Downward jumps in asset prices can trigger gap risk of portfolio insurance; it is more realistic to incorporate the impact of downward jumps in pricing the rate of return guaranteed products and is of great importance to the institutions insuring the return guarantees． This study employs finite-activity Levy processes to model the price process of active asset and prices the CPPI-and TIPP-managed return guarantees． As a result of the piecewise property of the underlying portfolios，analytic results cannot be obtained． For illustrative purposes，analytical pricing formulae are obtained for the constant-mix strategy． Our numerical results suggest that，(1) The return guarantees are undervalued under the traditional GBM assumption; (2) The TIPP-managed return guarantee is less expensive than its CPPI counterpart; (3) The prices of the return guarantees managed both by CPPI and by TIPP are positively correlated with the multiple and the guarantee level，but independent of the volatility of the active asset price．