Assessment of the new investment limits for assets of Social Security Regimes for Public Servants established by Resolution CMN 3,922/2010
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How to Cite

Teixeira Damasceno, A., & de França Carvalho, J. V. (2022). Assessment of the new investment limits for assets of Social Security Regimes for Public Servants established by Resolution CMN 3,922/2010. Review of Business Management, 23(4).


Purpose – To verify if the new investment limits for the Social Security Regimes for Public Servants (RPPSs) introduced by Resolution CMN 3,922/2010 enable the creation of investment portfolios with sufficient returns capable of reaching and exceeding these entities’ actuarial goals.

Theoretical framework – The research was based on Modern Actuarial Risk Theory, whose main objective is to assess the long-term (in)solvency of insurance and social security entities.

Design/methodology/approach – An ALM model of non-linear stochastic optimization with mean-CVaR was used to build the efficient frontiers related to each type of governance level defined by the legislation. Then, it was verified whether these portfolios are sufficiently capable of offering the required and expected returns.

Findings – The results show that only governance levels III and IV would be able to build portfolios with the expected returns capable of reaching the actuarial goal. However, this was only possible at the maximum risk limit of the efficient frontier.

Research Practical & Social implications – There is evidence of the need for the competent authorities to review the parameters of the investment limits, since adjustments to the RPPS investment legislation can bring social benefits, as they would avoid problematic situations of RPPS actuarial deficits that could put them at risk of not providing benefits to retirees.

Originality/value – This article is a pioneer in assessing the (in)adequacy of the normative allocation limits for RPPS guarantee assets, using an asset-only nonlinear optimization methodology.

Keywords – ALM Models; Social Security Regimes for Public Servants; Actuarial Goals; Actuarial Models; Investment Policies.
pdf (Português (Brasil))

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