  We analyse the ruin probabilities for a renewal insurance risk process with
inter-arrival time distributions depending on the claims that arrived within a
fixed (past) time window. This dependence could be explained through a
regenerative structure. The main inspiration of the model comes from the
Bonus-Malus feature. We discuss first asymptotic results of ruin probabilities
for different regimes of claim distributions. For numerical results, we
recognise an embedded Markov additive process. Via an appropriate change of
measure, ruin probabilities could be computed to a closed form formulae.
Additionally, we present simulated results via the importance sampling method,
which further permit an in-depth analysis of a few concrete cases.
