In this paper we analyze the so-called Parisian ruin probability, which arises when the surplus process stays below 0 longer than a fixed amount of time ζ > 0. We focus on a general spectrally… (More)

Consider two insurance companies (or two branches of the same company) that have the same claims and they divide premia in some specified proportions. We model the occurrence of claims according to a… (More)

In this note we give, for a spectrally negative Lévy process, a compact formula for the Parisian ruin probability, which is defined by the probability that the process exhibits an excursion below… (More)

In this short paper, we investigate a definition of Parisian ruin introduced in [3], namely Parisian ruin with an ultimate bankruptcy level. We improve the results originally obtained and, moreover,… (More)

In this paper, we consider dividend problem for an insurance company whose risk evolves as a spectrally negative Lévy process (in the absence of dividend payments) when a Parisian delay is applied.… (More)