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I agree, but I guess it has to do with their relative unpredictability (as far as I understand). Hurricanes you can prepare for days in advance. And at least tornado’s you can ‘see them coming’ to the point where if you’re unlucky you might lose your house, but not your life. Not sure how the numbers back that up (or if they can even be compared), but emotionally that feels like the answer.
Funnily enough, looking at the stats for the US from 2020 onwards to now (averaged to annual data), 272 deaths per year were caused by Storms, 63 by extreme temperatures, 56 by wildfires, and only 0.5 (so in the last 4 years only about 2 people) by earthquakes. source
So statistically, they should be more afraid of hurricanes and tornadoes (But to be fair, the odds of dying to these are extremely low to begin with, car accidents are probably far more common)