In the setting of a Lévy insurance risk process, we present some results regarding the
Parisian ruin problem which concerns the occurrence of an excursion below zero of duration …

We consider a company that receives capital injections so as to avoid ruin. Differently from
the classical bail-out settings, where the underlying process is restricted to stay at or above …

We introduce the concept of cumulative Parisian ruin, which is based on the time spent in
the red by the underlying surplus process. Our main result is an explicit representation for …

In this paper, we investigate Parisian ruin for a Lévy surplus process with an adaptive
premium rate, namely a refracted Lévy process. Our main contribution is a generalization of …

In this note, we consider a nonstandard analytic approach to the examination of scale
functions in some special cases of spectrally negative Lévy processes. In particular, we …

For a rather general class of risk-reserve processes, we provide an exact method for
calculating different kinds of ruin probabilities, with particular emphasis on variations over …

This paper revisits the optimal capital structure model with endogenous bankruptcy, first
studied by Leland (J. Finance 49: 1213–1252, 1994) and Leland and Toft (J. Finance 51 …

In this paper, we obtain analytical expression for the distribution of the occupation time in the
red (below level 0) up to an (independent) exponential horizon for spectrally negative Lévy …

Under contemporary insurance regulatory frameworks, an insolvent insurer placed in
receivership may have the option of rehabilitation, during which a plan is devised to resolve …

In this paper, inspired by the ideas of Parisian ruin and ultimate bankruptcy, we introduce
two new stopping times for the (general) drawdown process, namely, the Parisian drawdown …