Improved analytical bounds for gambler's ruin probabilities

DOI10.1007/S11009-005-6656-4zbMATH Open1078.60016OpenAlexW2049187745MaRDI QIDQ2487761FDOQ2487761

Authors: Werner Hürlimann 

Publication date: 8 August 2005

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-005-6656-4

Recommendations

• Bounds on gambler's ruin probabilities in terms of moments
• Improved Asymptotics for Ruin Probabilities
• Some improvements on the Lundberg bound for the ruin probability
• Extensions of gambler's ruin with even odds: multinomial and other models
• Gambler's ruin estimates on finite inner uniform domains
• scientific article; zbMATH DE number 1565823

zbMATH Keywords

random walk\(s\)-convex stochastic ordergamblingextremal distribution

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Probabilistic games; gambling (91A60)

Cites Work

• Title not available (Why is that?)
• Extremal generators and extremal distributions for the continuous \(s\)-convex stochastic orderings
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• On \(s\)-convex stochastic extrema for arithmetic risks
• The s-convex orders among real random variables, with applications
• Title not available (Why is that?)
• Bounds on gambler's ruin probabilities in terms of moments
• A rule of thumb (not only) for gamblers

Cited In (8)

• Deciding when to quit the gambler's ruin game with unknown probabilities
• Moment bounds on discrete expected stop-loss transforms, with applications
• Extinction in a branching process: why some of the fittest strategies cannot guarantee survival
• Robust distortion risk measures
• Local Moment Matching and S-convex Extrema
• Gambler's ruin probability -- a general formula
• Bounds on gambler's ruin probabilities in terms of moments
• Extensions of gambler's ruin with even odds: multinomial and other models

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