Optimal reinsurance and investment under common shock dependence between financial and actuarial markets

We study optimal proportional reinsurance and investment strategies for an insurance company which experiences both ordinary catastrophic claims wishes to maximize the expected exponential utility of its terminal wealth. propose a modeling setting where framework is affected by environmental factors, aggregate stock prices are subject common shocks, i.e. drastic events such as earthquakes, extreme weather conditions, or even pandemics, that have immediate impact on financial market simultaneously induce claims. Using classical stochastic control approach based Hamilton-Jacobi-Bellman equation, we provide verification result value function via solutions two backward partial differential equations characterize strategy. Finally, comparison analysis discuss effect shock dependence.