For regression on state and transition probabilities in multi-state models Andersen et al. (Biometrika 90:15-27, 2003) propose a technique based on jackknife pseudo-values. In this article we analyze the pseudo-values suggested for competing risks models and prove some conjectures regarding their asymptotics (Klein and Andersen, Biometrics 61:223-229, 2005). The key is a second order von Mises expansion of the Aalen-Johansen estimator which yields an appropriate representation of the pseudo-values. The method is illustrated with data from a clinical study on total joint replacement. In the application we consider for comparison the estimates obtained with the Fine and Gray approach (J Am Stat Assoc 94:496-509, 1999) and also time-dependent solutions of pseudo-value regression equations.