Abstract: This paper studies the optimal reinsurance-investment strategy of insurance companies and reinsurance companies aiming at maximizing the common interests of insurance companies and reinsurance companies under the Heston model in which the price of risky assets obeys the Heston model in the financial market environment considering bond defaults. According to the CARA utility function, the corresponding HJB equations are established for the pre-default case and post-default case, and finally the relevant parameters are analyzed for the optimal reinsurance-investment of the two companies. The results show that the relevant parameters in the Heston model have a certain impact on the investment of insurance companies and reinsurance companies in risk assets and defaultable bonds.

Key words: Heston model, defaultable bonds, HJB equation, stochastic control