  In this paper we introduce a new concept for modelling electricity prices
through the introduction of an unobservable intrinsic electricity price
$p(\tau)$. We use it to connect the classical theory of storage with the
concept of a risk premium. We derive prices for all common contracts such as
the intraday spot price, the day-ahead spot price, and futures prices. Finally,
we propose an explicit model from the class of structural models and conduct an
empirical analysis, where we find an overall negative risk premium.
