Minimizing expected time to reach a given capital level before ruin

Abstract

In this paper, we consider the optimal investment and reinsurance problem for an insurance company where the claim process follows a Brownian motion with drift. The insurer can purchase proportional reinsurance and invest its surplus in one risky asset and one risk-free asset. The goal of the insurance company is to minimize the expected time to reach a given capital level before ruin. By using the Hamilton-Jacobi-Bellman equation approach, we obtain explicit expressions for the value function and the optimal strategy. We also provide some numerical examples to illustrate the results obtained in this paper, and analyze the sensitivity of the parameters.