This paper considers an optimal investment problem for both insurer and reinsurer. The insurer is allowed to purchase proportional reinsurance and both the insurer and reinsurer are allowed to invest in a risk-free asset and a risky asset whose price process satisfies the Heston's stochastic volatility model. Firstly, we establish the objective function in the sense of maximizing the exponential utility of both the insurer and reinsurer on terminal wealth; Secondly, by solving the Hamilton-Jacobi-Bellman system, the closed-form expressions for the optimal reinsurance and investment strategies and the optimal value function are obtained; Finally, some numerical illustrations and sensitivity analysis for the proposed theoretical results are provided.