Data Analysis and Methodology for Modeling the Persistence of Specific Pension Products in the Brazilian Market – Bradesco Previdência S.A.

Álvaro Veiga, Cristiano Fernandes

In this project we first present a critical analysis of the database provided by a brazilian pension plan company, in order to estimate persistence measures for its pension plans: PGBL, VGBL and variations. With these preliminary results, and subsequent critical appraisal by the pension company officers and technical staff, we derived two measures of persistence that will be effectively used in pension company´s products/participants, namely:i) the proportion of the active proposals in year t, given that they were also active in the year (t-1); the probability of a proposal surviving time t. The duration of a proposal is the time between its sale and its closure (for different reasons).The duration of a participant is the period between its first sale and the closing of its last bid.Technically the duration is estimated through the survival curve, which estimates, at each instant of time, the probability of the proposal / participant to “survive” more than this time. The higher this probability, the greater the persistence of the proposal / participant.