  It has been decades since the academic world of ruin theory defined the
insolvency of an insurance company as the time when its surplus falls below
zero. This simplification, however, needs careful adaptions to imitate the
real-world liquidation process. Inspired by Broadie et al. (2007) and Li et al.
(2020), this paper uses a three-barrier model to describe the financial stress
towards bankruptcy of an insurance company. The financial status of the insurer
is divided into solvent, insolvent and liquidated three states, where the
insurer's surplus process at the state of solvent and insolvent is modelled by
two spectrally negative L\'{e}vy processes, which have been taken as good
candidates to model insurance risks. We provide a rigorous definition of the
time of liquidation ruin in this three-barrier model. By adopting the
techniques of excursions in the fluctuation theory, we study the joint
distribution of the time of liquidation, the surplus at liquidation and the
historical high of the surplus until liquidation, which generalizes the known
results on the classical expected discounted penalty function in Gerber and
Shiu (1998). The results have semi-explicit expressions in terms of the scale
functions and the L\'{e}vy triplets associated with the two underlying L\'{e}vy
processes. The special case when the two underlying L\'{e}vy processes coincide
with each other is also studied, where our results are expressed compactly via
only the scale functions. The corresponding results have good consistency with
the existing literatures on Parisian ruin with (or without) a lower barrier in
Landriault et al. (2014), Baurdoux et al. (2016) and Frostig and Keren-Pinhasik
(2019). Besides, numerical examples are provided to illustrate the underlying
features of liquidation ruin.
