On a risk model with stochastic premiums income and dependence between income and loss (Q964929)

In the framework of the Poisson risk model involving the surplus process of an insurance company, the paper presents a development of the model studied by Labbé and Sendova; specifically a dependence structure among claim sizes, interclaim times and premium sizes is introduced. In this order of ideas, the authors investigate the case when the premiums are exponentially distributed, deriving the Laplace transforms and the defective renewal equations for the Gerber-Shiu functions. Moreover premium sizes with rational Laplace transforms are taken into account and the Laplace transforms for the discounted penalty functions are derived.