Suppose that risk reserves of an insurance company are governed by a Markov-modulated classical risk model with parameters modulated by a finite-state irreducible Markov chain. The main purpose of this paper is to calculate ultimate ruin probability that ruin time, the first time when risk...

Using a Poisson approach, we find Laplace transforms of joint occupation times over n disjoint intervals for spectrally negative Lévy processes. They generalize previous results for dimension two.