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