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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2004.tde-05082022-165746
Document
Author
Full name
Victor Samuel Zago Alves
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2004
Supervisor
Committee
Pereira, Carlos Alberto de Braganca (President)
Custodio, Isaias
Dunder, Cibele
Title in Portuguese
Avaliação de uma modalidade de plano VGBL composto através de um processo de ramificação e gerenciamento da reserva do fundo pelo modelo de Markowitz
Keywords in Portuguese
Estatística aplicada
Finanças
Abstract in Portuguese
Este trabalho apresenta uma abordagem alternativa para o gerenciamento de fundos VGBL (Vida Gerador de Benefício Livre), onde a construção dos fluxos projetados dos prémios (valores pagos pelo segurado de forma a custear a cobertura por ele contratada), e das obrigações financeiras, que compreendem os resgates (valores resgatados do saldo gerado pelos prêmios pagos pelo segurado, no caso de falecimento do mesmo, que serão os únicos tratados pelo modelo) e as indenizações (pagamentos efetuados ao segurado dado a sua sobrevivência ao período de diferimento), é realizada através de funções recursivas que representam o processo de ramificação no qual o segurado está inserido, evitando as aproximações utilizadas pelos métodos atuariais tradicionais, computando diretamente o valor esperado e a variância do fluxo de caixa. O contraponto destes fluxos será denominado fundo de investimentos especialmente constituído (FIE), onde os recursos acumulados pelo pagamento de prêmios pelo segurado são investidos no mercado financeiro, observando os limites estipulados pela legislação vigente e no contrato. Para a seleção dos ativos que comporão este portfólio será utilizada a abordagem clássica de Markowitz.
Title in English
Evaluation of a composite VGBL plan modality through a branching process and fund reserve management by the Markowitz model
Keywords in English
Applied statistics
Finance
Abstract in English
This work presents an alternative approach to the management of VGBL (Vida Gerador de Benefício Livres) funds, where the construction of projected flows of premiums (amounts paid by the insured in order to cover the coverage contracted by him), and of the financial obligations, which comprise redemptions (amounts redeemed from the balance generated by the premiums paid by the insured, in the event of his/her death, which will be the only ones treated by the model) and indemnities (payments made to the insured given his/her survival during the deferral period), is carried out through recursive functions that represent the branching process in which the insured is inserted, avoiding the approximations used by traditional actuarial methods, directly computing the expected value and the variance of the cash flow. The counterpoint of these flows will be called a specially constituted investment fund (FIE), where the resources accumulated by the payment of premium by the insured are invested in the financial market, observing the limits stipulated by the legislation in force and in the contract. For the selection of the assets that will compose this portfolio, the classic approach of Markowitz will be used.
 
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Publishing Date
2022-08-08
 
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