In this paper models for claim frequency and claim size in non-life insurance are considered. Both covariates and spatial random effects are included allowing the modelling of a spatial dependency pattern. We assume a Poisson model for the number of claims, while claim size is modelled using a Gamma distribution. However, in contrast to the usual compound Poisson model going back to Lundberg (1903), we allow for dependencies between claim size and claim frequency. Both models for the individual and average claim sizes of a policyholder are considered. A fully Bayesian approach is followed, parameters are estimated using Markov Chain Monte Carlo (MCMC). The issue of model comparison is thoroughly addressed. Besides the deviance information criterion suggested by Spiegelhalter et al. (2002), the predictive model choice criterion (Gelfand and Ghosh (1998)) and proper scoring rules (Gneiting and Raftery (2005)) based on the posterior predictive distribution are investigated. We give an application to a comprehensive data set from a German car insurance company. The inclusion of spatial effects significantly improves the models for both claim frequency and claim size and also leads to more accurate predictions of the total claim sizes. Further we quantify the significant number of claims effects on claim size.