A number of optimal decision problems with uncertainty can be formulated into a stochastic optimal control framework. The Least-Squares Monte Carlo (LSMC) algorithm is a popular numerical method to approach solutions of such stochastic control problems as analytical solutions are not tractable...

An innovative cumulative distribution function (CDF) based method is proposed for deriving optimal reinsurance contracts to maximize an insurer's survival probability. The optimal reinsurance model is a non-concave constrained stochastic maximization problem, and the CDF based method transforms...