Zusammenfassung:
This paper develops a tractable consumption-based asset-pricing model in an i.i.d. economy that combines rare consumption disasters with ambiguity aversion implemented as a one-period entropic tilt under CRRA utility. Closed-form expressions for the risk-free rate, equity return moments, and the variance risk premium deliver a sufficient-statistics, block-recursive identification: market moments pin down the effective one-period risk loading and the "crash beta" mapping consumption disasters into equity crashes, while detection-error probabilities discipline the size of the entropic tilt, thereby pinning down curvature and discounting separately. An invariance result follows: implied crash exposure is independent of the chosen detection-error benchmark once targeted moments are fixed. Calibrated to U.S. long-run returns and option-implied variance risk premia, the model matches the high equity premium and low real risk-free rate with modest curvature and generates realistic crash-insurance prices, a downward-sloping implied-volatility skew, and the empirical anatomy of the equity premium.
