If I could pull $900-$1000 from my savings with no immediate consequences, I'd be more likely to spend the $900 at 100%. But if loosing $900-$1000 means I'll have to tell my landlord I'll be late with the rent and then finding someone to borrow it from, and paying it back with interest, the extra $100 aren't significantly more crippling - it's the transaction cost of going through all this bother that's problematic - I'll take a 10% chance.
Come to think of it, I actually did something like this: Prior to moving abroad a while ago, I consulted a lawyer to make sure I did everything right to avoid double taxation. That was a taking on a 100% chance of a rather big expense to avoid an unknown chance of an even larger expense.
I also agree that the reasoning changes a lot if this is a one-time event vs. a regular occurance.
Do you want to be guaranteed you'll lose $900?
Or do you want a 10% chance you'll lose nothing at all, with a 90% chance you'll lose another $100?
So given a choice between being (nearly) totally wiped out, or having the chance of not being wiped out, people take the chance of keeping their cash.
Makes sense to me.