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A certain proportion of reinsurance can be taken out by each insurer to control his own risk. Moreover, each insurer can invest in a risk-free asset and risk asset with the price dramatically following the constant elasticity of variance (CEV) model. Based on the principle of dynamic programming, a general framework regarding Nash equilibrium for nonzero-sum games is established. For the typical case of exponential utilization, we, respectively, give the explicit solutions of the equilibrium strategy as well as the equilibrium function. 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