Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

► We study the optimal investment/reinsurance problem in a stock market with O-U process. ► Compared with the GBM model, this model has the features of bull and bear markets. ► The explicit expressions of the optimal values are derived in the observable case. ► We investigate the partially observable optimization problem. ► The explicit expressions of the optimal values are derived in the unobservable case.