Valuing the strategic option to sell life insurance business: Theory and evidence
نویسنده
چکیده
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 ®rms to voluntarily sell their businesses under various operating and regulatory conditions. Estimates are derived for samples of 11 sold ®rms 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 ®rms and are used to assess the eectiveness of accounting and actuarial measures of capital, under static or dynamic based solvency testing models. Ó 2000 Elsevier Science B.V. All rights reserved. JEL classi®cation: G22
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