With the expansion and development of insurance business, insurance companies must purchase reinsurance of certain types of insurance to avoid the risk. To study the ruin probability of the insurance company after purchasing the reinsurance, this paper examines the effect of the proportional reinsurance in a couple Cox risk model. The new risk model assumes that both the occurrence of claims and the receiving of premiums follow the Cox processes. We get an upper bound for the ruin probability by using the martingale method and the stopping time criterion, and derive the Lundberg inequality for the ruin probability when the claim sizes follow an exponent distribution and the intensities of couple Cox processes satisfy a linear relation.