On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula

In this paper we consider an extension to the classical compound Poisson risk model in which we introduce a dependence structure between the claim amounts and the interclaim time. This structure is embedded via a generalized Farlie-Gumbel-Morgenstern copula. In this framework, we derive the Laplace transform of the Gerber-Shiu discounted penalty function. An explicit expression for the Laplace transform of the time of ruin is given for exponential claim sizes.