<p>Consider a continuous-time renewal risk model with dependent insurance risk and investment risk. We derive the asymptotics of the finite-time ruin probabilities for heavy-tailed claim sizes when the claim sizes and the return jumps caused by the systematic factors are arbitrarily dependent, while the claim sizes are pairwise strong quasi-asymptotically independent. Our findings indicate that, under the framework of regular variation, the asymptotic form of the finite-time ruin probability is insensitive to certain dependence structure among the claim sizes. Finally, numerical studies are conducted to verify the performance of the asymptotic results.</p>