We examine the optimal time to merge two first-line insurers with proportional reinsurance policies. The problem is considered in a diffusion approximation model. The objective is to maximize the survival probability of the two insurers. First, the verification theorem is verified. Then, we divide the problem into two cases. In case 1, never merging is optimal and the two insurers follow the optimal reinsurance policies that maximize their survival probability. In case 2, the two insurers follow the same reinsurance policies as those in case 1 until the sum of their surplus processes reaches a boundary. Then, they merge and apply the merged company's optimal reinsurance strategy.
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