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Asset and liability modelling for participating policies with guarantees Andrea Consiglio a,*, Flavio Cocco b, Stavros A. Zenios c,d a University of Palermo, Dipt.to Scienze St. Mat. Silvio Vianeli, V.le delle Scienze, 90128 Palermo, Italy b Prometeia S.p.A., Bologna, Italy c University of Cyprus, Nicosia, Cyprus d The Financial Institutions Center, The Wharton School, Philadelphia, USA Received 8 March 2006; accepted 24 January 2007