If you can fit the rotor on, you might just want to forget the set screw and just install the caliper, and bolt the wheel back on. Shouldn't make too much of a difference once the lug bolts are torqued.

Can you try to extract it from the back of the hub?

I tried deanyel's suggestion but there was not much sticking out the back and what little there was broke off when I tried to twist. I drillled on it until my battery went dead with little progress. I may just live without it. BTW, Oreiley's Auto parts has a flare wrench set whch includes an 11mm to remove the brake hoses. Most of the other parts houses have flare wrench sets which do not include an 11mm.