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Break-even loss in a double-six versus single-six game

Question

Two fair dice are thrown. Double sixes win you $100. Exactly one six (with the other die not a six) loses you \text{\char36}xx. Any other result means both dice are thrown again, repeating until one of the two deciding outcomes occurs. What is the largest xx for which the game's expected value is still non-negative?

Short answer

x=10x=10. Double six has probability 136\tfrac1{36} and exactly one six has 1036\tfrac{10}{36}; ignoring rerolls, the game ends in a win with probability 111\tfrac1{11} and a loss with 1011\tfrac{10}{11}. Requiring 10011−10x11≥0\tfrac{100}{11}-\tfrac{10x}{11}\ge0 gives x≤10x\le10.

Adapted from QuantQuestions.io; question and answer rewritten by SelfMadeQuant.com.

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