 Covariance of two components of a compound Poisson sum

Let $N\sim \mathrm{Pois}(\lambda )$ be independent of independent and identically distributed random variables $(Y_i,Z_i)$ with finite second moments. Conditioning on $N$ gives covariance $N\mathrm{Cov}(Y_1,Z_1)$ and conditional expectations $N\mathbb{E}{Y}_1,N\mathbb{E}{Z}_1$. Law of total covariance and $\mathrm{Var}N=\lambda$ yield the formula. For per-claim excess of loss reinsurance payouts $Y=\min (X,M)$ and $Z=(X-M{)}_{+}$, it becomes $\lambda M\mathbb{E}[(X-M{)}_{+}]$. The insurer and reinsurer aggregates share their claim count and are generally dependent.