We adopt a new approach to find Laplace transforms of joint occupation times over disjoint intervals for spectrally negative Lévy processes. The Laplace transforms are expressed in terms of scale functions.

In this paper, we propose a new drawdown-based regime-switching (DBRS) Lévy insurance model in which the underlying drawdown process is used to model an insurer’s level of financial distress over time, and to trigger regime-switching transitions. By some analytical arguments, we derive...