David Letterman has laughed off a death threat he received from a jihadist.

The TV host - who was last week threatened by an anti-Semitic rant on a web forum saying he should be punished for joking about Al Qaeda leader Ilyas Kashmiri, who was killed during a US strike in Pakistan - quipped he had been "talking to the guy from CBS" to see if his life insurance policy included jihad.

He told the crowd inside the Ed Sullivan Theater as the host opened his 'Late Show' monologue: "We were going through the CBS life insurance policy to see if I was covered for jihad."

The 64-year-old comedian later said his audience was more like a "human shield" to protect him from a potential threat.

He added: "We have a great audience night in and night out, but, honestly, tonight you mean a lot to me.

"You people are more than an audience tonight, really. You're more like a human shield."