摘要： An optimal reinsurance and investment problem is investigated in a jump-diffusion financial market with state dependent risk aversion and no-shorting constraint. Assume that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. In particular, when the risk aversion depends dynamically on current wealth, the model is more realistic. Under the mean variance criterion, the problem of time inconsistency is formulated within the framework of game theory, and the perfect Nash equilibrium strategy of subgame is sought. By applying stochastic control approach, the optimal reinsurance and investment strategies explicitly are derived. Finally, some numerical examples are
presented to show the impact of model parameters on the optimal results.