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I don't have any links or statistics, but if we're talking about countries with the highest gambling rates in the world (not the number of gamblers), I think Las Vegas in the United States still leads the world in terms of gambling.
However, I would also mention Macau in China as the city or district with the highest gambling rate in the world and its closest competitor to Las Vegas in the United States.
I agree, these cities are famous for it's capital for gambling. No doubts. Macau is the Las Vegas of Asia. I have some friends working in Macau, and they said it's really full of casinos and the gambling rate is extremely high.
But for me, these cities are also helping the country to generate more revenue.