The boundaries between catastrophic and non-catastrophic risks are not well defined but are related to the insurability of the risks and the capacity to cope in the absence of policy measures. On the demand side, theoretical results show that a risk-averse individual is willing to insure both low and high probability events (Eeckhoudt and Gollier, 1999). However, it is highly debatable that expected utility is the most appropriate framework to capture risk aversion behaviour for low probability high losses events.