In contrast to decision models which use in-sample scenarios we use out-of-sample scenarios to conduct simulation and decision evaluation including backtesting. We propose two simulation methodologies and describe six decision evaluation techniques that can be applied to test the performance of...

Recent years have shown an increase in development and acceptance of quantitative methods for asset and liability management strategies. This book presents state of the art quantitative decision models for three sectors: pension funds, insurance companies and banks, taking into account new...