Abstract: The Capital Asset Pricing Model (CAPM) fetched the Nobel Prize in Economics to Professor William Sharpe back in 1990. Speaking briefly, the CAPM offers a very simple expression to price an asset in a portfolio of assets, and the just-mentioned expression is magically free of the preferences of the involved investors. As the preferences are generally unobserved in reality, and due to the appealing simplicity of the end-result, the CAPM has become one of the most influential pricing models in finance today. In this talk, among other things, I will discuss the reasons for the CAPM's low penetration into the theory of actuarial pricing, and I will then offer an insurance variant of the model. I will show how a fairly general initial set-up can yield—akin to the Sharpe's CAPM case—simple pricing expressions for a large class of risks that are symmetric or non-symmetric, light-tailed or heavy-tailed, independent or dependent. This talk hinges on a number of joint works with Professors Alexey Kuznetsov (York), Ruodu Wang (Waterloo) and Ricardas Zitikis (Western).