The Value of Pension Benefit Guaranty Corporation Insurance
推导了养老金福利担保公司（PBGC）对单一雇主固定收益养老金计划保险的负债公式，将其视为或有看跌期权，并用修正贝塞尔函数表示，分析了比较静态结果。
This paper considers the cost of Pension Benefit 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 Iund 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. Copyright 1994 by Ohio State University Press.