The value of pension benefit guaranty corporation insurance. (includes commentary on article by Andrew H. Chen): An article from: Journal of Money, Credit & Banking
Book Details
PublisherOhio State University Press
ISBN / ASINB00092VHYC
ISBN-13978B00092VHY3
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MarketplaceUnited States 🇺🇸
Description
This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on August 1, 1994. The length of the article is 5911 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
From the supplier: This paper considers the cost of Pension Guaranty Corporation (PBGC) insurance for single-employer defined-benefit pension plans. It derives a formula for the PBGC's liability that explicitly recognizes the two necessary conditions that must arise for the PBGC to sustain a loss. First, the corporation sponsoring the pension fund must undergo bankruptcy and, second, this pension plan must be underfunded. The PBGC's liability is valued as a contingent put option and expressed as infinite series of modified Bessel functions. The comparative statics of the model are examined and are quite consistent with economic intuition.
Citation Details
Title: The value of pension benefit guaranty corporation insurance. (includes commentary on article by Andrew H. Chen)
Author: George G. Pennacchi
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 1994
Publisher: Ohio State University Press
Volume: v26 Issue: n3 Page: p735(22)
Distributed by Thomson Gale
From the supplier: This paper considers the cost of Pension Guaranty Corporation (PBGC) insurance for single-employer defined-benefit pension plans. It derives a formula for the PBGC's liability that explicitly recognizes the two necessary conditions that must arise for the PBGC to sustain a loss. First, the corporation sponsoring the pension fund must undergo bankruptcy and, second, this pension plan must be underfunded. The PBGC's liability is valued as a contingent put option and expressed as infinite series of modified Bessel functions. The comparative statics of the model are examined and are quite consistent with economic intuition.
Citation Details
Title: The value of pension benefit guaranty corporation insurance. (includes commentary on article by Andrew H. Chen)
Author: George G. Pennacchi
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 1994
Publisher: Ohio State University Press
Volume: v26 Issue: n3 Page: p735(22)
Distributed by Thomson Gale
