The recent floods in Eastern Australia have been described as "once in a lifetime" events. Cyclone Yasi was the "largest ever". They have certainly been events that no-one would want to experience more than once. In their aftermath, there have been demands for action to better plan for such events.
Less devastating but more common problems of an extreme nature also need to be planned for. For example, a key question when planning electricity generation capacity is, what might be the highest electricity demand next summer, or in the next 20 or 30 summers? As with floods, it is important to understand the possible extremes so that there is only a low chance that electricity supply cannot meet demand. Similarly engineers designing offshore facilities need to plan for the largest wave likely to occur. But how do you plan for an event that has not been observed before?