In this paper, we consider a perturbed compound Poisson risk model with dependence, where the dependence structure for the claim size and the inter-claim time is modeled by a generalized Farlie-Gumbel-Morgenstern copula. The integro equations, the Laplace transforms and the defective renewal equations for the Gerber-Shiu functions are obtained. For exponential claims, some explicit expressions are obtained, and some numerical examples for the ruin probabilities are also provided.

%U http://aps.ecnu.edu.cn/EN/10.3969/j.issn.1001-4268.2019.04.004