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Economic Premium Principles in Insurance and the Capital Asset Pricing Model

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  • Müller, Heinz H.

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.

Suggested Citation

  • Müller, Heinz H., 1987. "Economic Premium Principles in Insurance and the Capital Asset Pricing Model," ASTIN Bulletin, Cambridge University Press, vol. 17(2), pages 141-150, November.
  • Handle: RePEc:cup:astinb:v:17:y:1987:i:02:p:141-150_00
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    Cited by:

    1. Furman, Edward & Zitikis, Ricardas, 2008. "Weighted risk capital allocations," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 263-269, October.

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