Resumo

SAAD, Nicolas Soudki  e  RIBEIRO, Celma de Oliveira. A model for pricing options embedded in pension products in Brazil. Prod. [online]. 2011, vol.21, n.3, pp. 528-537.  Epub 17-Jun-2011. ISSN 0103-6513.  http://dx.doi.org/10.1590/S0103-65132011005000033.

This paper presents a model to assess liabilities and financial risks created by options embedded in retirement related investment products in Brazil (PGBL/VGBL). A specific model that characterizes the financial option embedded in insurance products is presented. These products guarantee the conversion of final participant balance in retirement income at predefined terms. Financial characteristics of this liability such as duration, convexity and equivalent cash flows are also modeled. These characteristics can be useful as inputs to optimization models for the assets portfolio backing such liabilities. Finally, results and sensitivity analysis of an application of the model to a Brazilian open-end retirement related fund are presented.

Palavras-chave : Embedded options; Insurance; Asset [liability management]; Finance.