GERBER-SHIU DISTRIBUTION AT PARISIAN RUIN FOR LEVY INSURANCE RISK PROCESSES

Inspired by the works of Landriault et al. (2011), (2014), we study the Gerber-Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Levy 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 exponential clock is started. If the clock rings before the surplus becomes positive again then the insurance company is ruined. Our methodology uses excursion theory for spectrally negative Levy processes and relies on the theory of so-called scale functions. In particular, we extend the recent results of Landriault et al. (2011), (2014).