Parisian ruin with random deficit-dependent delays for spectrally negative L\'evy processes

TL;DR

This paper extends the Parisian ruin problem by allowing the delay durations to depend on the deficit at negative excursions, providing explicit formulas for ruin probabilities and related transforms in spectrally negative Lévy processes.

Contribution

It introduces a novel deficit-dependent delay mechanism in Parisian ruin analysis for spectrally negative Lévy processes, deriving explicit formulas for ruin probabilities and joint Laplace transforms.

Findings

Derived closed-form expressions for ruin probabilities.

Obtained joint Laplace transforms of ruin time and deficit.

Included cases with immediate ruin when deficits hit specific subsets.

Abstract

We consider an interesting natural extension to the Parisian ruin problem under the assumption that the risk reserve dynamics are given by a spectrally negative L\'evy process. The distinctive feature of this extension is that the distribution of the random implementation delay windows' lengths can depend on the deficit at the epochs when the risk reserve process turns negative, starting a new negative excursion. This includes the possibility of an immediate ruin when the deficit hits a certain subset. In this general setting, we derive a closed-from expression for the Parisian ruin probability and the joint Laplace transform of the Parisian ruin time and the deficit at ruin.