We explore the concept of weighted distributions and their role in various phenomena occurring in insurance and finance. In particular, we relate weighted distributions to actuarial and economic premium calculation principles, and also to the capital asset pricing model (CAPM). Imitating the latter, we propose a weighted insurance pricing model (WIPM). Although general in formulation, we show that the WIPM can successfully be evaluated in a variety of situations, which we illustrate with a number of examples.