In recent years, risk management has become increasingly important, particularly due to the implementation of the Solvency II Directive in Austrian law. In the field of insurance, economic success is directly related to the management of risks. Against this background, this paper examines the importance of the compliance function in portfolio risk management of endowment insurance. Initially, an overview of the development of the accrual-based approach is given, which leads into a representation of the risk-based approach in the new VAG 2016. Following this, the compliance function and the peculiarities in portfolio risk management, including risk assessment in general, are presented theoretically. Here, the basic strategy directions for risk optimization are worked out, and different risk assessment methods are presented. Next, the concrete process of inventory (portfolio is used above) risk management is described using the example of localization of risks in the internal market of the European Union, and the practical application of selected quantitative risk assessment methods is compared. In a second example, a problem is dealt with on the basis of the Endress case, wherein the policyholder has not been informed about his entitled right of withdrawal in connection with the conclusion of a life insurance. It is analyzed in the light of ECJ case law and by comparative reference to the Austrian and German law, whether the policyholder attains a "perpetual right of withdrawal". Once again this risk is evaluated. In the end, it can be stated that the Value at Risk method currently represents the most appropriate risk assessment method within the new risk-based approach. This new approach imposes additional costs which mostly the policyholder has to bear. Consequently this makes alternative products for endowment life insurance, such as a unit-linked or index-linked life insurance, more attractive.