The structure of various Gerber–Shiu functions in Sparre Andersen models allowing for
possible dependence between claim sizes and interclaim times is examined. The penalty
function is assumed to depend on some or all of the surplus immediately prior to ruin, the
deficit at ruin, the minimum surplus before ruin, and the surplus immediately after the second
last claim before ruin. Defective joint and marginal distributions involving these quantities
are derived. Many of the properties in the Sparre Andersen model without dependence are …