Again, this answer is about the teaching of the Buddha. Actually it's not so much about being in this world, as about the sufferings associated with birth, old age, sickness and death, coming around over and over, as well as many other forms of suffering, anxiety and unsatisfactoriness.

It's not really about either ceasing to exist or trying to escape to some other realm of existence.

And what Buddha taught, as things we can come to see for ourselves, was rather that first, it's not possible to establish permanent happiness in dependence on our bodies and the other impermanent changeable things. That is kind of obvious.

A bit less obviously though, this means that this dukkha or "unsatisfactoriness" covers things that are normally thought of as pure unadulterated happiness. States of bliss, pure joy. Even those, though they are not suffering in any ordinary sense, yet if they are based on transient conditions, don't solve all your problems and so though you may experience stainless bliss, still are not totally, ultimately satisfactory because at some point they come to an end.

He taught, as something again that you can find out for yourself, that we can never find a permanent solution to all our problems like this. There are many happy states, and it's great when anyone finds some measure of happiness, but there is no "happy ever after" state dependent on conditions in this way.

Then he taught the possibility of cessation of this suffering and unsatisfactoriness. Which basically is to do with not fooling yourself and relating to everything as it is. To see the impermanence of everything.

Along with that, he said that as you see this impermanence and changing nature of things more and more clearly, you can also come to see that you yourself also don't exist as you thought you did.

Obviously I do exist as a person, in the ordinary sense, as did Buddha also. He taught for many years after he reached enlightenment.

But he said that you can come to realize that in some sense, you have been fooling yourself for years. That you have been grasping to an idea of a self, existing in a sense in which it can't exist and doesn't exist.

So - it's important to realize here that this is not saying  that there is anything you need to get rid of. That's the most common misunderstanding of the Buddha's teaching, that he was teaching a path that involves getting rid of something.

Trying to rid yourself of your self is a fool's errand, a hopeless quixotic task that just reinforces your sense of self even stronger, as the one who is trying to get rid of it.

"Don Quixote, his horse Rocinante and his squire Sancho Panza after an unsuccessful attack on a windmill. By Gustave Doré."

Trying to get rid of your self is a bit like "tilting at windmills" :). (here "tilting" means running at it with a lance as in medieval jousting) Don Quixote

Instead Buddha said at some point you may realize that it never was there in the sense you thought it was. There is nothing to get rid of because there never was anything there in the sense you thought there was.

Then he taught a path leading to this realization.

So - far from being about escaping from this world, or trying to cease to exist, it's about relating to things as they are, exactly as they are. It's removing the thick skin we surround ourselves with. Trungpa Rinpoche described it memorably as like swallowing a baby hedgehog.

It's actually about connecting more to this world, and being more open to it than ever before. It's almost the opposite of the isolationist ideas of trying to cease to exist, or to  try to shut everything and everyone else out, or to escape from this world to some other "better place" or to become some kind of a better being than you are now.

It's a path of wisdom, openness, compassion, a kind of softness and directness, and clarity. And about seeing or realizing truth for yourself.

And in the Mahayana traditions especially there are many stories about enlightened beings taking birth, or in other ways relating directly to suffering beings on the path. Even with Buddha himself, though he entered paranirvana and said he will never take rebirth again - yet it's said in the Mahayana traditions - if you have the right connection you can be inspired by reading his sutras, and you can connect to him as if you were there, right back at the time he was teaching.  Time and space are perhaps not as strictly linear as we think of them, maybe they are more fluid.

Also, none of us, or few of us at least, directly know about rebirths through our own understanding. Buddha actually warned against thinking over much about such questions as who you were in a previous life or who you will be in your next life, as tending to emesh you in a tangle of ideas.

Buddha taught a path of "come and see", and there's no creed to assert. It's okay to believe in past and future lives, just as we believe in many other things we can't confirm for ourselves. In traditional Buddhist countries many will just accept that as the beliefs they were brought up with, or that make most sense to them, and there's nothing wrong with that :).

But the best approach is to have an open mind, that you don't really know what happens when you die, just as with so much else you don't know. Especially in the Zen tradition, though they have this context of the background of past and future lives just as in all the other  main Buddhist traditions, yet, it's not emphasized in the same way, and the teachings, especially their koans, tend to be much more about an open mind and acknowledging that there are many things you don't know. That's part of the path to true wisdom. Indeed I think some Zen teachers would say that it is all of the path to true wisdom :).