Claim sizes and claim occurrence times are assumed to be independent in the Sparre-Andersen model. The independence assumption is very restrictive and also lack suitability for certain real world situations. In this paper, we ease the independence assumption through the introduction of correlation between claim sizes and claim occurrence times. With the aid of Wiener-Hopf factorization, we obtain the exact expression for the ultimate ruin probability.

claim counts, claim sizes, ultimate ruin probability, Wiener-Hopf factorization.