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The AAI's wealth process is assumed to be two dependent classes of insurance business. He/she can purchase excess-of-loss reinsurance from the reinsurer and invest in a risk-free asset and a risky asset whose price follows Heston model. We obtain the explicit expressions of the optimal excess-of-loss reinsurance and investment strategy by maximizing the expected exponential utility of AAI's terminal wealth. Finally, we give the proof of the verification theorem. 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