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Economic Premium Principles in Insurance and the Capital Asset Pricing Model

Published online by Cambridge University Press:  29 August 2014

Heinz H. Müller
Heinz H. Müller*
Affiliation:
University of Zürich
*
Institut für Empirische Wirtschaftsforschung, Universität Zürich, Kleinstrasse 15, CH-8008 Zürich, Switzerland.
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Abstract

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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.

Keywords

Capital asset pricing modelinsurance premiumsprice equilibriumNeumann utility
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 17 , Issue 2 , November 1987 , pp. 141 - 150
Copyright
Copyright © International Actuarial Association 1987

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