Before revision:  This result is contrary to the situation where the insurer maximizes the utility of the total wealth of the company (without distinguishing between contributions of equity holders and policyholders), in which case a VaR constraint may induce the insurer to take excessive risks leading to higher losses than in the case of no regulation , see Basak and Shapiro (2001). Furthermore, importantly for regulators we observe that for participating insurance contracts both relatively small or relatively large policyholder contributions yield rather risky and volatile strategies. Finally, we also discuss the regulatory effect of a portfolio insurance (PI) , and analyze different choices for the parameters of the participating contract numerically .
After revision:  This result is contrary to the situation where the insurer maximizes the utility of the total wealth of the company (without distinguishing between contributions of equity holders and policyholders), in which case a VaR constraint may induce the insurer to take excessive risks leading to higher losses than in the case of no regulation . Compared to the unregulated problem, the VaR-constrained strategy leads to a higher expected utility for the policyholders, highlighting the potential usefulness of a VaR-regulation in the context of insurance. The prudent investment behavior is more significant if a VaR-type regulation is replaced by a portfolio insurance (PI) , and analyze different choices for the parameters of the participating contract numerically .