* The Idea Factory (https://en.wikipedia.org/wiki/The_Idea_Factory) includes info on Kelly (https://en.wikipedia.org/wiki/Kelly_criterion) as well as Shannon.

* A Mind at Play (https://en.wikipedia.org/wiki/A_Mind_at_Play) is a bio of Shannon. I think a much better bio could be written, but this is all we have.

* "Information Theory" by Cover and Thomas is a mathematical introduction to information theory. This is a technical book, and is very different than the books above.

If you haven't yet done so, read Shannon's paper as linked above