Thoughts on Tail Risk
One thing that stops people from hedging against tail risk is that, when the tail-event does not occur, the person who prepared for it looks foolish to the people who did not believe the risk ever existed---or was as high as you claimed. We all love to make fun of the guy who built a fallout shelter in the 1950's, but---in reality---that wasn't such a stupid move. So, the very fact that there is a diversity of social opinion and a tendency for people to look back on the past and agree with the skeptics if an event did not occur, makes people afraid to hedge against things that are catastrophic but not too likely. After all, we are trying to win friends, mates, and social standing---in addition to actually trying to improve our material outcomes.
Another problem is that proper precautions actually can prevent the thing from happening: And this again leads to a loss of face in front of the skeptics. Build up your army, deter a war from happening, and the peaceniks will be sure to say that your army was not necessary.
For example, and I admit to being in the "Putin will not invade but is just negotiating" camp until around the 20th of February, if Putin had not invaded---let's say because we managed to ship in a crap load of arms before he did---how many people would be saying that arms shipment was unnecessary using the fact that he did not invade as "proof"?
[In defense of my position, I was working with the assumption that Putin was a smart, rational actor. I think the way events have turned out suggests I was right to think negotiating was smarter than invading: My problem was in assuming Putin was as smart as his past actions had led me to believe.]