Tenoke comments on What Bayesianism taught me - Less Wrong
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While this is true mathematically, I'm not sure it's useful for people. Complex mental models have overhead, and if something is unlikely enough then you can do better to stop thinking about it. Maybe someone broke into my office and when I get there on Monday I won't be able to work. This is unlikely, but I could look up the robbery statistics for Cambridge and see that this does happen. Mathematically, I should be considering this in making plans for tomorrow, but practically it's a waste of time thinking about it.
(There's also the issue that we're not good at thinking about small probabilities. It's very hard to keep unlikely possibilities from taking on undue weight except by just not thinking about them.)
And then one day 4 years later you find out that a black swan event has occurred and because you never prepare for such things ('it's a waste of time thinking about it') you will face losses big enough to influence you greatly all at once.
Or not. - that's the thing with rare events.