Valuing the strategic option to sell life insurance business:Theory and evidence

Klumpes, Paul J.M. and Shackleton, Mark B. (2000) Valuing the strategic option to sell life insurance business:Theory and evidence. Journal of Banking and Finance, 24 (10). pp. 1681-1702. ISSN 0378-4266

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Abstract

We present a simple put option pricing procedure within an asset-liability valuation model that can be used to estimate the incentives facing stock-based life insurance firms to voluntarily sell their businesses under various operating and regulatory conditions. Estimates are derived for samples of 11 sold firms and 24 continuing Australian life insurance companies over a period of industry consolidation. The put option values interact with other actuarial and accounting components of the fair value of these life insurance firms and are used to assess the effectiveness of accounting and actuarial measures of capital, under static or dynamic based solvency testing models.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Banking and Finance
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2000/2002
Subjects:
ID Code:
128950
Deposited By:
Deposited On:
13 Nov 2018 14:20
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Jan 2020 04:50