HAMILTON, Bermuda—CRM Holdings Ltd. is exploring “strategic alternatives” that could include a sale, merger or shedding operations, the troubled workers compensation management firm said Thursday.

“There can be no assurance that the exploration of strategic alternatives will result in any transaction, or that, if completed, any transaction will be on attractive terms,” the company said in announcing its first-quarter results.

It stock traded at 36 cents share Thursday morning, down from 48 cents at the close Wednesday.

In 2008, Bermuda-based CRM surrendered its third-party administrator license in New York when regulators took over several of its self-insurance trusts. Then last month, reports surfaced that CRM had shut down a California self-insured group, Contractors Access Program of California, because it could not cover its liabilities.

In the earnings release, CRM said it earned $16.7 million in revenue for the first quarter of 2010 compared with $26 million during the same quarter of 2009. CRM said it had a net loss of $7.7 million during the first quarter.

Among other reasons, CRM said the decline in revenue occurred because its Majestic Insurance Co. unit could not retain or compete for certain rating-sensitive business because A.M. Best Co. Inc. downgraded its financial strength rating from A- to B++ last year.