Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

We solve an optimal robust reinsurance problem for an ambiguity-averse insurer, who worries about ambiguity in the rate of claim occurrence and who develops an optimal robust reinsurance strategy to minimize the penalized discounted probability of ruin, in which we discount for the time of ruin. Specifically, we minimize the expectation of e−δτ1{τ