This paper builds on one of the results of Pruzhansky [22], namely that maximin strategies guarantee the same expected payoffs as mixed Nash equilibrium strategies in bimatrix games. We present a discussion on the applicability of maximin strategies in such class of games. The usefulness of...

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Since the seminal paper of Nash (1950) game theoretic literature has focused mostly on equilibrium and not on maximin (minimax) strategies. We study the properties of these strategies in 2-player non-zero-sum strategic games, whose Nash equilibria are only mixed.