risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative … difference between the power-law tail parameter and the coefficient of relative risk aversion, γ. The options-pricing formula …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

.1 percent of world population, implying 150 million deaths when applied to current population. Regressions with annual …

equity premium involves a race between `alpha` and the coefficient of relative risk aversion, `gamma`. A higher `alpha …

by at least 10%. The principal world economic crises ranked by importance are World War II, World War I and the Great … Depression, the early 1920s (possibly reflecting the influenza epidemic of 1918-20), and post-World War II events such as the …" coefficient of relative risk aversion of 3.5. This result is robust to a number of perturbations, except for limiting the sample …

with key asset-pricing observations. If the coefficient of relative risk aversion equals 3-4, the model accords with … observed equity premia and risk-free real interest rates. If the intertemporal elasticity of substitution is greater than one … welfare cost of aggregate consumption uncertainty. In the baseline simulation, the welfare cost of disaster risk is large …