  This paper is concerned with an optimal reinsurance and investment problem
for an insurance firm under the criterion of mean-variance. The driving
Brownian motion and the rate in return of the risky asset price dynamic
equation cannot be directly observed. And the short-selling of stocks is
prohibited. The problem is formulated as a stochastic linear-quadratic (LQ)
optimal control problem where the control variables are constrained. Based on
the separation principle and stochastic filtering theory, the partial
information problem is solved. Efficient strategies and efficient frontier are
presented in closed forms via solutions to two extended stochastic Riccati
equations. As a comparison, the efficient strategies and efficient frontier are
given by the viscosity solution for the Hamilton-Jacobi-Bellman (HJB) equation
in the full information case. Some numerical illustrations are also provided.
