Related papers: Extended gambler's ruin problem

We consider a modification of the dividend maximization problem from ruin theory. Based on a classical risk process we maximize the difference of expected cumulated discounted dividends and total expected discounted additional funding…

We consider a generalization of the classical risk model when the premium intensity depends on the current surplus of an insurance company. All surplus is invested in the risky asset, the price of which follows a geometric Brownian motion.…

The concept of intransitiveness for games, which is the condition for which there is no first-player winning strategy can arise surprisingly, as happens in the Penney game, an extension of the heads or tails. Since a game can be converted…

We apply the theory of linear recurrence sequences to find an expression for the ultimate ruin probability in a discrete-time risk process. We assume the claims follow an arbitrary distribution with support $\{0,1,\ldots,m\}$, for some…

We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability. In particular, we get an…

This paper considers the ruin problem with random premiums, whose densities have rational Laplace transforms, and investments in a risky asset whose price follows a geometric Brownian motion. The asymptotic behavior of the ruin probability…

We analyze the Gambler's problem, a simple reinforcement learning problem where the gambler has the chance to double or lose the bets until the target is reached. This is an early example introduced in the reinforcement learning textbook by…

We study the recovering bandits problem, a variant of the stochastic multi-armed bandit problem where the expected reward of each arm varies according to some unknown function of the time since the arm was last played. While being a natural…

This article studies in detail the solution of an integral equation due to Rongming et al. [13]. The methods involve complex analysis. As an application, we find the ruin probability of a given Bonus-Malus system in a steady state. We…

We study multidimensional Cram\'er-Lundberg risk processes where agents, located on a large sparse network, receive losses form their neighbors. To reduce the dimensionality of the problem, we introduce classification of agents according to…

We introduce a class of extensive form games where players might not be able to foresee the possible consequences of their decisions and form a model of their opponents which they exploit to achieve a more profitable outcome. We improve…

The dynamics of a single microscopic or mesoscopic non quantum system interacting with a macroscopic environment is generally stochastic. In the same way, the reduced density operator of a single quantum system interacting with a…

We consider a discrete random walk on a diagonal lattice in two and three dimensions and obtain explicit solutions of absorption probabilities and probabilities of return in several domains. In three dimensions we consider both the cube and…

In this short note, we derive explicit formulas for the joint densities of the time to ruin and the number of claims until ruin in perturbed classical risk models, by constructing several auxiliary random processes.

We study a dynamic model of a non-life insurance portfolio. The foundation of the model is a compound Poisson process that represents the claims side of the insurer. To introduce clusters of claims appearing, e.g. with catastrophic events,…

We obtain expected number of arrivals, absorption probabilities and expected time before absorption for a discrete random walk on the integers with an infinite set of equidistant multiple function barriers

For a multivariate L\'evy process satisfying the Cram\'er moment condition and having a drift vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant that is being…

The authors propose a new variation of random walks called ladder chains $L(r,s,p)$. We extend concepts such as ruin probability, hitting time, transience and recurrence of random walks to ladder chain. Take $L(2,2,p)$ for instance, we find…

We introduce a betting game, where the gambler aims to guess the last success epoch from past observed data. The player may bet on the event that no further successes occur, or choose a `trap' which is any span of future times. In the…

This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…