Economic Premium Principles in Insurance and the Capital Asset Pricing Model

An insurance company IS considered as an intermediary between policyholders and the capital market. By applying the traditional and the generalized version of the capital asset pricing model, a class of premium principles can be derived. This class is fully compatible with Buhlmann's economic premium principle. Moreover, insurance premiums can be directly related to risk premiums on the stock exchange. Keywords Capital asset pricing model; insurance premiums; price equilibrium; Neumann utility.