In this paper, I combine disappointment aversion, as employed by Routledge and Zin (2010) and Campanale, Castro, and Clementi (2010), with rare disasters in the spirit of Rietz (1988), Barro (2006), Gourio (2008), Gabaix (2008) and others. I find that, when the model’s representative agent is endowed with an empirically plausible degree of disappointment aversion, a rare disaster model can produce moments of asset returns that match the data reasonably well, using disaster probabilities and disaster sizes much smaller than have been employed previously in the literature. This is good news. Quantifying the disaster risk faced by any one country is inherently difficult with limited time series data. And, it is open to debate whether the disaster risk relevant to, say, U.S. investors is well-approximated by the sizable risks found by Barro ∗Federal Reserve Bank of Dallas, 2200 North Pearl Street, Dallas, TX 75201. E-mail: jim@jimdolmas.net. URL: http://www.jimdolmas.net/economics. I would like to thank, without implicating, Karen Lewis, Cars Hommes, two anonymous referees, and participants at the 2013 Conference on Computing in Economics and Finance, Vancouver, the 2013 Econometric Society European Meeting, Goteborg, and the 2014 Midwest Finance Association Meeting, Orlando, for comments on earlier versions of this paper. Disclaimer: The views expressed herein are those of the author and do not necessarily reflect the views of the Federal Reserve Bank of Dallas or the Federal Reserve System. Typeset in LATEX, using TEXstudio.