I would just add:

rel="canonical" href="http://www.mycompany.com/blah.html" />

No need to add 301's.

This might be useful it's Magento specific: http://www.magentocommerce.com/wiki/adding_canonical_url_to_cms_pages

It looks like this plugin will add the rel="canonical" tag for you automatically: http://yoast.com/tools/magento/canonical/

View the source code after you have installed it to confirm it's working as expected.

Optimise your home page for your chosen keyword and 301 the page /insurance to your root domain.

To do this you need to create a .htaccess file in the / directory on your server and enter the following information.

Redirect 301 /insurance  http://www.mydomain.dk

About 90% of the link juice "should" flow through if you use a 301 redirect, you can test the above is working by visting http://www.mydomain.dk/insurance and making sure it redirect you to your home page.

Note that a 301 can take a few weeks (possibly longer) for Google to pick up so do not expect overnight changes.

Hope that helps.

I would either use rel canonical as Nakul instructed above, although this is a bit of hack IMO.

Or just build some better quality links at the page you want to rank, I don't see a problem with building links to the /insurance page?

Again, my advise would be the same as Bryan's - leave it alone and build more links to the insurance page.

I don't see a problem with that page out ranking your home page?

I have a new domain and I am beating pages with much higher page ranks / DA etc

Typically in the niche I am targeting if I use the Keyword Difficulty tool i get an average of about 50% - I think this tool mainly uses DA / PA to work out the difficulty %.

After I will do a Google search and look on the pages for mentions of the keyword's I am going to target with my pages / posts.

Often I find there are few mentions or 1 exact match mention in the content with the page title being something different / not exact match.

I will then build a page which is targeted specifically for the keyword and optimise for it, I don't over do the optimisation - if the other pages only have 2 mentions of the keyword in the content I would normally build a post with say 3 - 5 mentions. I have noticed when going over 5 keyword (aprox) pages tend to rank poorly or rank badly then crawl back up the SERP's slower - this could be due to the domain on the site being 1 month old.

I also only build quality content that is relevant to the search term, this should prevent the pages dropping from the SERP's (I hope!).

Obviously if your niche has highly optimised pages and a bunch of links pointing at each page then this method is not going to work.

Hope that helps.