Jackknife empirical likelihood method for some risk measures and related quantities

Liang Peng, Yongcheng Qi, Ruodu Wang and Jingping Yang

Insurance: Mathematics and Economics, 2012, vol. 51, issue 1, 142-150

Abstract: Quantifying risks is of importance in insurance. In this paper, we employ the jackknife empirical likelihood method to construct confidence intervals for some risk measures and related quantities studied by Jones and Zitikis (2003). A simulation study shows the advantages of the new method over the normal approximation method and the naive bootstrap method.

Keywords: Confidence interval; Jackknife empirical likelihood; Risk measure (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:51:y:2012:i:1:p:142-150

DOI: 10.1016/j.insmatheco.2012.03.008

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