHANGES IN actuar VERSION 3.3-4

BUG FIXES

• rcompound will now correctly retrieve the simulation models passed down from other functions as expression objects.

• One error message in rmixture was quoting the wrong argument.

CHANGES IN actuar VERSION 3.3-3

BUG FIXES

• The generics elev and ogive no longer rely on local variables added to the environment in which the method is evaluated by UseMethod. This “feature” should be removed from R in the next major release. Thanks to Luke Thierney luke-tierney@uiowa.edu for the direct notification and for the pointer to a fix.

USER VISIBLE CHANGES

• rcomphierarc is now the base name for the simulation function of compound hierarchical models, whereas simul is an alias retained for backward compatibility.

• The alias simpf for simul (or rcomphierarc) is extinct.

CHANGES IN actuar VERSION 3.3-2

BUG FIXES

• rcompound, rcomppois and rmixture evaluate their model arguments in the correct frame for a larger sets of circumstances, notably when called inside another function. ?rmixture provides more information and examples on this matter for that function.

OTHER CHANGES

• Package vignettes now use the STIX2 fonts for text and Fira Mono for code.

CHANGES IN actuar VERSION 3.3-1

BUG FIXES

• Include prototypes for all C level functions to please -Wstrict-prototypes.

CHANGES IN actuar VERSION 3.3-0

NEW FEATURES

• Italian translations contributed by Daniele Medri dmedri@gmail.com.

• Package help file; use ?actuar to read.

• New entry in the CITATION file for the paper in the Journal of Statistical Software presenting our implementation of the Feller-Pareto family of distributions.

CHANGES IN actuar VERSION 3.2-2

BUG FIXES

• Replace deprecated (as of R 4.2.0) macro DOUBLE_EPS by DBL_EPSILON in C code.

CHANGES IN actuar VERSION 3.2-1

BUG FIXES

• Fix incorrect usage of all.equal in tests.

CHANGES IN actuar VERSION 3.2-0

NEW FEATURES

• Generic versions of var and sd with methods for grouped data. The default methods (for individual data) call the standard functions of the stats package. Grouped data methods contributed by Walter Garcia-Fontes walter.garcia@upf.edu.

• Method of summary for grouped data objects contributed by Walter Garcia-Fontes walter.garcia@upf.edu.

• Examples for the new methods for grouped data objects in lossdist demonstration R script.

BUG FIXES

• Use USE_FC_LEN_T in the C prototypes of LAPACK functions to correspond to code produced by gfortran >= 7. The mechanism was introduced in R 3.6.2 and is planned to make its use obligatory in R 4.2.0.

• Miscellaneous fixes to formulas for grouped data in the documentation for mean.grouped.data and emm, as well as in the “modeling” package vignette.

CHANGES IN actuar VERSION 3.1-4

BUG FIXES

• Due to its use of log1mexp since the previous release, the package depends on R >= 4.1.0.

CHANGES IN actuar VERSION 3.1-3

BUG FIXES

• Carry over the new implementation of the Cornish-Fisher Expansion of base R used by qlogarithmic and qpoisinvgauss.

• Fix computation of [pq]zmpois, [pq]zmbinom and [pq]zmnbinom following fixes to the underlying base R functions introduced in r80271 of R sources. With thanks to B.D. Ripley and Martin Maechler.

CHANGES IN actuar VERSION 3.1-2

BUG FIXES

• qinvgauss now returns a finite value when 1.5/shape > 1000. Thanks to Bettina Grün bettina.gruen@wu.ac.at for the fix.

• A protection against rounding errors now ensures that qzmlogarithmic(1 - pzmlogarithmic(x), lower.tail = FALSE) == x is always TRUE.

• In ?dburr, the scale parameter appeared in the denominator of the density instead of x. Thanks to Etienne Guy for the heads up.

• The package tests now correctly use stopifnot with argument exprs explicitly named.

• The formula for the moment of order k for grouped data in ?emm fixed in version 2.3-3 for the LaTeX version is now also fixed for the text version. Thanks (again) to Walter Garcia-Fontes.

CHANGES IN actuar VERSION 3.1-1

BUG FIXES

• rcompound and rmixture now correctly find objects defined higher in the call stack.

CHANGES IN actuar VERSION 3.1-0

BUG FIXES

• rmixture now randomly shuffles the variates by default and gains an argument shuffle (TRUE by default). Using shuffle = FALSE restores the previous behaviour where the output vector contains all the random variates from the first model, then all the random variates from the second model, and so on. When the order of the random variates is irrelevant, this cuts execution time roughly in half. Thanks to Adam Kałdus akaldus@wp.pl for the stimulating comments on this matter.

USER VISIBLE CHANGES

• The number of variates returned by rmixture is now the length of argument n if larger than 1, like other r<dist> functions.

• rmixture now checks the validity of its arguments.

CHANGES IN actuar VERSION 3.0-0

NEW FEATURES

• Support functions [dpqrm,lev]fpareto for the Feller-Pareto distribution and related Pareto distributions with a location parameter. The Feller-Pareto defines a large family of distributions encompassing the transformed beta family and many variants of the Pareto distribution. Using the nomenclature of Arnold (2015), the following distributions are now supported by actuar: Feller-Pareto, Pareto IV, Pareto III, and Pareto II. The Pareto I was already supported under the name Single Parameter Pareto. Contributed by Christophe Dutang, Vincent Goulet and Nicholas Langevin.

• The package now exposes through an API its 200+ C routines for probability functions and the beta integral. This is documented in a new section of the “distributions” package vignette. See file ‘include/actuarAPI.h’ in the package installation directory for the complete list of exported routines.

• Improvements to the accuracy in the right tail of the p<dist> and lev<dist> functions for most probability distributions of the transformed beta family. Achieved by replacing pbeta(u, a, b, lower.tail) for u > 0.5 with pbeta(1 - u, b, a, !lower.tail) and an accurate computation of u. Contributed by Nicholas Langevin.

• The C workhorse betaint_raw behind betaint gains an additional argument to receive an accurate value of 1 - x. Used extensively to improve accuracy of the lev<dist> functions for the transformed beta family. Contributed by Nicholas Langevin.

• The “distributions” package vignette now regroups distributions of the transformed beta families and the single parameter Pareto under the umbrella of the Feller-Pareto family of distributions. The vignette now also includes diagrams showing the interrelations between the members of this family, as well as between the members of the transformed gamma and inverse transformed gamma families.

• Exhaustive regression tests for probability functions.

BUG FIXES

• Improvements to the simulation algorithm for zero-modified discrete distributions in the p_0^M < p_0 case. Contributed by Nicholas Langevin.

• dpoisinvgauss no longer returns NaN for large values of x. Solved by computing probabilities recursively instead of by calling bessel_k (the latter would overflow for large nu and propagate NaN). Computations are actually about twice as fast.

• ppoisinvgauss now honors argument lower_tail.

• qpoisinvgauss no longer fails with mu = Inf and log.p = TRUE.

• betaint(x, Inf, b) now returns Inf instead of NaN.

• betaint(.Machine$double.xmin, a, b), with b < 0, now returns 0 instead of NaN.

• d<dist> and p<dist> functions for all continuous size distributions now handle limiting cases for infinite scale parameter, or for zero non-scale parameters, consistently with functions of base R.

  Affected functions are: [dp]trbeta, [dp]burr, [dp]llogis, [dp]paralogis, [dp]genpareto, [dp]pareto, [dp]invburr, [dp]invpareto, [dp]invparalogis in the Transformed Beta family; [dp]trgamma, [dp]invtrgamma, [dp]invgamma, [dp]invweibull, [dp]invexp in the Transformed Gamma family; [dp]lgamma, [dp]gumbel, [dp]invgauss, [dp]genbeta.

• levinvexp no longer returns NaN for finite order.

BREAKING CHANGE

• Support for the Pareto II distributions comes from functions [dpqrm,lev]pareto2. These functions were aliases to [dpqrm,lev]pareto in previous version of actuar. The new functions are not backward compatible. Therefore, calls to the *pareto2 functions of previous versions of actuar will return wrong results and should be replaced by calls to *pareto functions.

DEFUNCT

• Functions [m,lev,mgf]invGauss that were deprecated in version 2.0-0.

Note

Older news can be found in files ‘NEWS.2.Rd’ (2.x series), ‘NEWS.1.Rd’ (1.x series) and ‘NEWS.0.Rd’ (0.x series).