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This paper presents some new results on Parisian ruin under Levy insurancerisk process, where ruin occurs when the process has gone below a fixed levelfrom the last record maximum, also known as the high-water mark or drawdown,for a fixed consecutive periods of time. The law of ruin-time and the positionat ruin is given in terms of their joint Laplace transforms. Identities arepresented semi-explicitly in terms of the scale function and the law of theLevy process. They are established using recent developments on fluctuationtheory of drawdown of spectrally negative Levy process. In contrast to theParisian ruin of Levy process below a fixed level, ruin under drawdown occursin finite time with probability one.

Parisian excursion below a fixed level from the last record maximum of Levy insurance risk process