In this study, we take the risk reserve of an insurance company to follow Brownian motion with drift and tackle an optimal portfolio selection problem of the company. The investment case considered was insurance company that trades two assets: the money market account (bond) growing at a rate r and a risky stock with an investment behavior in the presence of a stochastic cash flow or a risk process, continuously in the economy. Our focus was on obtaining investment strategies that are optimal in the sense of optimizing the probability of survival of the company. In particular we solved for the strategy that optimizes the probability of achieving a given upper wealth level before hitting a given lower level. We established among others that, the optimized investment in the assets and optimal value function of the probability of survival are dependent on the wealth. It is recommended that the managers of the assets of the insurance company should take into consideration this horizon dependency when making policy decisions.
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