In ruin theory, an insurer’s income process is usually assumed to grow at a deterministic rate of c > 0 over time. This assumption is mainly considered for purposes of mathematical tractability, but generally fails to accurately model an insurer’s income dynamic. To better characterize the uncertainty of
an insurer’s income process, several papers have studied insurance risk models with random incomes. The present research aims to quantitatively assess the impact of the choice of income processes on some main ruin-related quantities. To carry this analysis, we consider a generalized Sparre Andersen risk model with a random income process which renews at claim instants. For exponentially distributed claim sizes, we derive explicit expressions for some joint distributions involving the time to ruin and the number of claims until ruin. In this talk, several numerical examples will be considered to draw important risk management implications of a solvency nature for the insurer.