Sophisticated gamblers ruin and survival chances
Applications
2014-03-25 v1 Statistics Theory
Risk Management
Statistics Theory
Abstract
This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.
Keywords
Cite
@article{arxiv.1403.5833,
title = {Sophisticated gamblers ruin and survival chances},
author = {Salil Mehta},
journal= {arXiv preprint arXiv:1403.5833},
year = {2014}
}