I'd say the expected value is almost certainly higher for an employee career, assuming some financial discipline. After 10 years so in the industry, you should be able to get $100k/year, more in high expense areas. That's $5.8k/month after taxes (assume 30%). Assuming you are single, at $1k/month rent, $300/month food, and $700/month for other things, you have $3.8k/month left over. That's about $45k/year you can save, say $50k for easy math. So in 20 years, you can save $1 million, buy some large-cap stock at 3% dividend and have $30k/year for free (more if you buy a higher-yield utility-type stock like AT&T or Verizon). But the stock market grows by 6 - 8%, on average. If you invest in large, "safe" companies, or in an S&P 500 index fund, at 7%, you'll double your money in 10 years, so you'll end up with $2 million (I did the math on a spreadsheet: yearN = yearN-1 * 1.07 + $50k). That's $60k/year at age 50 (not including 401k matching, and assuming that ages 20 - 30 are years of profligate spending with no saving), about as risk-free as you get.
Compare that with a statistical 90% of failure starting a company, but frequently resulting the loss of the founder's savings due to having invested it in the company. Basically the startup should give at least $50k/year of increase (above the cost of living), plus a 7%/year growth, so for two years doing a startup, you need to walk away with a little over $100k. At a 90% failure rate, you need to exit at $1 million for the expected value to break even. If you are not the sole owner and/or with VC funding it will need to be even higher. (If you are an early employee getting 1% or something you'd need about a $1 billion exit for a positive expected value.) That's some pretty uncompelling math. It gets even worse if you have a family.
Compare that with a statistical 90% of failure starting a company, but frequently resulting the loss of the founder's savings due to having invested it in the company. Basically the startup should give at least $50k/year of increase (above the cost of living), plus a 7%/year growth, so for two years doing a startup, you need to walk away with a little over $100k. At a 90% failure rate, you need to exit at $1 million for the expected value to break even. If you are not the sole owner and/or with VC funding it will need to be even higher. (If you are an early employee getting 1% or something you'd need about a $1 billion exit for a positive expected value.) That's some pretty uncompelling math. It gets even worse if you have a family.