I will discuss the problem of calculating various risk measures for certain embedded options, known as variable annuity guaranteed benefits. Mathematically the problem boils down to finding the distribution of one curious random variable -- the exponential functional of a Levy process. Such random variables have rich analytical structure and they are connected to many areas of pure and applied probability. Thus, in addition to the specific application of exponential functionals to variable annuity guaranteed benefits, I will also give an overview of the theory and applications of exponential functionals.