Equity-indexed annuities are popular insurance products whose performance depends on an underlying fund or investment portfolio that is complemented by an investment guarantee of an insurance provider. A technically complex version is a so-called cliquet-variant where a minimal annual return is...

Participating life insurance contracts allow the policyholder to participate in the annual return of a reference portfolio. Additionally, they are often equipped with an annual (cliquet-style) return guarantee. The current low interest rate environment has again refreshed the discussion on risk...