Discussion of "Risk Load for Insurers" by Sholom Feldblum

Feldblum's paper "Risk Loads for Insurers" discusses various methodologies for estimating the insurance risk load. According to this paper, traditional methods are inadequate. As such the majority of the paper discusses a proposed methodology for applying modern portfolio theory and the capital asset pricing model (CAPM) to the insurance pricing problem. Unfortunately, the proposed methodology represents a unsound application of financial theory to an insurance problem. Specifically, the proposed methodology merely borrows the notation of the CAPM, without considering the underlying assumptions and logic of the CAPM paradigm.