摘要： A robust optimal proportional reinsurance and investment management problem is studied for a general insurance company which holds shares of an insurance company and a reinsurance company. Both the insurance company and reinsurance company are allowed to invest in a risk-free asset and a risky asset with stochastic interest rate and stochastic volatility, in which the interest rate is described by an affine model. Besides, the general insurance company's manager is an ambiguity-averse manager who worries about model uncertainty. By employing the dynamic programming approach, the explicit formulae is derived for the optimal robust reinsurance-investment strategy and the optimal value function, and one special case is discussed subsequently. Finally, a part of numerical examples is presented to illustrate the effects of model parameters.