  This paper considers optimal control problem of a large insurance company
under a fixed insolvency probability. The company controls proportional
reinsurance rate, dividend pay-outs and investing process to maximize the
expected present value of the dividend pay-outs until the time of bankruptcy.
This paper aims at describing the optimal return function as well as the
optimal policy. As a by-product, the paper theoretically sets a risk-based
capital standard to ensure the capital requirement of can cover the total risk.
