  This paper studies an optimal investment and risk control problem for an
insurer with default contagion and regime-switching. The insurer in our model
allocates his/her wealth across multi-name defaultable stocks and a riskless
bond under regime-switching risk. Default events have an impact on the distress
state of the surviving stocks in the portfolio. The aim of the insurer is to
maximize the expected utility of the terminal wealth by selecting optimal
investment and risk control strategies. We characterize the optimal trading
strategy of defaultable stocks and risk control for the insurer. By developing
a truncation technique, we analyze the existence and uniqueness of global
(classical) solutions to the recursive HJB system. We prove the verification
theorem based on the (classical) solutions of the recursive HJB system.
