Premium Valuation of the Pension Benefit Guaranty Corporation with Regime Switching

<div>The impact of <svg height="9.49473pt" id="M197" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -9.28833 6.85886 9.49473" width="6.85886pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M501 444C501 643 409 712 321 712C208 712 108 618 108 502C108 412 172 331 293 331C337 331 394 359 420 378C397 154 341 41 258 41C209 41 178 76 178 161C178 232 171 299 114 299C76 299 38 272 23 257L29 232C42 236 54 239 66 239C91 239 106 221 102 149C95 20 158 -12 219 -12C264 -12 314 10 353 47C461 150 501 295 501 444ZM423 443C423 433 422 422 421 412C401 396 370 385 335 385C245 385 180 444 180 537C180 609 212 671 286 671C349 671 423 595 423 443Z"></path></g></svg> on the premium with distress termination of sponsor asset.</div>

Mathematical Problems in Engineering

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Figure 4

Figure 4: Premium Valuation of the Pension Benefit Guaranty Corporation with Regime Switching 