<p>In this paper, we propose and solve an optimal reinsurance and protection problem for the classical Cramér–Lundberg model in the continuous-time setting. Suppose that the insurer can purchase per-loss reinsurance and invest in the prevention fund to reduce the claim risk, and the reinsurance premium is determined via the mean-standard-deviation premium principle. Under the time-inconsistent mean-variance criterion, the equilibrium reinsurance and protection strategies, as well as the value function, are derived explicitly by solving the extended Hamilton–Jacobi–Bellman system in a game framework. With the help of Lagrange duality, we transform the original optimization problem into an auxiliary optimization problem with constraint and build the relationship between them. Moreover, the necessary condition for protection to be effective has been identified. Finally, we illustrate the influence of model parameters on the optimal results for both the light-tailed and heavy-tailed risks, and reveal the significance of the reinsurance and protection businesses.</p>