If dying were an infinite loss to you, you'd never drive an extra mile just to save money on buying something (let alone all the other small risks you take).
He said avoiding a 33% chance of death is worth more money than he has, which doesn't necessarily imply that the amount is infinite.
Imagine you're playing Russian roulette. Case 1: a six-shooter contains four bullets, and you're asked how much you'll pay to remove one of them. Case 2: a six-shooter contains two bullets, and you're asked how much you'll pay to remove both of them. Steven Landsburg describes an argument by Richard Zeckhauser and Richard Jeffrey saying you should pay the same amount in both cases, provided that you don't have heirs and all your remaining money magically disappears when you die. What do you think?