bootruin (version 1.2-4)

rpjack: A Jackknife Estimator of the Standard Error of the Probability of Ruin

Description

This function computes the jackknife estimator of the standard error of the estimator of the probability of ruin given observed claims.

Usage

rpjack(x, ...)

Arguments

x

A vector or a matrix of numeric data.

...

Further options that are passed on to ruinprob.

Value

A numeric vector of length ncol(as.matrix(x)).

Details

If x is a vector of observed claims, for each element of x the probability of ruin is estimated with said element of x left out. The resulting vector of ruin probabilities has the same length as x, and its standard error, properly rescaled, is used to approximate the standard error of the estimator of the probability of ruin of x.

This procedure is applied column-wise if x is a matrix.

References

Efron, B. and Tibshirani, R. (1993) An Introduction to the Bootstrap. Chapman and Hall.

Tukey, J. W. (1958) Bias and Confidence in Not Quite Large Samples. The Annals of Mathematical Statistics, 29(2), p. 614.

Quenouille, M. H. (1956) Note on Bias in Estimation. Biometrika, 43, pp. 353--360.

See Also

ruinprob for valid options that can be used for ....