This thesis focuses on the analysis of Catastrophe bond mutual funds [CBMFs] and is organized into four chapters. The first chapter, "An identification-robust analysis of Catastrophe bond mutual funds: zero-beta neutrality under tradability", offers identification-robust evidence on whether CBMFs are zero-beta based on the analysis with only tradable risk factors. Statistical significance of factor risk premiums and cross-sectional loadings is examined in a multivariate, identification-robust setting to inform on the zero-beta performance of CBMFs. The latter is assessed against the Capital Asset Pricing Model [CAPM] without the risk-less asset proposed by Black (1972) [BCAPM], Quadratic CAPM, Cummins-Weiss, Fama-French-Carhart benchmarks and models with Fontaine and Garcia (2012) and Pástor and Stambaugh (2003) liquidity factors. Multiple markets are considered individually and jointly. Beta pricing inference proceeds using the method of Beaulieu, Dufour and Khalaf (2013) robust to weak identification. Instead of non-tradable factors, their mimicking portfolio returns are used in the analysis to facilitate tradable-only factor setting. Results indicate that coskewness, funding liquidity and fixed-income factors are often priced or incur significant factor betas. There is also evidence of risk premiums and joint beta significance for stock, corporate bond and commercial mortgage-backed securities benchmarks. Empirical findings overall suggests that CBMFs underperformed as zero-beta assets. The second chapter, "Zero-beta inference on Catastrophe bond mutual funds: identification- robust evidence with non-tradable factors", examines formally the zero-beta neutrality of CBMFs allowing for some risk factors to be non-tradable. Zero-beta analysis focuses on cross-sectional betas with their joint significance tested for each factor. This is augmented with inference on risk prices and the zero-beta rate to assess whether factor risks are priced. CBMFs are modeled in the QCAPM setting with either stock, corporate bond, government bond or commercial mortgage-backed security [CMBS] market return and its square as respectively tradable and non-tradable factors. The zero-beta performance of CBMFs is also assessed against an extended BCAPM benchmark with either Fontaine and Garcia (2012) or Pástor and Stambaugh (2003) non-tradable liquidity factor considered in addition to the tradable market return. Inference on risk prices and the zero-beta rate builds on the method of Beaulieu, Dufour and Khalaf (2018) which remains exact and simultaneous for any sample size even if the parameter recovery is impaired. Empirically, although identification strength diminishes in the setting with non-tradable factors, relaxing tradability improves model fit across all benchmarks. In particular, QCAPM (reix gardless of the market) is no longer rejected for any period and so is the model with the funding liquidity factor. Goodness-of-fit also improves for the model with the marketwide liquidity factor. In periods for which models were rejected under factor tradability, allowing for some factors to be non-tradable also yields set estimates for the zero-beta rate and risk prices that are informative for beta pricing. In particular, this reveals evidence of priced coskewness risk across all markets over the long-run and for stock, corporate bond and CMBS benchmarks after the 2007-09 US recession. In the same periods, funding liquidity risk is also priced and so is the marketwide liquidity risk over the full sample. Given significant betas on the market return, the latter prevails as a relevant factor even in a setting with other factors being non-tradable. Overall, there is evidence suggesting that CBMFs deviated from performing as zero-beta investments with coskewness and liquidity as contributing factors. These results reinforce findings in the Chapter 1. The third chapter, "An alpha and risk analysis of Catastrophe bond mutual funds: exact, simultaneous inference", examines CBMFs in terms of their ability to produce a positive alpha and the extent of their sensitivity to the developments in financial markets. Inference on alphas and the riskiness of CBMFs relies on exact, simultaneous confidence sets assembled respectively for cross-sectional intercepts and factor loadings in the multivariate linear regression [MLR] model. Set construction proceeds using the analytical inversion procedure of Beaulieu, Dufour and Khalaf (2018) in a Least-Squares case and its extension to a Student-t setting. Proposed in this chapter, the extension involves replacing the Fisher-based cut-off point in the analytical solution of Beaulieu, Dufour and Khalaf (2018) with its simulation-based counterpart obtained under Student-t errors. The empirical analysis of CBMFs reveals evidence of a positive alpha following the 2011 Tohoku earthquake in Japan and indicate that CBMFs are likely to have at most moderate sensitivity to fluctuations in financial markets. These results are robust against CAPM, QCAPM and Fama-French benchmarks and observed in both Gaussian and Student-t settings. The fourth chapter, "Endogeneity in a zero-beta analysis: joint, finite sample inference on Catastrophe bond mutual funds", revisits the zero-beta assessment of CBMFs taking into account factor endogeneity. In particular, this chapter extends the univariate Durbin-Wu-Hausman [DWH] test (Durbin, 1954; Wu, 1973; Hausman, 1978) of exogeneity to a multivariate setting. Unlike the univariate DWH test, the proposed multivariate extension allows to assess factor exogeneity jointly across equations. This chapter also proposes an extended version of the multivariate Wilks-based instrumental variables [IV] test of Dufour, Khalaf and Kichian (2013) to a setting with regressors, and consequently their instruments, that remain the same across equations. Both extended tests allow for possibly non-Gaussian errors and maintain size correctness for a sample with any number of observations even in the setting with weak instruments. Applying the extended methods to the analysis CBMFs provides evidence against joint factor exogeneity in some cases across CAPM and QCAPM in both Gaussian and Student-t settings. In some periods when the joint factor exogeneity is rejected, results for the zero-beta analysis differ depending on whether the IV-based or non-IV test was applied. Unlike in the case without instrumenting, extended Wilks-based IV test of joint beta significance is significant at the 5% level before the 2007-09 US recession for both CAPM and QCAPM regardless of the distributional setting (Gaussian or Student-t). The same result also obtains for QCAPM during the economic downturn. Over the long-run, there is evidence of jointly significant factor loadings obtained with and without instrumenting. Overall, empirical results suggest that performance of CBMFs differs from that of zero-beta assets.

This diploma thesis deals with a considerable innovation of modern finance, insurance securitization. For better understanding of this concept it is important to consider insurance securitization in a broader context of financial securitization, which is presented in the first chapter. In the second part of this work the factors which have led to the development of insurance securitization are mentioned. Then there is a short comparison of insurance securitization with financial securitization and description of various secured products with discussing their positive and negative aspects. Finally, the thesis is concluded with some thoughts regarding the near future of insurance securitization. The aim of this diploma thesis is to evaluate using of insurance securitization as an alternative way of transfer risk, analyze its weaknesses and propose possible solutions.

近年來有關保險證券化（Insurance Securitization）之發展可謂為國際金融市場上之一項革命，而巨災債券乃為保險連結型證券之大宗，此一分散、消化巨災損失之新興金融技術，對於日益捉襟見肘的巨災風險再保險人而言，無疑成為了新的活水源頭。回顧我國，自從於八十八年九月歷經九二一大地震摧殘後，驚覺天然巨災之可怕，亟思研擬分散巨災損失之對策。就風險移轉之技術層面而言，引進巨災債券制度不失為一可行之良方。然巨災債券並無法直接適用於我國去年七月新通過之「金融資產證券化條例」，因此遂滋生若欲引進巨災債券制度時，我國現行法規架構應如何加以調整此一重大問題。又特殊目的再保險人（Special Purpose Reinsurer, SPR）所發行之巨災債券究為保險商品，抑或純粹為一種證券？監理機關對其又應採如何之監理架構，始能有效率地加以監理？而我國相關之稅制對此亦應採取如何之態度，方能吸引外資於我國進行巨災債券交易？此等皆國際保險監理上亦迭生爭議之議題，殊值研究。 因此，本文以下希望能借助比較法等研究方式，指出我國未來如欲繼受巨災債券此一制度時，應如何調整現存的法規架構與監理制度以符需求。希冀能對將來催生巨災債券制度提供一參考的方向。本文架構，安排如下： 第一章為緒論。闡述本文之研究動機與研究目的、研究範圍、研究方法，以及研究架構。 第二章討論國際金融市場上日益興起的「證券化」趨勢。本文先行整理各家學說見解對「證券化」之定義，再提出自身看法，並將巨災債券融入「證券化」的體系中，俾使其定位清晰，以利日後之理解推論。最後，再簡單介紹美、英兩國之證券化歷程，以使證券化之說明能更加完整。 第三章討論保險證券化於保險市場之崛起因素及該市場未來之展望。按保險證券化之興起背景，乃因傳統再保險市場之承保能量不足，保險業者用之因應頻繁之巨災及萎縮之再保險市場承保能量的替代方案，其主要類型有保險連結型固定收益證券、交易所的巨災選擇權及保險連結型資本融資證券三種。展望未來，雖然保險證券化商品有保險風險之不同質性等諸多挑戰，但無庸置疑的，保險證券化已是未來保險及再保險產業發展的新趨勢。 第四章討論巨災債券之交易架構及發展現況。按巨災債券交易架構者，簡單來說，係以欲進行風險移轉的分保人或一般企業所設立之特殊目的再保險人（或特殊目的保險人）為核心，向外放射出四個交易關係所架構而成。該四個交易關係乃：（一）為與分保人之間的再保險交易（或保險交易）；（二）為與利率市場上其他交易者間進行利率交換交易；（三）為與投資人之間的債券交易；（四）為與信託業之間的信託交易。另外，東京海上火災保險公司的地震風險證券化等等著名的巨災債券交易案例，均將於本章內作詳細之介紹。 第五章討論巨災債券之法規架構。由於巨災債券交易所涉之法規眾多，未免紛雜，本章乃將此大致區分為二大種類而加以討論：第一，為當事人間之法律關係：主要涉及美國商品交易法、期貨交易實務法、證券法、證券交易法、投資公司法、信託法及保險法；第二，為相關稅捐法制：主要為我國之證券交易稅條例、加值型與非加值型營業稅法及所得稅法。 第六章討論巨災債券交易之相關監理議題。按巨災債券交易之相關監理議題，通常涉及監理權限就應歸屬於何一機關？投資人是否應接受保險業監理法令之拘束？等等問題。最後，本章亦將提及新進的監理立法例－即美國伊利諾州保險交易所（Illinois Insurance Exchange）與美國保險監理官委員會（National Association of Insurance Commissioners, NAIC）之受保護帳戶公司模範法（Protected Cell Company Model Act）、NAIC特殊目的再保險機制模範法（Special Purpose Reinsurance Vehicle Model Act）及百慕達一九九八年保險修正法，以便完整呈現整個巨災債券監理之全貌。 第七章討論我國於引進巨災債券制度時所可能面臨之法規與監理制度相關議題。就我國現行法規制度而言，如欲引進巨災債券此一新興風險移轉方法，將面臨到許多挑戰與衝擊。諸如金融資產證券化條例並無法直接適用於巨災債券、我國是否可以於國內設置特殊目的再保險人，以及如何在國內外公開發行或私募巨災債券等等問題均是。其次，再就我國保險監理制度而言，如欲引進巨災債券制度則勢必亦需對整套保險監理制度作出適度之調整，方能竟全功，本章亦將詳究之。 第八章為結論。本章將擷取前揭各章討論之結果加以彙整，俾供將來我國引進巨災債券制度之參考。