3 papers
math.ST2026
Weighted Chernoff information and optimal loss exponent in context-sensitive hypothesis testing
Mark Kelbert, El'mira Yu. Kalimulina
We study binary hypothesis testing for i.i.d. observations under a multiplicative context weight. For the optimal weighted total loss, defined as the sum of weighted type-I and typ…
math.PR2026
Uniform Lorden-type bounds for overshoot moments for standard exponential families: small drift and an exponential correction
El'mira Yu. Kalimulina, Mark Ya. Kelbert
We study the overshoot \(R_b=S_{Ï(b)}-b\) of a random walk with independent identically distributed increments from a standardised one-parameter exponential family, with primary e…
math.OC2025
An Optimal Periodic Dividend and Risk Control Problem for an Insurance Company
Mark Kelbert, Harold A. Moreno-Franco
We study the problem of optimal risk policies and dividend strategies for an insurance company operating under the constraint that the timing of shareholder payouts is governed by…