Impacto do risco biométrico na constituição dos passivos nos balanços dos planos de benefício definido na visão cross-country

Abstract

The main purpose of this dissertation is to evaluate the impacts of setting up the provision for benefits to be granted in the balance sheets in relation to the liabilities of the pension plan entity in terms of its biometric risk, especially in defined benefit plans. Based on public pension data, there has been a growing decline in the constitution of defined benefit plans due to the complexity of estimating and measuring biometric risks. Due to the need to estimate, project and verify the impact of biometric risk on entities' balance sheets, a cross-country analysis was carried out with data and application of the Lee-Carter model for different countries, making it possible to project the change in the mortality rate over the years based on the historical profile. The model data was projected and estimated to verify the impact in terms of income and sex using the reserve calculation techniques with two scenarios, the first with the rate used based on a static mortality table, i.e. with mortality values fixed over time, and the second with the application of the mortality rate improvement (qx) which denotes an improvement. When comparing the two models, it was possible to see the impact on liabilities in terms of technical provisions, which saw a 2.085% increase in provisions due to the use of the improvement technique. In terms of income, it is possible to analyze an increase of 0.1040% in each incremental income. When analyzing the segmentation by gender, it is possible to analyze a female impact of 1.77% while the male impact was 2.39%.