ABSTRACT
Objective:
this article proposes the meta atuarial consistente (MAC) (consistent actuarial rate), which is a method that adjusts incompatible actuarial rates in pension funds, after investigating and proving that the rate dissociates from the general rule in current regulations (which binds this rate to the expected return of the investments of pension funds).
Methodology:
a sample with data from 22 defined-benefit plans was collected, and MAC was applied to produce consistent actuarial rates, after panel data methods have identified the elements that influence the definition of the actuarial rate by the pension fund board of trustees.
Results:
the use of MAC, adjusting actuarial rates of 2018 based on systematic biases in previous rates, enabled a positive effect that unfolds in more reliable estimates for the plans’ mathematical provision, while identifying elements that influence the determination of the annual rate, causing its non-compliance to the general rule.
Conclusion:
the adoption of MAC by the Brazilian supervisory authority Previc would improve the rules and provide subsidies to better adjust the contribution levels practiced in the plans, making their solvency levels more reliable, which would benefit the development of the insurance and pension market.
Keywords:
actuarial interest rate; pension funds; panel data; insurance and pension market; social security legislation
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Bars represent the average nominal returns of EFPCs compared to the limits for nominal actuarial rates. The curves show the accumulated returns, the Brazilian benchmark rate IMA-Geral, and the limits of actuarial rates. All values include inflation. In December 2019, the data represented the return of pension plans managed by 245 EFPCs. Source: Associação Brasileira das Entidades Fechadas de Previdência Complementar [ABRAPP] (2019).
Bars represent the average actual returns of EFPCs compared to the limits for actuarial rates according to the rules (TMA/TJP). The curves allow comparing the Brazilian benchmark rates CDI and IMA-Geral (net of IPCA index of inflation) to the values of accumulated returns and TMA/TJP (net of INPC index of inflation).
The curves correspond to the averages of the values in the data of the plans researched. In 2019, the data referred to only nine of the 22 plans. The expected average return corresponds to the actuarial rate in effect in the immediately preceding year. The benchmark rate for 2013 presents the maximum value allowed of 5.75%. All values are net of inflation.
