This paper aims at shedding some light on the interplay between two key risk factors affecting most life insurance products, namely biometric and investment risk. We enhance the pioneering model by Briys and de Varenne, featuring a stylized participating life insurance company by explicitly tying benefits to the survivorship of a cohort of policyholders. In particular, we allow for the two main components of biometric risk, that is systematic (longevity) risk and diversifiable (process) risk.
