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The first model generalizes the one by \\textit{H. U. Gerber} [Insur. Math. Econ. 1, 177--184 (1982; Zbl 0505.62086)], and the moving average is used to model the annual gains. The second model extends the risk model by \\textit{H. Yang} [Scand. Actuarial J. 1999, No. 1, 66--79 (1999; Zbl 0922.62113)] to the case where both the premiums process and the claims process are correlated. 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