Occupation times have so far been primarily analyzed in the class of Lévy processes, most notably some of its special cases, by capitalizing on the stationary and independence property of the process increments. In this paper, we relax this assumption and provide a closed-form expression for...

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...