A model for general insurance pricing is developed which represents a stochastic generalisation of the discrete model proposed by Taylor (1968). This model determines the insurance premium based both on the breakeven premium and the competing premiums offered by the rest of the insurance market....

A two factor stochastic model is introduced for the two phases of a defined-contribution pension scheme. During the accumulation phase of the pension, the scheme member invests part of their stochastic income in a portfolio of a risky stock and a bond in order to build up sufficient funds for...

One attractive objective for a pensioner using the income drawdown option is to minimise the deviation of the pension fund from a prescribed deterministic target. Typically, this problem is formulated as a linear-quadratic optimal control problem, which has the shortcoming that over-performance...