There is an extensive Wikipedia article[1] on this topic. Here's an excerpt:

   In economics and finance, a Taleb distribution
   is a returns profile that appears at times
   deceptively low-risk with steady returns, but
   experiences periodically catastrophic drawdowns.

The general idea is that because black swans occur infrequently, their risk is significantly under priced by most people.

NB: Taleb does not advocate investing using a Taleb distribution; instead he warns against that sort of investing.

[1] https://en.wikipedia.org/wiki/Taleb_distribution