Decrease of capital guarantees in life insurance products: Can reinsurance stop it?

We analyze the potential of reinsurance for reversing current trend decreasing capital guarantees in life insurance products. Providing an insurer with opportunity to shift part financial risk a reinsurer, we solve insurer's dynamic investment-reinsurance optimization problem under simultaneous Value-at-Risk and no-short-selling constraints. introduce concept guarantee-equivalent utility gain use it compare products without reinsurance. Our numerical studies indicate that optimally managed allows offer significantly higher clients any loss expected utility. The longer investment horizon less risk-averse insurer, more prominent benefit.