Financial guarantees in Brazilian life insurance and pension plans
Pereira, António Simões; Eid Júnior, William
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Resumo
Recently regulated Brazilian life and pension products offer a benefit structure composed of minimum guaranteed annual rate, in°ation adjustment according to a price index and participation on an investment fund performance. We present a valuation model for these products. We establish a fair condition relationship between minimum guarantees and participation rates, and explore its behavior over a space of maturities, interest rates, and also fund and price index volatilities and correlation. Besides consistency to reference models, we found that the effect of the fund volatility is conditioned to the price index volatility level and the correlation between them.
Ficha do documento
- Tipo
- Estudo
- Ano
- 2005
- Instituição
- SSRN
- Fonte
- Repositório da FGV
- Idioma
- Inglês
- Acesso
- Acesso aberto
- Identificador
- oai:repositorio.fgv.br:10438/15567
- Palavras-chave
- Life-insuranceFinancialGuaranteesFinançasSeguro de vida
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