Economic Premium Principles in Insurance and the Capital Asset Pricing Model

Heinz H. Müller

ASTIN Bulletin, 1987, vol. 17, issue 2, 141-150

Abstract: 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 Bühlmann's economic premium principle. Moreover, insurance premiums can be directly related to risk premiums on the stock exchange.

Date: 1987
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