Systematic longevity risk in social security plans

Detalhes bibliográficos
Autor(a) principal: Cardoso, Mainara de Paula Simões
Data de Publicação: 2023
Outros Autores: Rocha, Alane Siqueira
Tipo de documento: Artigo
Idioma: por
Título da fonte: Redeca
Texto Completo: https://revistas.pucsp.br/index.php/redeca/article/view/63752
Resumo: The phenomenon of longevity risk permeates the structural framework of the Brazilian pension system and is defined as the probability of pension plan participants surpassing their projected life expectancies. This research paper is primarily concerned with quantifying the influence of longevity risk on the financial stability of pension plans offering lifelong benefits. A model was developed using the Python programming language, employing the Monte Carlo Simulation method to unveil the probability distributions of mathematical provisions across various sample sizes. A comprehensive examination of the empirical findings has led to the deduction that both the coefficient of variation and the contingency loading rate exhibit a consistent decreasing trend, asymptotically approaching zero as the size of the beneficiary population increases. Nevertheless, the inclusion of systematic longevity risk gives rise to an alternative scenario, wherein risk reduction reaches a threshold, resulting in minimal reductions among groups comprising 5,000 to 50,000 policyholders.
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spelling Systematic longevity risk in social security plansRisco sistemático de longevidade em planos previdenciáriosPrevidênciaLongevidadeRisco SistemáticoSolvênciaSimulação de Monte CarloPension PlansLongevity RiskSystematic RiskSolvency AnalysisMonte Carlo SimulationThe phenomenon of longevity risk permeates the structural framework of the Brazilian pension system and is defined as the probability of pension plan participants surpassing their projected life expectancies. This research paper is primarily concerned with quantifying the influence of longevity risk on the financial stability of pension plans offering lifelong benefits. A model was developed using the Python programming language, employing the Monte Carlo Simulation method to unveil the probability distributions of mathematical provisions across various sample sizes. A comprehensive examination of the empirical findings has led to the deduction that both the coefficient of variation and the contingency loading rate exhibit a consistent decreasing trend, asymptotically approaching zero as the size of the beneficiary population increases. Nevertheless, the inclusion of systematic longevity risk gives rise to an alternative scenario, wherein risk reduction reaches a threshold, resulting in minimal reductions among groups comprising 5,000 to 50,000 policyholders.O risco de longevidade está presente na estrutura do sistema previdenciário brasileiro e pode ser definido como a probabilidade de os participantes de planos de previdência sobreviverem além do esperado. O objetivo geral deste trabalho é mensurar o impacto do risco de longevidade na solvência de planos de previdência com pagamento de benefícios vitalícios. Foi desenvolvido um modelo na linguagem Python que utilizou o processo de Simulação de Monte Carlo para desvendar as distribuições de probabilidades das provisões matemáticas para amostras com diferentes tamanhos. A partir da análise dos resultados, concluiu-se que o coeficiente de variação e a taxa de carregamento de contingência diminuem, tendendo a zero, à medida que o tamanho da população aumenta. Entretanto, a inclusão do risco sistemático de longevidade gera um cenário distinto, no qual a redução do carregamento de contingência atinge um limiar, ocasionando, portanto, reduções mínimas entre grupos de 5.000 a 50.000 segurados.Pontifícia Universidade Católica de São Paulo2023-10-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArtigo avaliado pelos Paresapplication/pdftext/htmlhttps://revistas.pucsp.br/index.php/redeca/article/view/6375210.23925/2446-9513.2023v10id63752Redeca, Revista Eletrônica do Departamento de Ciências Contábeis & Departamento de Atuária e Métodos Quantitativos; v. 10 (2023); e637522446-9513reponame:Redecainstname:Pontifícia Universidade Católica de São Paulo (PUC-SP)instacron:PUC_SPporhttps://revistas.pucsp.br/index.php/redeca/article/view/63752/43341https://revistas.pucsp.br/index.php/redeca/article/view/63752/43342Copyright (c) 2023 Mainara de Paula Simões Cardoso, Alane Siqueira Rochainfo:eu-repo/semantics/openAccessCardoso, Mainara de Paula SimõesRocha, Alane Siqueira2023-09-28T14:34:59Zoai:ojs.pkp.sfu.ca:article/63752Revistahttps://revistas.pucsp.br/index.php/redecaPRIhttps://revistas.pucsp.br/index.php/redeca/oairedeca@pucsp.br | asamaral@pucsp.br2446-95132446-9513opendoar:2023-09-28T14:34:59Redeca - Pontifícia Universidade Católica de São Paulo (PUC-SP)false
dc.title.none.fl_str_mv Systematic longevity risk in social security plans
Risco sistemático de longevidade em planos previdenciários
title Systematic longevity risk in social security plans
spellingShingle Systematic longevity risk in social security plans
Cardoso, Mainara de Paula Simões
Previdência
Longevidade
Risco Sistemático
Solvência
Simulação de Monte Carlo
Pension Plans
Longevity Risk
Systematic Risk
Solvency Analysis
Monte Carlo Simulation
title_short Systematic longevity risk in social security plans
title_full Systematic longevity risk in social security plans
title_fullStr Systematic longevity risk in social security plans
title_full_unstemmed Systematic longevity risk in social security plans
title_sort Systematic longevity risk in social security plans
author Cardoso, Mainara de Paula Simões
author_facet Cardoso, Mainara de Paula Simões
Rocha, Alane Siqueira
author_role author
author2 Rocha, Alane Siqueira
author2_role author
dc.contributor.author.fl_str_mv Cardoso, Mainara de Paula Simões
Rocha, Alane Siqueira
dc.subject.por.fl_str_mv Previdência
Longevidade
Risco Sistemático
Solvência
Simulação de Monte Carlo
Pension Plans
Longevity Risk
Systematic Risk
Solvency Analysis
Monte Carlo Simulation
topic Previdência
Longevidade
Risco Sistemático
Solvência
Simulação de Monte Carlo
Pension Plans
Longevity Risk
Systematic Risk
Solvency Analysis
Monte Carlo Simulation
description The phenomenon of longevity risk permeates the structural framework of the Brazilian pension system and is defined as the probability of pension plan participants surpassing their projected life expectancies. This research paper is primarily concerned with quantifying the influence of longevity risk on the financial stability of pension plans offering lifelong benefits. A model was developed using the Python programming language, employing the Monte Carlo Simulation method to unveil the probability distributions of mathematical provisions across various sample sizes. A comprehensive examination of the empirical findings has led to the deduction that both the coefficient of variation and the contingency loading rate exhibit a consistent decreasing trend, asymptotically approaching zero as the size of the beneficiary population increases. Nevertheless, the inclusion of systematic longevity risk gives rise to an alternative scenario, wherein risk reduction reaches a threshold, resulting in minimal reductions among groups comprising 5,000 to 50,000 policyholders.
publishDate 2023
dc.date.none.fl_str_mv 2023-10-03
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Artigo avaliado pelos Pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://revistas.pucsp.br/index.php/redeca/article/view/63752
10.23925/2446-9513.2023v10id63752
url https://revistas.pucsp.br/index.php/redeca/article/view/63752
identifier_str_mv 10.23925/2446-9513.2023v10id63752
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://revistas.pucsp.br/index.php/redeca/article/view/63752/43341
https://revistas.pucsp.br/index.php/redeca/article/view/63752/43342
dc.rights.driver.fl_str_mv Copyright (c) 2023 Mainara de Paula Simões Cardoso, Alane Siqueira Rocha
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2023 Mainara de Paula Simões Cardoso, Alane Siqueira Rocha
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
text/html
dc.publisher.none.fl_str_mv Pontifícia Universidade Católica de São Paulo
publisher.none.fl_str_mv Pontifícia Universidade Católica de São Paulo
dc.source.none.fl_str_mv Redeca, Revista Eletrônica do Departamento de Ciências Contábeis & Departamento de Atuária e Métodos Quantitativos; v. 10 (2023); e63752
2446-9513
reponame:Redeca
instname:Pontifícia Universidade Católica de São Paulo (PUC-SP)
instacron:PUC_SP
instname_str Pontifícia Universidade Católica de São Paulo (PUC-SP)
instacron_str PUC_SP
institution PUC_SP
reponame_str Redeca
collection Redeca
repository.name.fl_str_mv Redeca - Pontifícia Universidade Católica de São Paulo (PUC-SP)
repository.mail.fl_str_mv redeca@pucsp.br | asamaral@pucsp.br
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