The Parisian and ultimate drawdowns of Lévy insurance models (Q2682983)

The paper aims to extend the drawdown analysis to the Parisian and ultimate ruins under the Lévy insurance framework and investigate its link with the exotic ruin theory. After presenting initial findings on the generalized scale functions in Lévy context, the stopping times are properly defined; throughout the paper the Parisian drawdown and ultimate drawdown are described in relation to the generalized scale functions. Then, some application insights contribute to deepening the results achieved. Finally, the main mathematical proofs are collected in a special section, while further technical details are in the Appendix.