Comparative analysis of defined benefit plans offered by pension funds in Brazil: solvency, groupings and breakdown of plans

The objective of this work was to analyze, in a comparative way, the defined benefit plans offered by the Closed Private Pension Entities in Brazil, in terms of solvency, their similarities and differences. For this, information contained in the actuarial statements of 229 Defined Benefit plans, in 2020, made available by the National Superintendence of Complementary Pensions was used. First, it was verified that, from the insufficiency of coverage, 136 plans were solvent, while 93 were insolvent at that date. Subsequently, cluster analysis was performed in order to group the plans according to their similarities; from this analysis, 5 groupings of pension plans were suggested, and, from this, a discriminant analysis was performed in order to classify the new plans in one of the groups. Thus, the following characteristics stand out as the best discriminators of groups, with success in 85.48% of the classifications: number of active participants, mathematical reserve, modified mortality table, hedge equity, insufficient coverage, net assets, liability duration, normal cost of the year and pension fund.