A ruin model with random income and dependence between claim sizes and claim intervals

In this paper, we consider a generalization of the classical ruin model, where the income is random and the distribution of the time between two claim occurrences depends on the previous claim size. This model is more appropriate than the classical ruin model. Explicit expression for the generating function of the Gerber-Shiu expected discounted penalty function are derived. A similar model is discussed. Finally, the result are showed by two examples.