Preheat oven to 210°C / 410°F.
Cut the pumpkin cut in half lengthwise and remove the seeds. Peel the carrot and cut it in half lengthwise. Place them on a baking tray together with the red pepper, deseeded. Drizzle with olive oil and sprinkle with salt and pepper. Bake for 40-50 minutes or until the pumpkin is tender.
Scoop out the pumpkin flesh and discard the peel. Place all the vegetables in a food processor or blender, add the milk, then gradually the stock, and blend to the desired consistency. Transfer to a cooking pot and add salt and pepper to taste.