  Major events like natural catastrophes or the COVID-19 crisis have impact
both on the financial market and on claim arrival intensities and claim sizes
of insurers. Thus, when optimal investment and reinsurance strategies have to
be determined it is important to consider models which reflect this dependence.
In this paper we make a proposal how to generate dependence between the
financial market and claim sizes in times of crisis and determine via a
stochastic control approach an optimal investment and reinsurance strategy
which maximizes the expected exponential utility of terminal wealth. Moreover,
we also allow that the claim size distribution may be learned in the model. We
give comparisons and bounds on the optimal strategy using simple models. What
turns out to be very surprising is that numerical results indicate that even a
minimal dependence which is created in this model has a huge impact on the
control in the sense that the insurer is much more prudent then.
