Description Usage Arguments Details Value Note References See Also

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

1 |

`x` |
A vector or a matrix of numeric data. |

`...` |
Further options that are passed on to |

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.

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

.

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`

.

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.

`ruinprob`

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

.

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