By using data mining techniques, the data stored in a Data Warehouse (DW) can be analyzed for the purpose of uncovering and predicting hidden patterns within the data. So far, different approaches have been proposed to accomplish the conceptual design of DWs by following the multidimensional (MD) modeling paradigm. In previous work, we have proposed a UML profile for DWs enabling the specification of main MD properties at conceptual level. This paper presents a novel approach to integrating data mining models into multidimensional models in order to accomplish the conceptual design of DWs with Association Rules (AR). To this goal, we extend our previous work by providing another UML profile that allows us to specify Association Rules mining models for DW at conceptual level in a clear and expressive way. The main advantage of our proposal is that the Association Rules rely on the goals and user requirements of the Data Warehouse, instead of the traditional method of specifying Association Rules by considering only the final database implementation structures such as tables, rows or columns. In this way, ARs are specified in the early stages of a DW project, thus reducing the development time and cost. Finally, in order to show the benefits of our approach, we have implemented the specified Association Rules on a commercial database management server.