It is clear that when pricing derivatives we do this in the risk-neutral measure for known reasons. In the calculation of the VaR equivalent Volatility (VEV) in the KID-SRRI calculation (see page 9 here) as well as int the coming regulation of PRIIPs (see this question or this document page 7) the model for the price of the product looks like this $$ S_t = S_0 \exp \left ( (r-\sigma^2/2)t + \sigma B_t \right), $$ where r is the risk-free rate.
I am aware that choosing any drift would be difficult but what could be reasons that the regulator chose a risk-neutral setting? Certainly we would need some kind of reward to earn at least the costs of such products.