Peng, Xingchun; Hu, Yijun - In: Insurance: Mathematics and Economics 53 (2013) 2, pp. 416-428
In this paper, we study the optimal proportional reinsurance and investment strategy for an insurer that only has partial information at its disposal, under the criterion of maximizing the expected utility of the terminal wealth. We assume that the surplus of the insurer is governed by a jump...