The author's starting point is the observation first made by Adam Smith, that an insurance company must earn the same expected return on its capital, as it would if the capital was ''employed in common trade''. He points out that the actuarial risk theory is unable to deal with the problem of computing insurance premium, since this theory considers the problem completely detached from its economic environment. The paper gives a brief presentation of the current theory of the pricing of contingent claims, and gives some examples of how this theory can be applied in insurance.