Wenyuan Wang, Xiaowen Zhou
Published 2019-04-05Version 1
In this paper we study the draw-down related Parisian ruin problem for spectrally negative L\'{e}vy risk processes. We introduce the draw-down Parisian ruin time and solve the corresponding two-sided exit time via excursion theory. We also obtain an expression of the potential measure for the process killed at the draw-down Parisian time. As applications, new results are obtained for spectrally negative L\'{e}vy risk process with dividend barrier and Parisian ruin.
Excursions of a spectrally negative Lévy process from a two-point set
Optimal stopping of a risk process when claims are covered immediately
On the last zero process of a spectrally negative Lévy process
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