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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Volume (Year): 51 (2012)
Issue (Month): 1 ()
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