An optimal investment strategy aimed at maximizing the expected utility across all intermediate capital levels

Abstract: This study investigates an optimal investment problem for an insurance company operating under the Cramer-Lundberg risk model, where investments are made in both a risky asset and a risk-free asset. In contrast to other literature that focuses on optimal investment and/or reinsurance strategies to maximize the expected utility of terminal wealth within a given time horizon, this work considers the expected value of utility accumulation across all intermediate capital levels of the insurer. By employing the Dynamic Programming Principle, we prove a verification theorem, in order to show that any solution to the Hamilton-Jacobi-Bellman (HJB) equation solves our optimization problem. Subject to some regularity conditions on the solution of the HJB equation, we establish the existence of the optimal investment strategy. Finally, to illustrate the applicability of the theoretical findings, we present numerical examples.