| 摘 要： | ![]()
A robust optimal proportional reinsurance and investment management problem is studied fora general insurance company which holds shares of an insurance company and a reinsurance company. Boththe insurance company and reinsurance company are allowed to invest in a risk-free asset and a risky assetwith stochastic interest rate and stochastic volatility, in which the interest rate is described by an affinemodel. Besides, the general insurance company's manager is an ambiguity-averse manager who worriesabout model uncertainty. By employing the dynamic programming approach, the explicit formulae is derivedfor the optimal robust reinsurance-investment strategy and the optimal value function, and one special caseis discussed subsequently. Finally, a part of numerical examples is presented to illustrate the effects ofmodel parameters.
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