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Optimization under rational expectations : a framework of fully coupled forward-backward stochastic linear quadratic systems

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A Backward Simulation Method for Stochastic Optimal Control Problems

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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...

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Enhancing insurer value using reinsurance and value-at-risk criterion

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Optimal investment strategies for participating contracts

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