UtilizaÃÃo de um modelo estocÃstico para mensuraÃÃo do passivo atuarial de fundos de pensÃo
AUTOR(ES)
CÃcero Rafael Barros Dias
DATA DE PUBLICAÇÃO
2008
RESUMO
This study has for objective to present an analysis of a random model for the measuring of the atuarial liabilities of a pension fund, through of Morte CarlosÂs simulation, to compare with the deterministic method of atuarial evaluation, as well as analyzing the sensitivity of the mathematical reserves in relation to the alteration in the table of mortality used in the calculations. For in such a way, are considered as input the rates of mortality for age and the mathematical reserves are considered as output. The intention is not only getting a deterministic value of the atuarial liabilities of the benefit plan and not only a flow of payment of future benefits, but also to find the distribution of probability of the mathematical reserves considering differents tables of mortality. The results show that the level of information gotten through the random calculation of the atuarial liabilities is sufficiently better to the information gotten through the deterministic calculation. With this, the manager of the pension fund will have more subsidies and information, so he feels more safe in relation to the risk level which will be submitted to manager the applications of the resources of the contributions, to guarantee the payment of the benefits of the insured population preventing the financial and atuariais deficits
ASSUNTO(S)
simulaÃÃo estocÃstico monte carlo monte carlo simulation stochastic atuarial liabilities economia passivo atuarial
Documentos Relacionados
- Modelo EconomÃtrico de MensuraÃÃo da PropensÃo à Aposentadoria dos Participantes de um Fundo de PensÃo: Um Estudo de Caso
- ANALYSIS OF THE RANDOM MODEL OF THE ATUARIAL LIABILITIES OF A PENSION FUND
- Sistema de mensuraÃÃo de desempenho: proposta de um modelo para a indÃstria de hospitalidade
- Um modelo hÃbrido estocÃstico para tratamento do problema de roteamento de veÃculos com janela de tempo
- Modelo de mensuraÃÃo da rentabilidade do crÃdito comercial baseado no RAROC e na TOC