Lefèvre, Claude; Picard, Philippe - In: Insurance: Mathematics and Economics 49 (2011) 3, pp. 512-519
The present paper aims to revisit the homogeneous risk model investigated by De Vylder and Goovaerts (1999, 2000). First, a claim arrival process is defined on a fixed time interval by assuming that the arrival times satisfy an order statistic property. Then, the variability and the covariance...