Chen, Ting-Fu; Lin, Shih-kuei; Chang, An-Sing; Wang, Wei-Hao - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-23
This paper aims to evaluate Pension Benefit Guaranty Corporation (PBGC) insurance values through regime-switching models. We separate periods of the economy with faster growth from those with slower growth to observe long-term trends in the economy. We derive a fair PBGC insurance pricing...
