Multiple technical interest rates: A contribution to strengthening the stability of pension systems
| Autor: | Gabriel Alberto Agudelo Torres, Héctor Alonso Olivares Aguayo, Luis Ceferino Franco Arbeláez, Julio Téllez Pérez |
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| Rok vydání: | 2019 |
| Předmět: |
Rate of return
Pension 021103 operations research Actuarial science media_common.quotation_subject 05 social sciences Life annuity 0211 other engineering and technologies Actuarial reserves 02 engineering and technology General Business Management and Accounting Interest rate 0502 economics and business Economics Portfolio Cash flow Profitability index 050207 economics media_common |
| Zdroj: | Contaduría y Administración. 65:190 |
| ISSN: | 2448-8410 0186-1042 |
| DOI: | 10.22201/fca.24488410e.2020.2407 |
| Popis: | In actuarial science relative to pensions and life annuities, it is a common assumption that the discount rate used to calculate the adequate reserve amount to cover future payments is equal to the expected long-term return rate of portfolios in which it is invested. This assumption is inadequate because it could lead fund managers to take excessive risks in order to obtain greater profitability and not be aware that each future cash flow should have a discount rate in accordance with its payment date. This article demonstrates the existence of a suitable technical interest rate to discount each future payment. However, these rates are not necessarily equal among themselves and the expected long-term return of the portfolio. In order to estimate these technical interest rates, it is proposed to apply a risk model to each of the expected payments, which incorporates the fluctuations of the portfolio in which the actuarial reserves are invested. Calculating appropriate discount rates to determine actuarial reserves contributes to strengthening the stability of pension systems and the financial system in general. |
| Databáze: | OpenAIRE |
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