Berry-Stölzle, Thomas - Institut für Versicherungswissenschaft <Köln> / … - 2005
This paper investigates the impact of illiquidity on insurance company asset allocation and selling strategy. The need … effects of transaction illiquidity. Using a simplified model of a risk neutral insurance company, we examine the effect of … determined numerically. While a clear diversification benefit is evident on the basis of illiquidity, under certain market …