My central idea in The Black Swan is that: rare events cannot be estimated from empirical observation since they are rare. We need an a priori model representation for that; the rarer the event, the more the dependence on aprorism. Further, we do not care about probability (if an event happens or does not happen); we worry about consequences (how much total wealth or total destruction will come from it). Given that the less frequent the event, the more severe the consequence (just consider that the 100 year flood is more severe, and less frequent, than the 10 year flood), our estimation of the CONTRIBUTION of the rare event is going to be massively faulty (contribution is probability times effect; multiply that by estimation error) ; and nothing can remedy it. So the rarer the event, the less we know about its role --and the more we need to make it up with an extrapolative, generalizing theory. Hence model error is more consequential in the tails and some representations ARE MORE FRAGILE than others.
This is actually the central idea in Fooled By Randomness, and basically his investing philosophy. He worked as a derivatives trader before he became an academic and his entire approach was to bet against the market, but most importantly the upside of the market. He would lose a little bit 99% of the time (at least) on the contract prices, which weren't much because he would often buy out of the money options, but when there were wild fluctuations in market prices he stood there to collect. Obviously he did pretty well for himself, which required some patience, and now he consults/manages a hedge fund in addition to his work in academia.
