This book presents an up-to-date overview of the theory as well as the empirics of the relationship between investment …, the authors discuss both traditional investment models with uncertainty and the more modern option based models. They … present an overview of empirical results of the modelling of investment under uncertainty. In these examples, the effects of …

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 …

This paper is devoted to the study of optimization of investment, consumption and proportional reinsurance for an … which are non-Markovian in general. Very general constraints are imposed on the investment and the proportional reinsurance …