ROC-curves are a very common tool to compare tests (in medical/clinical applications) or prediction models in general. Some time ago a former colleague Prof. Dr. Dr. meintrup.davidwrote a nice script that does ROC- and pAUC-analysis in JMP.
This is the latest version of the script and it is giving you:
ROC-curves for one or more tests
Bootstrap-, Binomial- and Kolmogroff-Confidence Bands for the ROC-curves