Jackknife empirical likelihood method for some risk measures and related quantities
AbstractQuantifying 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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Bibliographic InfoArticle provided by Elsevier in its journal Insurance: Mathematics and Economics.
Volume (Year): 51 (2012)
Issue (Month): 1 ()
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Web page: http://www.elsevier.com/locate/inca/505554
Confidence interval; Jackknife empirical likelihood; Risk measure;
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