## Copyright (C) 2009 Esteban Cervetto
##
## Octave is free software; you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 3 of the License, or (at
## your option) any later version.
##
## Octave is distributed in the hope that it will be useful, but
## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with Octave; see the file COPYING. If not, see
## .
## -*- texinfo -*-
## @deftypefn {Function File} {@var{quotas} =} quotald (@var{s})
## Calculate the cumulative quotas by the Loss Development (Chainladder) method.
##
## @var{s} is a mxn matrix that contains the run-off triangle, where m is the number of accident-years
## and n is the number of periods to final development. @var{s} may contain u = m-n complete years.
## The value @var{s}(i,k), 1<=i<=m, 0<=k<=n-1 represents the cumulative losses from accident-period i
## settled with a delay of at most k years.
## The values @var{s}(i,k) with i + k > m must be zero because is future time.
##
## The LD method asumes that exists a development pattern on the individual factors.
## This means that the identity
##
## @verbatim
## E[S(i,k) ]
## LDI(k) = -------------
## E[S(i,k-1) ]
## @end verbatim
##
## holds for all k = @{0, @dots{}, n-1@} and for all i = @{1, @dots{}, m@}.
##
## @var{quotas} returns a row vector with the cumulative quotas. The transformation
## from individual factors to cumulative quotas is:
##
## @verbatim
## l=n-1 1
## quotas(k) = II -------
## l=k+1 LDI(l)
## @end verbatim
##
## @seealso {bferguson, ultimateld, quotapanning, quotaad, quotamack}
## @end deftypefn
function quotas = quotald(S)
[m,n] = size (S); #triangle with m years (i=1,2,u,...u+1,u+2,....m) and n periods (k=0,1,2,...n-1)
u = m - n; #rows of the upper square
S = fliplr(triu(fliplr(S),-u)); #ensure S is triangular
# calculate the triangle of individual development factors (LDI)
LDI = [ones(m,1), S(:,2:n)./S(:,1:n-1)];
LDI = fliplr(triu(fliplr(LDI),-u));
LDI (m,1) = 0; #last row element without partner
# weights
W = fliplr(triu(fliplr(S),1-u)); #get T values to use
W = shift (W,1,2); #redim k = k-1,
W = porcentual(W,1);
#individual development factors (LDI) or Chainladder factors
LDI_CL = diag(LDI' * W)'; #weighted product
quotas = 1./cumprod(fliplr(LDI_CL)); #calcs cumulated quota
quotas (n) = 1; #last value is 1
quotas = fliplr(shift(quotas,1));
end