In this paper we describe a decision support model to sustain management of pension-funds in the strategic planning of the available asset and liability policy instruments. A main characteristic of the approach is that the relevant risk-drivers are modelled by scenarios, rather than by probability distributions. We will describe the scenario generation methodology, and how the scenarios are used by pension-fund managers to simulate and improve asset/liability strategies until a strategy is identified which is agreed upon by all who carry responsibility for the pension-fund and its sponsors and trustees. Next, we will describe how this process of managerial learning can be improved by a hybrid simulation/optimisation method which applies concepts from the field of non-linear global optimisation to determine the asset-allocations which determine efficient frontiers of contribution rates and downside insolvency risks. We will conclude by showing that the application of the developed models to a particular pension-fund leads to the annulment of the infeasibility of the current asset/liability policy on the one hand, and to a reduction of the expected yearly contributions of US $100 million on the other.
