Applying excursion theory, we re-express several well studied fluctuation quantities associated to Parisian ruin problem for L´evy risk processes in terms of integrals with respect to excursion measure for spectrally negative L´evy process. We show that these new expressions reconcile with the...

This paper considers magnitude, asymptotics and duration of drawdowns for some Levy processes. First, we revisit some existing results on the magnitude of drawdowns for spectrally negative Levy processes using an approximation approach. For any spectrally negative Levy process whose scale...