Related papers: Generalized Gambler's Ruin Problem: explicit formu…
Tournaments can be used to model a variety of practical scenarios including sports competitions and elections. A natural notion of strength of alternatives in a tournament is a generalized king: an alternative is said to be a $k$-king if it…
How do large-scale participants in parimutuel wagering events affect the house and ordinary bettors? A standard narrative suggests that they may temporarily benefit the former at the expense of the latter. To approach this problem, we begin…
Stochastic games are an important class of problems that generalize Markov decision processes to game theoretic scenarios. We consider finite state two-player zero-sum stochastic games over an infinite time horizon with discounted rewards.…
We consider generalized Nash equilibrium problems (GNEPs) with linear coupling constraints affected by both local (i.e., agent-wise) and global (i.e., shared resources) disturbances taking values in polyhedral uncertainty sets. By making…
We investigate the resolution of second-order, potential, and monotone mean field games with the generalized conditional gradient algorithm, an extension of the Frank-Wolfe algorithm. We show that the method is equivalent to the fictitious…
We study the complexity of several combinatorial problems in the model of binary networked public goods games. In this game, players are represented by vertices in a network, and the action of each player can be either investing or not…
In a generalized tournament, players may have an arbitrary number of matches against each other and the outcome of the games is measured on a cardinal scale with a lower and upper bound. An axiomatic approach is applied to the problem of…
We study a ruin problem for an annuity model where a fixed fraction of capital is invested in a risky asset. Under weak assumptions on jumps, the ruin probability solves a second-order integro-differential equation and decays as a power…
Parisian ruin probability in the classical Brownian risk model, unlike the standard ruin probability can not be explicitly calculated even in one-dimensional setup. Resorting on asymptotic theory, we derive in this contribution an…
Generalizing a problem posed by Cover, we propose an adversarial game in which a permutation is incrementally constructed in a setting of partial information. As in the secretary problem, this permutation is exposed in stages via the…
In ruin theory, the net profit condition intuitively means that the incurred random claims on average do not occur more often than premiums are gained. The breach of the net profit condition causes guaranteed ruin in few but simple cases…
Generalized Geography is a combinatorial game played on a directed graph. Players take turns moving a token from vertex to vertex, deleting a vertex after moving the token away from it. A player unable to move loses. It is well known that…
This paper studies risk balancing features in an insurance market by evaluating ruin probabilities for single and multiple components of a multivariate compound Poisson risk process. The dependence of the components of the process is…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
Recently, Press and Dyson have proposed a new class of probabilistic and conditional strategies for the two-player iterated Prisoner's Dilemma, so-called zero-determinant strategies. A player adopting zero-determinant strategies is able to…
Based on a discrete version of the Pollaczeck-Khinchine formula, a general method to calculate the ultimate ruin probability in the Gerber-Dickson risk model is provided when claims follow a negative binomial mixture distribution. The…
In this paper we study the joint ruin problem for two insurance companies that divide between them both claims and premia in some specified proportions (modeling two branches of the same insurance company or an insurance and re-insurance…
The laws of chance are often subtle and deceptive. This is why games of chance work. People are convinced that they obey seemingly intuitive laws, while the underlying mathematical structure reveals a different and more complex reality.…
A common theme in mathematics is to define generalized solutions to deal with problems that potentially do not have solutions. A classical example is the introduction of least squares solutions via the normal equations associated with a…
Consider two insurance companies (or two branches of the same company) that divide between them both claims and premia in some specified proportions. We model the occurrence of claims according to a renewal process. One ruin problem…