In this paper we study the asset-liability management of an insurance company selling “participating contracts”. Participating contracts are typical insurance policies sold world- wide. The payoff of a participating policy is linked to the portfolio or the surplus of the insurance company. We examine the impact of the choice of assets’ investment strategy on the company value, its solvency, and how well the company may meet the commitments associated with its liabilities. Four strategies are investigated and compared: a simple buy-and-hold strategy, a dynamic CPPI (Constant Proportion Portfolio Insurance), an investment in Equity Default Swaps (EDS), and a protection by ways of forward-starting puts. For example it is shown that an active protection strategy by CPPI may significantly reduce the company’s default risk but is very costly to policyholders. Our study illustrates how to compare asset management strategies and how to choose the parameters of a suit- able allocation such that the policyholders’ market value is preserved and the default risk is reduced.