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

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Valuing the strategic option to sell life insurance business : Theory and evidence. / Klumpes, Paul J.M.; Shackleton, Mark B.

In: Journal of Banking and Finance, Vol. 24, No. 10, 01.10.2000, p. 1681-1702.

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@article{6d0fb4d29e9e4093a1c56ecb556be24d,
title = "Valuing the strategic option to sell life insurance business: Theory and evidence",
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.",
keywords = "G22, Life insurance, Solvency testing, Termination put option",
author = "Klumpes, {Paul J.M.} and Shackleton, {Mark B.}",
year = "2000",
month = oct,
day = "1",
doi = "10.1016/S0378-4266(00)00097-2",
language = "English",
volume = "24",
pages = "1681--1702",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "10",

}

RIS

TY - JOUR

T1 - Valuing the strategic option to sell life insurance business

T2 - Theory and evidence

AU - Klumpes, Paul J.M.

AU - Shackleton, Mark B.

PY - 2000/10/1

Y1 - 2000/10/1

N2 - 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.

AB - 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.

KW - G22

KW - Life insurance

KW - Solvency testing

KW - Termination put option

U2 - 10.1016/S0378-4266(00)00097-2

DO - 10.1016/S0378-4266(00)00097-2

M3 - Journal article

AN - SCOPUS:0043209393

VL - 24

SP - 1681

EP - 1702

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 10

ER -