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...

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....