Related papers: Delayed Gambler's Ruin
We compare games under delayed control and delay games, two types of infinite games modelling asynchronicity in reactive synthesis. In games under delayed control both players suffer from partial informedness due to symmetrically delayed…
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…
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [1] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In…
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. The objective function is given by the…
Recent work has considered natural variations of the multi-armed bandit problem, where the reward distribution of each arm is a special function of the time passed since its last pulling. In this direction, a simple (yet widely applicable)…
In this work, we consider extensions of the dual risk model with proportional gains by introducing a dependence structure between gain sizes and gain interrarrival times. Among others, we further consider the case where the proportional…
This paper discusses the gambling contest introduced in Seel & Strack (Gambling in contests, Discussion Paper Series of SFB/TR 15 Governance and the Efficiency of Economic Systems 375, Mar 2012.) and considers the impact of adding a penalty…
We demonstrate the usefulness of adding delay to infinite games with quantitative winning conditions. In a delay game, one of the players may delay her moves to obtain a lookahead on her opponent's moves. We show that determining the winner…
Retirees who exhaust their savings while still alive are said to experience financial ruin. These savings are typically grown during the accumulation phase then spent during the retirement decumulation phase. Extensive research into…
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 consider the classical optimal dividends problem under the Cram\'er-Lundberg model with exponential claim sizes subject to a constraint on the time of ruin. We introduce the dual problem and show that the complementary slackness…
We propose a new best-of-both-worlds algorithm for bandits with variably delayed feedback. In contrast to prior work, which required prior knowledge of the maximal delay $d_{\mathrm{max}}$ and had a linear dependence of the regret on it,…
People often deviate from expected utility theory when making risky and intertemporal choices. While the effects of probabilistic risk and time delay have been extensively studied in isolation, their interplay and underlying theoretical…
In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps. The objective is to find a policy which maximizes the…
The classical Cram\'er-Lundberg risk process models the ruin probability of an insurance company experiencing an incoming cash flow - the premium income, and an outgoing cash flow - the claims. From a system's viewpoint, the web of…
Prophet inequalities are a central object of study in optimal stopping theory. A gambler is sent values in an online fashion, sampled from an instance of independent distributions, in an adversarial, random or selected order, depending on…
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.…
Distributed delay equations have been used to model situations in which there is some sort of delay whose duration is uncertain. However, the interpretation of a distributed delay equation is actually very different from that of a delay…
In public transport networks disruptions may occur and lead to travel delays. It is thus interesting to determine whether a traveler can be resilient to delays that occur unexpectedly, ensuring that they can reach their destination in time…
In $\mathcal{X}$-armed bandit problem an agent sequentially interacts with environment which yields a reward based on the vector input the agent provides. The agent's goal is to maximise the sum of these rewards across some number of time…