  The classical Cramer-Lundberg model was the first attempt to describe the
financial condition of the insurance company. The incomes were approximated by
a steady stream of money, insurance payments were not limited and could take
any value from zero to infinity. The society did not invest any part of its
money, do not have any employees, shareholders or enterprise maintenance costs.
There exists many modifications of the Cramer-Lundberg model which cover at
least some of the problems described here, but usually they require insight
into the internal financial policy of the insurance company. We propose here
another modification based on Markov processes defined by generalized
convolutions. Thanks to the generalized convolutions we can approximate
stochastically the internal financial policy of the company based on publicly
available data. In this paper we focus on computing the ruin probability for an
infinite time horizon for the Markov processes Cramer-Lundberg model where the
transition probabilities are defined by generalized convolutions, in particular
$\alpha$-convolution, maximal convolution and the Kendall convolution.
