We examine the long term investment problem, under stochastic interest and inflation rates and incompleteness. Four basic financial assets are available on the financial market: a money market account (the cash), a real consumption good, a financial stock index and a bond with constant maturity....

In this paper, we investigate an optimal reinsurance and investment problem for an insurer whose surplus process is approximated by a drifted Brownian motion. Proportional reinsurance is to hedge the risk of insurance. Interest rate risk and inflation risk are considered. We suppose that the...