Researchers in actuarial sciences have investigated the tail behavior of the LCR and ECOMOR reinsurance treaties separately for managing extreme risks in reinsurance business. In practice, a reinsurance company may possess these two treaties simultaneously. Therefore, investigating the joint...

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...