The lottery problem is the problem of explaining why mere reflection on the long odds that one will lose the lottery does not yield knowledge that one will lose. More generally, it is the problem of explaining why true beliefs merely formed on the basis of statistical evidence do not amount to knowledge. Some have thought that the lottery problem can be solved by appeal to a violation of the safety principle for knowledge, i.e., the principle that if S knows (...) that p, not easily would S have believed that p without p being the case. Against the standard safety‐based solution, I argue that understanding safe belief as belief that directly covaries with the truth of what is believed in a suitably defined set of possible worlds forces safety theorists to make a series of theoretical choices that ultimately prevent a satisfactory solution to the problem. In this way, I analyze several safety principles that result from such choices—the paper thus gives valuable insights into the nature of safety—and explain why none solves the lottery problem, including their inability to explain away Gettierized lottery cases. On a more positive note, I show that there is a viable solution in terms of safety if we get rid of the unquestioned assumption that safe beliefs directly track the truth. The alternative is a conception of safe belief according to which what safe beliefs directly track is the appropriateness of the circumstances and, indirectly, the truth. The resulting safety principle, I argue, explains why mere statistical evidence is not a safe source of knowledge. (shrink)