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dc.contributor.authorPereira, António Simões
dc.contributor.authorEid Júnior, William
dc.date.accessioned2016-02-25T15:13:17Z
dc.date.available2016-02-25T15:13:17Z
dc.date.issued2005-11
dc.identifier.urihttp://hdl.handle.net/10438/15567
dc.description.abstractRecently regulated Brazilian life and pension products offer a benefit structure composed of minimum guaranteed annual rate, in°ation 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.eng
dc.language.isoeng
dc.publisherSSRN
dc.subjectLife-insuranceeng
dc.subjectFinancialeng
dc.subjectGuaranteeseng
dc.titleFinancial guarantees in Brazilian life insurance and pension planseng
dc.typeWorking Papereng
dc.subject.areaFinançaspor
dc.contributor.unidadefgvEscolas::EAESPpor
dc.subject.bibliodataSeguro de vidapor


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