Abstract

OLIVARES AGUAYO, Héctor Alonso; AGUDELO TORRES, Gabriel Alberto; FRANCO ARBELAEZ, Luis Ceferino  and  TELLEZ PEREZ, Julio. Multiple technical interest rates: A contribution to strengthening the stability of pension systems. Contad. Adm [online]. 2020, vol.65, n.3, 00014.  Epub Sep 13, 2021. ISSN 0186-1042.  https://doi.org/10.22201/fca.24488410e.2020.2407.

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.

Keywords : Life annuity; Credit risk; Pension fund; Technical interest rate; G22; G23; G32.

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