Risk management consultants say the models that banks use to predict the risks of their exposures don't work in these so-called "fat-tail" events, shocks that move otherwise predictable swings outside the parameters of clever computer programs and their keepers.
The organization maintains that some gold in a portfolio offers a diversification that can help investors at times when tail-risk events hurt other markets.
Mr Weitzman reckons they should look instead at events that are less likely to materialise but cannot be ruled out (the right-hand tail of the curve), such as a massive temperature increase within a century.