<p style='text-indent:20px;'>In this paper, we study the robust optimal asset- problems for an ambiguity-averse investor, who does not have perfect information in drift terms of risky asset and liability processes. Two different kinds objectives are considered: <inline-formula><tex-math id="M1">\begin{document}$ (i) $\end{document}</tex-math></inline-formula> Maxim...

We present the first step in a program to develop a comprehensive, unified equilibrium theory of asset and liability pricing. We give a mathematical framework for pricing insurance products in a multiperiod financial market. This framework reflects classical economic principles (like utility maximization) and generates pricing algorithms for non-hedgeable insurance risks.