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A continuous-time model to determine the intervention policy for PBGC

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  • Kalra, Raman
  • Jain, Gautam
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    File URL: http://www.sciencedirect.com/science/article/B6VCY-3SX1KNR-5/2/27b4d30d995736f8df7a3d6e71edb686
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 21 (1997)
    Issue (Month): 8 (August)
    Pages: 1159-1177

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    Handle: RePEc:eee:jbfina:v:21:y:1997:i:8:p:1159-1177

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    Web page: http://www.elsevier.com/locate/jbf

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    References

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    1. James H. Stock & David A. Wise, 1988. "Pensions, The Option Value of Work, and Retirement," NBER Working Papers 2686, National Bureau of Economic Research, Inc.
    2. Sundaresan, Suresh & Zapatero, Fernando, 1997. "Valuation, Optimal Asset Allocation and Retirement Incentives of Pension Plans," Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 631-60.
    3. Acharya, Sankarshan & Dreyfus, Jean-Francois, 1989. " Optimal Bank Reorganization Policies and the Pricing of Federal Deposit Insurance," Journal of Finance, American Finance Association, vol. 44(5), pages 1313-33, December.
    4. Zvi Bodie & Jay O. Light & Randall Morck & Robert A. Taggart, Jr., 1986. "Funding and Asset Allocation in Corporate Pension Plans: An Empirical Investigation," NBER Working Papers 1315, National Bureau of Economic Research, Inc.
    5. Peter A. Abken, 1992. "Corporate pensions and government insurance: deja vu all over again?," Economic Review, Federal Reserve Bank of Atlanta, issue Mar, pages 1-16.
    6. Robert C. Merton & Zvi Bodie, 1992. "On the Management of Financial Guarantees," Financial Management, Financial Management Association, vol. 21(4), Winter.
    7. Sharpe, William F., 1976. "Corporate pension funding policy," Journal of Financial Economics, Elsevier, vol. 3(3), pages 183-193, June.
    8. Alan J. Marcus, 1983. "Corporate Pension Policy and the Value of PBGC Insurance," NBER Working Papers 1217, National Bureau of Economic Research, Inc.
    9. J. Michael Harrison & William F. Sharpe, 1983. "Optimal Funding and Asset Allocation Rules for Defined-Benefit Pension Plans," NBER Chapters, in: Financial Aspects of the United States Pension System, pages 91-106 National Bureau of Economic Research, Inc.
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    Cited by:
    1. Grosen, Anders & Lochte Jorgensen, Peter, 2000. "Fair valuation of life insurance liabilities: The impact of interest rate guarantees, surrender options, and bonus policies," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 37-57, February.
    2. Chen, An & Uzelac, Filip, 2014. "A risk-based premium: What does it mean for DB plan sponsors?," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 1-11.

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