Sam, I disagree with you but I am interested in knowing why you think the way you do.
How can starting your own business be less risky? When you start out, you have to risk your own money (often a large sum in the hundreds of thousands) and moreover you are not going to drawing a stable income at least in the initial stages. Moreover, as a corporate brown-noser, you just have to focus on one aspect, whether it is sales, marketing, HR, engineering, finance, logistics, project management or any other area. As your own boss, you need to be skilled in all aspects.