On the analysis of a general class of dependent risk processes

► A Sparre Andersen risk process with time-dependent claim amounts is examined. ► A particular mathematical structure for the joint distribution is considered. ► A generalized Gerber-Shiu function in the Coxian model is explicitly identified. ► An application is given in case of a mixed Erlang type of claim amount. ► Various examples of the model involving bivariate mixed Erlang are provided.