The insurance company can decide whether to purchase a proportional reinsurance according to the reinsurance price, while the reinsurance company can decide whether to accept the reinsurance contract. Then a reinsurance contract should appear as a reasonable compromise between the insurer's and the reinsurer's interest. The paper considers a reinsurance selection game problem between an insurance company and a reinsurance company for a diffusion risk model by invoking the use of the dynamic programming principle. A closed-form solutions of the reinsurance selection game problems is obtained under three cases for the insurance company and the reinsurance company with an exponential utility function. The expected surplus utilities of the insurance company and the reinsurance company can increase under some conditions. Numerical examples are also provided to illustrate how the reinsurance strategy and the reinsurance price, as well as the utility profit change when some model parameters vary.