Regression analysis for competing risks data can be based on generalized estimating equations. For the case with right censored data, pseudo-values were proposed to solve the estimating equations. In this article we investigate robustness of the pseudo-values against violation of the assumption that the probability of not being lost to follow-up (un-censored) is independent of the covariates. Modified pseudo-values are proposed which rely on a correctly specified regression model for the censoring times. Bias and efficiency of these methods are compared in a simulation study. Further illustration of the differences is obtained in an application to bone marrow transplantation data and a corresponding sensitivity analysis.