The perceived risk from the view point of an employee at a large company is very different than the risk from an entrepreneurial view, why? I think risk is actually related more to your ability/confidence to recover from a negative outcome than it is to a probability. To explain, look at the figure. At every decision point, there is a chance that the decision could lead to a good outcome or a bad outcome. If the outcome is good, all is well and you go to the next decision point. However, if the outcome is bad, you need to recover. Suppose you are blessed with a very fast, very efficient failure recovery process which makes it easy to try again. The "bad outcome" would not be so ominous and the perceived risk may not seem as great. If you lament the bad outcome and slog through the failure recovery process, the bad outcome has a lasting negative effect.

I think that playing the lottery is too risky but starting a high tech company in a nasty economy and quitting a full time steady job is not risky at all. With the lottery there is no way to recover from a bad outcome, at least no process that I know of but I'm open to suggestions. Outside observers may see entrepreneurs as foolish or brave. I see it as entrepreneurial confidence knowing that you have a good failure recovery process. In fact after a few years, our entire corporate culture has become fault-tolerant where we collectively can recovery from negative outcomes very efficiently.

In large companies there are a lot of regulations, heritage, hierarchy, etc. where the employees often lose the ability to recover quickly after a bad outcome. This make the world appear more risky and decision making slows with increased analysis of risk.

Eminem has a very well honed failure recovery process as evidenced by his quote, "success is the only option, failure's not". Robert F. Kennedy once said, "Only those who dare to fail greatly can ever achieve greatly". Both of these guys are telling us that if you have confidence in your failure recovery process then what is risk if you cannot fail? I don't often quote Eminem and Kennedy in the same paragraph but it's a risk I'm willing to take.