Related papers: Delayed Gambler's Ruin
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…
Increasingly, recommender systems are tasked with improving users' long-term satisfaction. In this context, we study a content exploration task, which we formalize as a bandit problem with delayed rewards. There is an apparent trade-off in…
The paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing a…
We give elementary examples within a framework for studying decisions under uncertainty where probabilities are only roughly known. The framework, in gambling terms, is that the size of a bet is proportional to the gambler's perceived…
In the Shift-Bribery problem we are given an election, a preferred candidate, and the costs of shifting this preferred candidate up the voters' preference orders. The goal is to find such a set of shifts that ensures that the preferred…
Can deception exist in differential games? We provide a case study for a Turret-Attacker differential game, where two Attackers seek to score points by reaching a target region while a Turret tries to minimize the score by aligning itself…
In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time. The proof is based on solving…
The quality of enumeration algorithms is often measured by their delay, that is, the maximal time spent between the output of two distinct solutions. If the goal is to enumerate $t$ distinct solutions for any given $t$, then another…
We consider the simple random walk on the $N$-dimensional integer lattice from the perspective of evaluating asymptotically the duration of play in the multidimensional gambler\apost s ruin problem. We show that, under suitable rescalings,…
We propose a model of inter-bank lending and borrowing which takes into account clearing debt obligations. The evolution of log-monetary reserves of $N$ banks is described by coupled diffusions driven by controls with delay in their drifts.…
In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk model. Examples are provided when the generic claim size is…
Appropriate credit assignment for delay rewards is a fundamental challenge for reinforcement learning. To tackle this problem, we introduce a delay reward calibration paradigm inspired from a classification perspective. We hypothesize that…
In this paper, we consider the perturbed renewal risk process. Systems of integro-differential equations for the Gerber-Shiu functions at ruin caused by a claim and oscillation are established, respectively. The explicit Laplase transforms…
In this paper we consider a scenario where there are several algorithms for solving a given problem. Each algorithm is associated with a probability of success and a cost, and there is also a penalty for failing to solve the problem. The…
In this paper we develop a symbolic technique to obtain asymptotic expressions for ruin probabilities and discounted penalty functions in renewal insurance risk models when the premium income depends on the present surplus of the insurance…
We study the evolution of cooperation in the spatial public goods game, focusing on the effects that are brought about by the delayed distribution of goods that accumulate in groups due to the continuous investments of cooperators. We find…
Decision makers often need to rely on imperfect probabilistic forecasts. While average performance metrics are typically available, it is difficult to assess the quality of individual forecasts and the corresponding utilities. To convey…
The multi-armed bandit is a concise model for the problem of iterated decision-making under uncertainty. In each round, a gambler must pull one of $K$ arms of a slot machine, without any foreknowledge of their payouts, except that they are…
We introduce the concept of cumulative Parisian ruin, which is based on the time spent in the red by the underlying surplus process. Our main result is an explicit representation for the distribution of the occupation time, over a…
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing…