Related papers: Delayed Gambler's Ruin
In this paper we investigate continuity properties for ruin probability in the classical risk model. Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin. These results are also…
Individuals are often faced with temptations that can lead them astray from long-term goals. We're interested in developing interventions that steer individuals toward making good initial decisions and then maintaining those decisions over…
The dueling bandit problem, an essential variation of the traditional multi-armed bandit problem, has become significantly prominent recently due to its broad applications in online advertising, recommendation systems, information…
Using the results of precise large deviation and renewal theory for widely dependent random variables, this paper obtains the asymptotic estimation of the random-time ruin probability and the uniform asymptotic estimation of finite-time…
We consider the classical one-dimensional random walk of a particle on the right-half real line. We assume that the particle is initially at position x=k, k > 0, and moves to the right with probability p or to the left with probability 1-p.…
In these notes, we present some methods and applications of large deviations to finance and insurance. We begin with the classical ruin problem related to the Cramer's theorem and give en extension to an insurance model with investment in…
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…
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…
We investigate the Levy insurance risk model with tax under Cram\'er's condition. A direct analogue of Cram\'er's estimate for the probability of ruin in this model is obtained, together with the asymptotic distribution, conditional on ruin…
A gambler moves between the vertices $1, \ldots, n$ of a graph using the probability distribution $p_{1}, \ldots, p_{n}$. Multiple cops pursue the gambler on the graph, only being able to move between adjacent vertices. We investigate the…
We study the following game. Three players start with initial capitals of $s_{1},s_{2},s_{3}$ dollars; in each round player $P_{m}$ is selected with probability $\frac{1}{3}$; then \emph{he} selects player $P_{n}$ and they play a game in…
We develop an approach to solve Barberis (2012)'s casino gambling model in which a gambler whose preferences are specified by the cumulative prospect theory (CPT) must decide when to stop gambling by a prescribed deadline. We assume that…
In online betting, the bookmaker can update the payoffs it offers on a particular event many times before the event takes place, and the updated payoffs may depend on the bets accumulated thus far. We study the problem of bookmaking with…
We consider continuous time risk processes in which the claim sizes are dependent and non-identically distributed phase-type distributions. The class of distributions we propose is easy to characterize and allows to incorporate the…
We study variants of a stochastic game inspired by backgammon where players may propose to double the stake, with the game state dictated by a one-dimensional random walk. Our variants allow for different numbers of proposals and different…
Consider a surplus process which both of collected premium and payed claim size are two independent compound Poisson processes. This article derives two approximated formulas for the ruin probability of such surplus process, say double…
Delay games are two-player games of infinite duration in which one player may delay her moves to obtain a lookahead on her opponent's moves. We consider delay games with winning conditions expressed in weak monadic second order logic with…
One of the most direct human mechanisms of promoting cooperation is rewarding it. We study the effect of sharing a reward among cooperators in the most stringent form of social dilemma, namely the Prisoner's Dilemma. Specifically, for a…
The ruin probability in the classical Brownian risk model can be explicitly calculated for both finite and infinite-time horizon. This is not the case for the simultaneous ruin probability in two-dimensional Brownian risk model. Resorting…
Stochastic resetting -- the intermittent restart of random processes -- has profoundly reshaped first-passage theory, providing a mechanism to control and optimize completion times. While the influence of resetting on mean first-passage…