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Equity risk premium is a popular area of research in the past twenty years. Economists strive to find a model that can both explain the equity risk premium and achieve asset pricing. Long run risk model and risk model with disaster are two mainstream model for equity risk premium. In this paper the two model will be combined, with the assumption that the expected return rate is correlated with consumption growth rate. In this paper the explicit solution for equity risk premium is devised theoretically, and is then compared with existing combined model. The proposed model can explain equity risk premium, better than the traditional long run risk model, as well as be used for asset pricing, matching actual data.

A Long Run Risks Model with Rare Disaster: An Empirical Test in the American Consumption Data