between consumption losses in a disaster and the risk premium, a small amount of risk sharing can significantly attenuate the … effect that disaster risk has on the equity premium. We characterize the sensitivity of risk premium to wealth distribution … lead to significant variation in disaster risk premium. It also highlights the conditions under which disaster risk premium …

shocks to aggregate uncertainty, I introduce a small, time-varying risk of economic disaster in a standard real business … risk of disaster does not affect the path of macroeconomic aggregates - a "separation theorem" between macroeconomic … probability of disaster leads to a collapse of investment and a recession, an increase in risk spreads, and a decrease in the …

calibrated with observed peak-to-trough disaster sizes accords with the average equity premium with a reasonable coefficient of … relative risk aversion. High stock-price volatility can be explained by incorporating time-varying long-run growth rates and … disaster probabilities. Business-cycle models with shocks to disaster probability have implications for the cyclical behavior …

Recent studies have shown that disaster risk can generate asset return moments similar to those observed in the U ….S. data. However, these studies have ignored the cross-country asset pricing implications of the disaster risk model. This … paper shows that standard U.S.-based disaster risk model assumptions found in the literature lead to counterfactual …

-makers not to invest in adaptation measures until after it is too late. In an interdependent world with no intervention by the … public sector, it may be economically rational for those at risk not to invest in protective measures. Risk management …. These may include multi-year insurance contracts, well-enforced regulations, third-party inspections, and alternative risk …

-varying risk of large economic disaster. This simple feature generates large, volatile and countercyclical credit spreads as well … aggregate risk premia. Building on the idea that corporate debt, while safe in normal times, is exposed to the risk of economic … the disaster probability …