The main argument for the illiquidity premium is that it cannot be arbitraged out, as I discussed here.
So let’s set up a company where we borrow long dated liabilities at risk free, and invest the proceeds in long-dated illiquid assets. Persuade shareholders/PRA etc that there is an illiquidity premium because ‘it can’t be arbitraged out’.
Create a pile of equity by discounting liabilities at risk free + premium, pay yourself a lot of dividends or sell the company, and retire to the beach.
Congratulations! You have just arbitraged out the illiquidity premium!