Garantias financeiras em seguros vida e previdência: um modelo de avaliação

• Ano de defesa: 2004
• Autor(a) principal: Pereira, Antonio Augusto Negreiros Vaz Simões
• Orientador(a): Eid Júnior, William
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Administração contábil e financeira; Risco; Avaliação; Opções; Garantia
• Link de acesso: https://hdl.handle.net/10438/2475

The Brazilian market has recently regulated life insurance and pension funds products that offer a guaranteed minimum rate of return, adjusted to a price index, and increased by a share of specific investment portfolio excess return. This dissertation gives its contribution to the increasing demand for the financial economics approach to the valuation of these products. This demand is motivated by the international regulatory requirements and by needs of understanding the financial risks involved. Therefore, we propose a pricing model that aims to calibrate, under a defined fairness condition, the contract’s guarantee parameters – minimum rate and participation. These are determined by the given maturity and the expectations relative to the market’s variables, such as interest rates, asset volatility and price index volatility. The proposed model showed a similar behaviour to a set of reference models. So, we suggest that it is adequate, under established conditions to the pricing process.