Technical-actuarial imbalance in defined benefit plans offered by pension funds

a multinomial logistics analysis

Abstract

This paper analyzes the causes of technical-actuarial imbalances in defined benefit plans offered by Closed Complementary Pension Entities. The research universe consists of 964 benefit plans offered by EFPC's, with data for the year 2020. After some criteria were observed, the sample totaled a total of 219 defined benefit plans with a single costing group. Initially, descriptive statistics were used in order to know the variables analyzed in an exploratory way. Next, multinomial logistic regressions were performed to identify which of the variables available in actuarial evaluations have a significant effect on the response variable, which is the Categorized Actuarial Result (RAC). Among the main results, we highlight the actuarial imbalance of the entire observed sample (219 plans), with 124 of these plans being deficient (2 of them requiring equation) and 95 planes, surplus (11 of them in need of destination). In the scope of modeling, the effect of the Real Interest Rate on the Categorized Actuarial Result stands out: the increase of that by 0.01% implied, in this case, the increase of 14.61% of the chances of the plan being deficient.  The temporal aspect corresponds to the greatest limitation of this study, since the current maximum limits of the Accumulated Deficit and contingency reserve were implemented by CNPC Resolution No. 30/18, which made it impossible to use data prior to resolution.  On the other hand, it is expected that the methodology used here can be improved and widely used in social security issues.