Peng, Xingchun; Chen, Fenge; Hu, Yijun - In: Insurance: Mathematics and Economics 59 (2014) C, pp. 222-234
This paper considers the optimal investment, consumption and proportional reinsurance strategies for an insurer under model uncertainty. The surplus process of the insurer before investment and consumption is assumed to be a general jump–diffusion process. The financial market consists of one...