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...

This paper is devoted to the study of optimization of investment, consumption and proportional reinsurance for an insurer with option type payoff at the terminal time under the criterion of exponential utility maximization. The surplus process of the insurer and the financial risky asset process...