This paper investigates optimal asset management strategies for property and casualty insurance companies in illiquid markets. Using a cash-flow based liquidation model of an insurance company, we consider the effects of permanent and temporary price impact as well as commonality in price...

We develop a test for the fuzziness of regression coefficients based on the Tanaka et al. (1982) and He et al. (2007) possibilistic fuzzy regression models. We interpret the spread of the regression coefficients as a statistic measuring the fuzziness of the relationship between the...