Related papers: Generalized Gambler's Ruin Problem: explicit formu…
We used the random walk to model the problem of reserves. The classic case of a stochastic process is the example of random walks, which are used to study a set of phenomena and, particularly, as in this article, models of reserves…
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…
In this paper we give few expressions and asymptotics of ruin probabilities for a Markov modulated risk process for various regimes of a time horizon, initial reserves and a claim size distribution. We also consider few versions of the ruin…
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative…
A fundamental problem in risk management is the robust aggregation of different sources of risk in a situation where little or no data are available to infer information about their dependencies. A popular approach to solving this problem…
We explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent L\'evy-driven risk model, as time goes to infinity. Siegmund duality allows to reduce the pro blem to long-term convergence of a…
The topic of the present paper is a generalized St.\ Petersburg game in which the distribution of the payoff $X$ is given by $P(X=sr^{k-1})=pq^{k-1}$, $k=1,2,\ldots$, where $p+q=1$, and $s,\,r>0$. As for main results, we first extend…
Using Kolmogorov Game Derandomization, upper bounds of the Kolmogorov complexity of deterministic winning players against deterministic environments can be proved. This paper gives improved upper bounds of the Kolmogorov complexity of such…
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.…
In this paper, we study finite-time ruin probabilities for the compound Markov binomial risk model - a discrete-time model where claim sizes are modulated by a finite-state ergodic Markov chain. In the classic (non-modulated) case, the risk…
We introduce a "high probability" framework for repeated games with incomplete information. In our non-equilibrium setting, players aim to guarantee a certain payoff with high probability, rather than in expected value. We provide a high…
We consider an extension of a noncooperative game problem where players have joint binding constraints. In this case, justification of a generalized equilibrium point needs a reasonable mechanism for attaining this state. We suggest to…
We study an elementary two-player card game where in each round players compare cards and the holder of the smallest card wins. Using the rate equations approach, we treat the stochastic version of the game in which cards are drawn…
We introduce a simple extensive-form algorithm for finding equilibria of two-player, zero-sum games. The algorithm is realization equivalent to a generalized form of Fictitious Play. We compare its performance to that of a similar…
We introduce a notion of $k$th order stochastic monotonicity and duality that allows one to unify the notion used in insurance mathematics (sometimes refereed to as Siegmund's duality) for the study of ruin probability and the duality…
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…
In this paper, we study the ruin problem with investment in a general framework where the business part X is a L{\'e}vy process and the return on investment R is a semimartingale. We obtain upper bounds on the finite and infinite time ruin…
We revisit the game in which each of several players chooses a pattern and then a coin is flipped repeatedly until one of these patterns is generated. In particular, we demonstrate how to compute the probability of any one player winning…
We study the discrete time risk process modelled by the skip-free random walk and we derive the results connected to the ruin probability, such as crossing the fixed level, for this kind of process. We use the method relying on the…
Ensuring the security of networked systems is a significant problem, considering the susceptibility of modern infrastructures and technologies to adversarial interference. A central component of this problem is how defensive resources…