The Valuation of PBGC Insurance Premiums Using an Option Pricing Model
用期权定价模型计算了176家养老金计划发起人的养老金看跌期权价值，发现资金不足的发起人向PBGC支付的保费显著偏低，而资金充足的发起人保费大致合理。
This study applies an option pricing model to empirically derive pension put values for a sample of 176 individual pension plan sponsors insured by the Pension Benefit Guaranty Corporation (PBGC). This study finds that the pension put values for a group of 22 underfunded sponsors were significantly greater than the insurance premiums paid to the PBGC. On the other hand, for a group of 154 overfunded sponsors, the put values were also greater than the pension premiums paid to the PBGC, although the difference was not statistically significant. These findings suggest that underfunded plan sponsors are signifi? cantly undercharged by the PBGC, while overfunded plan sponsors are approximately fairly charged.