Sorry, but no. In order to deduct insurance premiums as a Self Employed Health Insurance Deduction, the policy must be "established, or considered to be established...under your business." Since you are continuing to purchase your insurance via the COBRA act through your employer, that would be considered established under that employer's business.
See IRS Publication 535 for more explanation of deductible business expenses. I've linked the publication below.
https://www.irs.gov/publications/p535#en_US_2016_publink1000208843
*** I am NOT a tax expert. I am a seasoned TurboTax user, and volunteer to provide assistance to TT users. Nothing I post is to be considered TAX ADVICE; I bear no legal liability for responses.***
