This paper presents an approach to computing economic capital and to pricing bond insurance portfolios. Since bond insurers face losses that are highly correlated and dependent on the business cycles, we enhance the structural approach of Merton (1974) by incorporating business cycles using a...

In this paper, we develop a methodology to model the risk of losses resulting from a natural disaster in which the intensity parameter of the non-homogeneous Poisson process has an upward trend and a seasonal component. We apply this model to losses due to floods in the Financial Assistance...