Jackknife empirical likelihood method for some risk measures and related quantities

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.

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Year of publication:	2012
Authors:	Peng, Liang ; Qi, Yongcheng ; Wang, Ruodu ; Yang, Jingping
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 51.2012, 1, p. 142-150
Publisher:	Elsevier
Subject:	Confidence interval \| Jackknife empirical likelihood \| Risk measure

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010572726