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For a positive bounded nondecreasing utility function \\(g(x)\\) let  \\[ G(\\theta)=E\\left(\\int_0^{\\tau}g(X(t))e^{-\\lambda t}\\,dt\\right),  \\]  where \\(\\tau=\\inf\\{t>0\\colon X(t)<0\\}\\) is the time of ruin which can be considered as a subjective discount factor. The problem is to find the optimal trading strategy \\(\\widehat\\theta=\\{\\widehat\\theta(t)\\), \\(t\\geq0\\}\\) which maximizes \\(G(\\theta)\\). The value function of the problem \\(V(x)\\) is a function of the current wealth \\(x\\) alone. It satisfies the Bellman equation  \\[  \\sup_{A}\\left\\{g(x)-\\lambda V(x)+(c(x)+Aa)V'(x)+\\tfrac{1}{2}A^2b^2V''(x)\\right\\} =0,\\quad x>0.  \\]  The authors prove that this equation has a smooth solution \\(V(x)\\) which is the value function of the considered problem, and the maximizer \\(A(x)=-aV'(x)/b^2V''(x)\\) defines the optimal investment strategy in feedback form via \\(\\theta(t)=A(X(t))/Z(t)\\), \\(m(t)=A(X(t))\\) is the optimal amount of money invested into the tradeable asset, \\(X(t)\\) is the current wealth at time \\(t\\) which is the result of the trading strategy \\(\\theta(u),u<t\\).  The authors also deal with the optimization problem for the case of a stochastic discount rate \\(\\lambda(t)\\) for which they adopt the Markov chain model of \\textit{R. Norberg} [Appl. Stochastic Models Data Anal. 11, No. 3, 245--256 (1995; Zbl 1067.91509)]. Based on the obtained results the problem of optimal investment for an insurer with an insurance business modelled by a compound Poisson or a compound Cox process, under the presence of constant as well as (finite state space Markov) stochastic interest rate is 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