Financial Guarantees in Brazilian Life Insurance and Pension Plans

19 Pages Posted: 19 Jul 2009  

William Eid Jr.

Getulio Vargas Foundation (FGV)

António Simões-Pereira

affiliation not provided to SSRN

Date Written: July 17, 2009

Abstract

Recently regulated Brazilian life and pension products offer a benefit structure composed of minimum guaranteed annual rate, inflation 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.

Keywords: Brazil, Life-Insurance, Financial, Guarantee

JEL Classification: G00

Suggested Citation

Eid Jr., William and Simões-Pereira, António, Financial Guarantees in Brazilian Life Insurance and Pension Plans (July 17, 2009). Available at SSRN: https://ssrn.com/abstract=1435292 or http://dx.doi.org/10.2139/ssrn.1435292

William Eid Jr. (Contact Author)

Getulio Vargas Foundation (FGV) ( email )

Rua Itapeva 474 9 andar
Rio de Janeiro, 01332-000
Brazil

António Simões-Pereira

affiliation not provided to SSRN

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