This function computes the jackknife estimator of the standard error of the estimator of the probability of ruin given observed claims.
A vector or a matrix of numeric data.
Further options that are passed on to
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
This procedure is applied column-wise if
x is a matrix.
A numeric vector of length
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
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.
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