Sophisticated gambler’s ruin and survival chances

Salil Mehta ()

MPRA Paper from University Library of Munich, Germany

Abstract: This note explores the mathematical theory to solve modern gambler’s ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.

Keywords: mathematical theory; gambler’s ruin; statistics; risk; probability; bankruptcy; finance; asymmetrical views; investments (search for similar items in EconPapers)
JEL-codes: C1 G11 (search for similar items in EconPapers)
Date: 2013-11-18
New Economics Papers: this item is included in nep-hpe and nep-rmg
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https://mpra.ub.uni-muenchen.de/54731/1/MPRA_paper_54731.pdf original version (application/pdf)

Related works:
Working Paper: Sophisticated gamblers ruin and survival chances (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:54731

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