To study the optimal utility problem of insurance companies,based on previous literatures about the investment portfolios of bonds,stocks and optimal reinsurance,the real estate and the stochastic income model received by leasing the real estate were analyzed,and the optimal investment portfolio and optimal reinsurance strategy with real estate were derived.By the dynamic programming principle and establishing the Hamilton-Jacobi-Bellman equation,solving the explicit solution of the optimal investment,reinsurance strategy and optimal value function,by the verification theorem,the classical solution of the Hamilton-Jacobi-Bellman equation was shown to be the optimal value function.The research results quantify the impact of variables such as time,wealth value,interest rates,and stock prices on the optimal strategy and company utility,which has certain economic significance.
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