Inspired by works of Landriault et al. [11, 12], we study the Gerber–Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Lévy insurance risk process. To be more specific, we study the so-called Gerber–Shiu distribution for a ruin model where at each time the surplus process goes negative, an independent… (More)

@article{Baurdoux2016GerberShiuDA,
title={Gerber-Shiu distribution at Parisian ruin for L{\'e}vy insurance risk processes},
author={Erik J. Baurdoux and Juan Carlos Pardo and Jos{\'e} Luis P{\'e}rez and Jean-François Renaud},
journal={J. Applied Probability},
year={2016},
volume={53},
pages={572-584}
}