rpjack: A Jackknife Estimator of the Standard Error of the...

In bootruin: A Bootstrap Test for the Probability of Ruin in the Classical Risk Process

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.

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.

Value

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

Note

The calculation of the jackknife standard error can be computationally intensive. In most cases the computation time can be drastically reduced at the price of a slightly lower accuracy, viz. a higher value for the interval argument of ruinprob.

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 ....

bootruin documentation built on May 2, 2019, 10:23 a.m.